This system was designed to limit downside risk, and sometimes make some money doing so.  This just happened to be a week in which we made some money protecting assets (actual P/L is more like -$4,000 in the LONG and +$5100 in the Short).  The system was designed to match or beat the market in good times, and minimize damage in the bad.  Capital Appreciation while maintaining Capital Preservation is a good motto when thinking about any trading system.  Everyone does great in a bull market, its the bear market that really tests a trading system. 

Incredible destruction in Libya and Japan was cause for most to take profits, though many days were filled with bargain shoppers and the market gyrated back and forth--it is a difficult time to be in the market.  The algorithms held up throughout the sell-off and though the non-farm payrolls was good, most of the upside was "priced in" and there was no real upside to the market even if the numbers came in better than expected (a time to ring the register with high volume).

Overall, the health of corporations seems intact, but the health of the economy seems to be resting on the notion that there are employed individuals, though this number seems to hide the fact that many are either not trying to find work, or are underemployed.  The underemployed is cause for concern.

As the week continued, it was filled with elation, and fear.  Expect things to continue to ride the emotional highway.  We will maintain our hedge until further notice.   

NOTE:

The accounts and documents for those that requested to participate are still a little behind as we need to get the Trizen accounts completed (we only have two active strategies running at the moment and need four or five).  Response has been great, thanks for all the emails, we are working diligently to get things completed.

THERE WILL BE A CONFERENCE CALL NEXT WEEK ON TUESDAY OR WEDNESDAY DEPENDING ON AVAILABILITY (3/22 OR 3/23).  YOU MAY BRING YOUR FINANCIAL ADVISOR TO ASK QUESTIONS.  THIS WILL BE AN INFORMATIONAL SESSION ON CURRENT STRATEGIES. LOOK FOR THE DIAL-IN INFORMATION LATER THIS WEEK.

 For the last several years this seems to have come into fashion, but I say "why was it ever out of fashion?"

Just for the record, we mark-to-market every day by default, since the CME settles every day.  We may have positions open, but we count that as profit or loss on the close of business.  Why would anyone do anything different?

Lets say you owned some bonds that you bought for 97 cents on the dollar.  The next day, Lehman goes out of business and sells their exact same bonds (which there are not many buyers and sellers in this market) for 10 cents on the dollar.  Do you mark your bonds down to 10 cents on the dollar?  This is what a lot of banks and other firms decided NOT to do since this would give them incredible losses on their "books."  Hiding the losses until they could find a better price.

Just wanted everyone to know that we mark-to-market with every P/L statement.