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09/27/2011 end of day
Condition Bear Market
S&P Target 970
Hedge XLE 9.96% Closed
Hedge XLF -6.93%
Position Date Return Days Call
BKI 5/31/2011 5.16% 119 Hold
CFI 6/22/2011 -2.08% 97 Hold
SE 6/27/2011 -4.01% 92 Hold
AWR 7/5/2011 -3.64% 45 Closed
CLH 7/6/2011 1.01% 83 Hold
GCI 7/14/2011 -28.14% 75 Buy
AGO 8/5/2011 -9.28% 53 Hold
DISH 8/10/2011 26.15% 48 Hold
GTAT 9/8/2011 -29.85% 19 Hold
NA NA NA NA NA
Mousetrap Return -4.96%
S&P Return -7.88%
Hedged Return -2.27%
Mousetrap Annualized -25.86%
S&P Annualized -41.07%
Hedge Annualized -11.83%
Annualized Advantage 15.21%
Hedged Advantage 29.24%
Hedged position is back into the performance target range of 30%.
Since the model is hedged, not much is likely to happen for a few days. Since the market recently stopped out short traders, it will likely stop out long traders next before the anticipated rally. Europe is trying to kick the can down the road, but we’re already at the end of that road now.
It’s in the hands of politicians and high frequency traders.
Good luck to everyone.
Tim
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