Portfolio Update - 1 week performance 32.75%

PFGs short vol, short market thesis performed excellent this week, as vol faded lower, gold benefited from the sell off and the market had a flat week.  On the other hand, the high yield side of the same bet, really did not do much( -2.2%) as long dated yields collapsed and the bond market did not except a future calm path for equities.


Since the prime benefit was from gold and vol on this trade, PFG will continue to keep this position open as the overall path dependent lower grind is still intact.


Our index was up 23% and our leveraged implementation performed 32.77%


8/25/2011  3.728
9/3/2011    4.583


TRADE IDEA:


AUG 25TH
SHORT $ES_F 1163 SEPT
SHORT SPY OCT 100/125 STRANGLE FOR $3.60 CREDIT
LONG $GC_F 1774 SEPT


SEP 3
SHORT $ES_F 1169.30 SEPT

SHORT SPY OCT 100/125 STRANGLE FOR $2.62 CREDIT

LONG $GC_F 1881.60 SEPT

Trade Thesis
Date gld/vix vix gld spx b/e spx/gld spy/100 (gld/vix) /(spy/100) return
8/25/2011 4.33501006036217 39.76 172.36 116.28 26.8234671617545 0.67463448595962 1.1628 3.72807882728085
9/3/2011 5.40212264150943 33.92 183.24 117.85 21.8154987993888 0.64314560139707 1.1785 4.58389702291848 22.96%

Leveraged Implementation
Date $GC_F Sept $ES_F Sept SPY  Oct 100/125 Strangle
8/25/2011 1774 1163 3.6
9/3/2011 1881.6 1169.3 2.62
6.07% 0.54% 27.22% 32.75%