bond portfolio hedging candidates algorithmic analysis

1 www.indexstrategyadvisors.com

Index Trend Reversal Supplement #3:

2 Bond Portfolio YTD 2011

4 Bond Portfolio Hedging Candidates

11 Bond Portfolio Direct Exposure to Financial Sector

12 Financial Exposure Hedging Candidates

Homepage: http://www.indexstrategyadvisors.com

Address: Index Strategy Advisors, Inc. 2001 Holcombe Blvd. 25th Floor - Suite 2502 Houston, TX 77030

Telephones: 1-800-984-0268 1-832-586-8329 (fax)

http://www.indexstrategyadvisors.com/



Bond Portfolio YTD 2011



Bond Portfolio YTD 2011

Symbol Calendar Period Position Value chg. (%) Position Value chg. ($)

JNK May 31 - June 16 -5.13% -$86,250

VWEHX May 16 - June 21 -2.21% -$53,877

TPINX March 9 - 17 -2.34% -$41,761

JNK March 8 - 16 -2.44% -$37,875

TPINX May 2 - 5 -1.284% -$22,779

PTTDX January 27 – February 10 -1.1% -$20,876

>$20k Drawdowns January 1 – July 7



Bond Portfolio Hedging Candidates

Symbol Calendar Period Position Value chg. (%)

Position Value chg. ($)

U.S. Treasury Bond Futures

CBOE Mini-Volatility Index Futures

JNK May 31 - June 16 -5.13% -$86,250 0.826% 47.120%

VWEHX May 16 - June 21 -2.21% -$53,877 1.364% 3.399%

TPINX March 9 - 17 -2.34% -$41,761 2.038% 33.047%

JNK March 8 - 16 -2.44% -$37,875 2.933% 42.304%

TPINX May 2 - 5 -1.284% -$22,779 0.639% 8.982%

PTTDX January 27 – February 10 -1.1% -$20,876 -1.43% -3.305%



http://www.cmegroup.com/trading/interest-rates/us-treasury/30-year-us-treasury-bond_contract_specifications.html





http://cfe.cboe.com/Products/Spec_VM.aspx







Bond Portfolio Hedging Candidates JNK: May 31 – June 16



Bond Portfolio Hedging Candidates VWEHX: May 16 – June 21



Bond Portfolio Hedging Candidates TPINX: March 9 - 17



Bond Portfolio Hedging Candidates JNK: March 8 - 16



Bond Portfolio Hedging Candidates TPINX: May 2 - 5



Bond Portfolio Hedging Candidates PTTDX: January 27 – February 10



Bond Portfolio Direct Exposure to Financial Sector

Holding Exposure Weight within holding Weight within bond portfolio

PTTDX $459,272 24% 4.8%

HABDX $336,988 23% 3.52%

VWEHX $333,651 15% 3.49%

JNK $140,778 9.3% 1.47%

Total $1,270,690 n/a 13.29%

Reported financial sector allocations in corporate bond holding prospectūs



Financial Exposure Hedging Candidates

Symbol Calendar Period Position Value chg. (%)

Position Value chg. ($)

Russell 2000 Index Mini Futures (short)

Direxion Daily Financial Bear 3X

JNK May 31 - June 16 -5.13% -$86,250 6.648% 20.157%

VWEHX May 16 - June 21 -2.21% -$53,877 2.822% 9.577%

TPINX March 9 - 17 -2.34% -$41,761 2.85% 12.20%

JNK March 8 - 16 -2.44% -$37,875 -1.258% 12.220%

TPINX May 2 - 5 -1.284% -$22,779 .073% 5.725%

PTTDX January 27 – February 10 -1.1% -$20,876 -1.43% -3.305%



https://www.theice.com/productguide/ProductDetails.shtml?specId=86




http://www.direxionshares.com/etf/fbe_3x_shares.html





Financial Exposure Hedging Candidates JNK: May 31 – June 16



Financial Exposure Hedging Candidates VWEHX: May 16 – June 21



Financial Exposure Hedging Candidates TPINX: March 9 - 17



Financial Exposure Hedging Candidates JNK: March 8 - 16



Financial Exposure Hedging Candidates TPINX: May 2-5



Financial Exposure Hedging Candidates PTTDX: January 27 – February 10



End of hedging candidate analysis


bond portfolio hedging candidates algorithmic analysis

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