Wednesday, November 12, 2008

Perfectly Hedged

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This has been an interesting week; with 40%ish cash and 20%ish short to offset 40%ish long exposure every day this week we've been in an incredibly tight range. We closed last week at $7.936 NAV and as of this moment are at.... $7.932 NAV. Nice. Meanwhile the S&P 500 is down 7.7% thus far.

As we said, with this strategy we will lag the market on the upside, and lag it to the downside but mute volatility but this week has been almost funny - each day we've been up or down 0.1% to 0.2% range. Now that's muted.

Obviously if the market makes one of its notable post 3 PM 3% rallies in 15 minutes we will give up this variance versus the market but since we don't post a daily NAV I just wanted to note how our current exposure is reacting in this market. I'd call it perfectly hedged - we're going nowhere and enjoying it ;)

As noted this morning, S&P 850 - here we come...let's see if we get another fraudulent 2-3% move in the last 15 minutes off that level....


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