Wednesday, January 5, 2011

Year 2010

December ended well for the portfolio. Was up 2.8%. Main contributors were MSFT which we closed, time spreads/bullish calls on GOOG, and strangle on TIF . Some other pairs that were held for a very long time showed some signs of life as well.Ex:- KRC/EQR pair, GDP/TLM pair. Both were closed with overall loss. But the losses were reduced quite a bit in December. The drag was PNR/PLL, and the short on MAR which is continuing to hurt. The HPQ/ORCL spread opened at the end of December started making money from day one. This pair is now approaching our close out ratio.

Year 2010 Summary

The portfolio is up 5.8% with annualized volatility of 8.5% compared to S&P total return (including dividends) of 15.1% (volatility 17.4%).

From inception the portfolio is up 33.8% with realized volatility of 9%.

Rough attribution estimate:

In terms of return contribution, pairs contributed roughly 2%, and the rest came from the options positions.

The worst draw down came in February. Worst one month draw down is -5.17%. Worst one week is -3%.

Month by month performance summary since inception is attached below.

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