When Our Man mentioned on Monday that he was expecting inflows in the coming days, he did not have Tuesday morning in mind. Nonetheless, in they came and with trade approvals garnered from the requisite people, the portfolio was reshaped. A less charitable fellow would complain about the negative impact to performance (given it was a good day for both Gold and Treasuries) on the day, but not Our Man. The reshaped portfolio, as of close of business on 11/24 is below:
42.31% -- L 20Yr+ Treasuries (split almost evenly between TLT, and the 6.125% coupon Aug-29 Treasury Bond)
20.89% -- L GLD
7.43% -- L VBIIX (Vanguard Interm-Term Bond Index)
6.40% -- L THRX
4.02% -- L Restricted Equities (CMTL 1.59%, NWS 1.42%, CRDN 0.81%, SOAP 0.21%)
-4.45% (delta-adjusted) – L SPY Puts (Dec-10, 100 and 85 strikes, 113bips of premium at risk)
-1.74% (delta-adjusted) – L GS Put (Jan-11, 120 strike, 81bips of premium)
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