Still Short
June 8th, 2008 by 
reality
Still not brave enough to be long. So I get punished. Well, I’ve promised myself to do better on the next swing down. Of course, that will be when I miss the crash, for sure. But posting these is a sophisticated form of self-flagellation and a reminder that I need to manage my bearishness better. Also stay home.
| Measure | Apr/May | YTD | Inception |
|---|---|---|---|
| Absolute Performance | (18.4)% | 4.85% | (4.05)% |
| Relative Performance | (29.8)% | 9.6% | (22.2)% |
Relative performance is based on Fidelity Magellan, FMAGX. Inception refers to reporting on the blog, and is based on the close of 2005.
5/31 portfolio.
| Asset class | % Allocated | Comment |
|---|---|---|
| Energy | 11.9 | Writing (covered) calls on DUG |
| Absolute Return Funds | 0 | |
| Market Timing - Bear | 9.3 | Inverse funds and put options equiv. to 150-200% short (basis total equity). |
| Market Timing - Bull | 0 | |
| Metals & Mining | 0 | |
| Real Estate | 0 | |
| Tech | 0 | |
| Fixed Income | 74.0 | Mostly T-bills, and a small long bond position. About half of this is in Canadian T-bills. Still in WHOSX and HSTRX. |
| Cash | 4.7 | And that means cash, mostly FDIC-insured, not money market. |
Posted in * Portfolio changes, Asset Classes, Strategy & Scenarios | 
June 8th, 2008 at 3:59 pm
Reality,
I don’t fully understand your terminology. Could You explain me what it means “equiv. to 150-200% short (basis total equity)” ?
I am also little bit surprised You wrote calls on DUG. It would be interesting to me to understand, what was the logic/expectation here?
–
Vytas
June 8th, 2008 at 4:49 pm
I calculate an effective position size in options by multiplying the strike by the contract size and quantity and then the delta. So for example an SPX 1400 put would amount to strike(1400) * size(100) * quantity(1) * delta(0.50) = $70,000.
Look at the call premiums on DUG, nearly 100% annualized. the logic was if oil goes through the roof, then DUG will suffer but my index shorts will more than pay. If oil stays the same or declines, then I’ll collect the premiums.