Currently we are short the Euro$ and the S&P.

The US$ is benefiting from a stronger economy and the expectation is that the next move in short term interest rates is up. The Japanese Yen may have been stabilized in order to make peace with the US Auto industry but Euro$ weakness will continue as the European Central Bank begins Quantitative Easing. This QE should support european equity markets and we will be looking to buy the German Dax at lower prices.

The global bond markets have become more interesting. Our concern over the German Bund going negative was solved by the central banks, not with the US 10yr, as we first thought, but rather with the Japanese 10yr, which had a dramatic 50% move from 0.20% to 0.40%. The rise in the Japanese 10yr stopped the German Bund from going lower and both are now trading at 0.33%. This week, the US Treasury will auction 10yr notes and 30yr bonds and we will be looking to buy US 10yrs at yields just over 2%. To reiterate, we do not think the US Fed will tighten any time soon and we expect US long rates to tighten, trading closer in yield to Japanese and German 10yr rates.

Tuesday, February 3rd, we sold a half position short in the Euro$ at 115.10. On the close, we sold our half position long in the US 10yr note at an equivalent yield of 1.793% and established a half position short in the S&P 500 at 2050, using the March Mini S&P futures. Afterwards, we were short half positions in the S&P and Euro$ and were 50% invested.

Wednesday, February 4th, using the March futures, we went long a half position in the US 10yr note at an equivalent yield of 1.8185%. Afterwards, we were short half positions in the S&P and the Euro$ and long a half position in the US 10yr and were 75% invested.

Friday, February 6th, using the March futures, we sold our half position long in the US 10yr note at an equivalent yield of 1.88%, just above our hard stop. Currently, we are short half positions in the S&P and the Euro$ and are 50% invested.

Modeled performance since inception, May 2012, net of all fees is +129.59%
In 2012 modeled performance (7 ½ mo.) net of all fees was +12.46% with a 10% Hurdle rate
In 2013, modeled performance net of all fees was +19.73% with a 10% Hurdle rate
In 2014, modeled performance net of all fees was +56.42% with a 10% Hurdle rate
In 2015, modeled performance net of all fees is +10.75% with a 8% Hurdle rate