Status of the real-time experiment

I think I lost about 5-6% of the hypothetical portfolio in March largely because of the Federal Open Market Committee anouncement in March 18 that caused the dollar to fall and bonds to rise when I was bullish on the dollar and bearish on treasuries respectively.

See this for positions as of 3/10/09:



I was right, however, in my bullish views of the Swedish Krona and Australian Dollar, and my bearish views of the Japanese yen but those positions weren't large enough to offset the large dollar positions. Also, the equity longs did well for the general bear market rally. There was no commodity exposure except in the form of some equity selections.

Equities:
See march 10 list for longs
short russell 2000 and S&P 500 indices
(net short 10% of nav) (will increase if it market rallies strongly)

Debt:
short 10 year Japanese government bond (not steepening trade) (60% nav)
(my reasoning is that Japanese savings rate is falling so they would not be able to finance any deficits... also economic recovery would drive up interest rates too. risks include government QE)

Commodities:
long gold (5% of nav) writing covered calls for $1000

currencies:
generally bullish on SEK/ bearish on yen (although short-yen exposure is best expressed with the short JGB position)

I am somewhat agnostic on EUR and USD now