Anonymous Fund Monthly Letter

D

dcwriter2

Dear ----

January was a safe and modestly profitable month for the fund.

Assets started at $551,102.89 and finished at $553,963.23 giving it a 0.52% return. The S&P 500 lost 5.3% over the same period.

Most of the fund was invested in cash with a substantial portion in out-of-the-money short calls on the e-mini futures (ES) expiring one day to three months, the latter of which produced most of our gains.

We also took small gains shorting long-term Treasury futures and trading EUR/USD futures long and short.

On the downside, we maintained a small short volatility position with a VIX futures spread, where most of our losses were incurred. A handful of equity positions we hold through options also posted small losses.

While we await the outcome of the Ukraine situation and the impact and length of the Fed's expected rate-increasing cycle, we'll remain, prudently, heavy in cash, short ES low delta calls with a smattering of short volatility plus a very small number of currency futures and equity holdings, long and short.

Until next month,

-----
 
dcwriter2 said:
Dear ----

January was a safe and modestly profitable month for the fund.

Assets started at $551,102.89 and finished at $553,963.23 giving it a 0.52% return. The S&P 500 lost 5.3% over the same period.

Most of the fund was invested in cash with a substantial portion in out-of-the-money short calls on the e-mini futures (ES) expiring one day to three months, the latter of which produced most of our gains.

We also took small gains shorting long-term Treasury futures and trading EUR/USD futures long and short.

On the downside, we maintained a small short volatility position with a VIX futures spread, where most of our losses were incurred. A handful of equity positions we hold through options also posted small losses.

While we await the outcome of the Ukraine situation and the impact and length of the Fed's expected rate-increasing cycle, we'll remain, prudently, heavy in cash, short ES low delta calls with a smattering of short volatility plus a very small number of currency futures and equity holdings, long and short.

Until next month,

-----
More...
%%
Looks like they already priced in the evil empire empire invasion of Ukraine;
even though anything could happen on a 5 minute noise chart:D:D
 
Dear ----

February was another safe and modestly profitable month for the fund; it posted a 0.66% return. The S&P 500 lost 5.3% over the same period. Year to date, as of the close of trading on Feb. 28, the fund was up 1.19%; the S&P was down 8.3%.

As was the case last month, most of the fund was invested in cash with a substantial portion in out-of-the-money short calls on the e-mini futures (ES) expiring one day to three months, the latter of which produced most of our gains.

We also maintained a small hedged short volatility position, which accounted for most of our losses, especially late in the month when Russia invaded Ukraine.

With once-in-a-generation paradigm shifts now possibly underway geopolitically, as well as with the U.S. interest rate-cycle, we'll remain, quite steadfastly, heavy in cash, short ES low delta calls with a small hedged short volatility position, which we expect will bear fruit later this year.

Until next month,
 
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