Taking ⅓ off the table: Party Continues, we are sneaking out early.

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
XFN/XLU	14%
EEM/SPX	7.5%
Long/Short	5.3%
Bond	2.7%

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.