February Review

Performance Review
Though February ended up as a negative month for the portfolio, ending down 96bips for the month (putting the portfolio down 51bips for the year), it was relatively quiet and not unexpected.  Not unexpected in that the sources of losses were the closed GLD position (-23bips), the trimmed THRX position (-32bips) and the SPY/GS put options (-55bips) that fell as the market rose.  The month was very quiet for the rest of the book, with the Long-term Treasuries (6bips), Bond Funds (2bips) and Restricted Equities (6bips) all providing minimal gains.

The book continues to hold significant catch and remains positioned to benefit principally from any flight to quality/safety scenario but with the likelihood of suffering small but steady losses should risky assets remain in favour and the market rally.

Portfolio
42.00% -- Long Long-term Treasuries (via L TLT and L Aug-29 Treasury Bond)
14.51% -- Long Bond Funds (via L VBIIX, 7.72%, and L HSTRX, 6.80%)
2.56% -- Long THRX
4.71% -- Long Restricted equity positions (via L NWS, L CMTL, L CRDN and L SOAP)

(4.68%) – Delta-Adjusted Short position in the SPY (via L Dec-10 puts, with strikes at 100 & 85; 0.73% premium at risk)
(2.50%) – Delta-Adjusted Short position in GS (via L Dec-10 puts, strike 120; 0.61% premium at risk)

34.90% -- Cash