Taking ⅓ off the table: Party Continues, we are sneaking out early. Also a look at the PFG VIX Model vs VIX Futures
We are going to unwind our second ⅓ of our gamma fund and keep our vega fund the same, currently with average short vega of duration of 2.5y.
|Fund Changes by 1/3||YTD Performance|
Our thesis continues to be the same, we still believe in the positions, however still want to keep bullets in our pocket. A couple of points
- The rally is so narrow and only paying the beat up stocks of 2011.
- Correlation has collapsed, Long/Short funds are finally getting paid
- Bad to mild news continues to fuel a income targeting rally
- No one is bullish
We are now ⅔ cash, ⅓ is still invested in our gamma fund and our vega fund is unchanged with a thematic short vega position. Both funds are in positions of strength, taking out healthy gains in January and well funded to add good risk/reward trades. If correlation is a guide and we are moving towards any sort of normality, we expect our PFG VIX Model to be a good guide for us.