March Review

Performance Review
March proved another lackluster month for the portfolio, ending down 61bips (putting the book down 1.12% YTD), with the book’s defensive posture proving a negative.  The largest negative contribution came from the Long Treasury positions (down 77bips), after yields increased across the curve towards the end of the month.  The position in the Bond Funds bucket was also impacted by this, down 9bips, but was only a minor detractor.  On the equity side, the defensive positions in equity puts (down 52bips) was a large negative contributor, but this was entirely counter-balanced by strong performance of THRX (in the Valuation bucket).  Elsewhere, the positions in Other Equities (+20bips) and Absolute Value (+0bips, though the NCAV names did earn back their transaction and commission costs in the 2 days they were in the book) helped performance.

Portfolio
41.4% - Long Treasury Bonds (19.8% TLT and 21.6% in the Aug-29 Bond)
14.5% - Long Bond Funds (6.8% HSTRX, and 7.7% VBIIX)
3.8% - Other Equities (1.8% NWS, 1.8% CMTL, and 0.2% SOAP)
3.2% - Value Idea Equities (3.2% THRX)
1.5% - Absolute Value/NCAV stocks

-3.1% (delta-adjusted) – Put Options (0.43% of premium in S&P put options and 0.38% in a GS put option)

34.8% - Cash