To: er
From:
Sent: ur 4 4:41:51 PM
Subject: Re: ATorus Daily Portfolio - 412
you too!
On Apr 3, 2014, at l 1:49 AM, Michael Fowler wrote:
Please sec attached the Daily Portfolio Report for 4/2. Have a good day!
Daily Commentary
We wanted to highlight monetization of P&L off of peak MTM. In this case CELG. Peak MTM of
$14,105 was achieved on February 18th. From 3/13 to 3/25 the system received an opposing
trade signal and we closed the position. The total realized gain was $11,125. The factors
determining the variability of monetization is (i) how quickly realized vol changes in the very
near term and (ii) net/gross movement over the equivalent period.
In the context of the overall portfolio, daily volatility and drawdowns are a function of (i) the net exposure
and (ii) the portfolio correlation. Generally, the extremes of these two values are 'right-war risk
for us. To reach extreme levels requires (i) a period of time for the portfolio to transition to
those levels if portfolio construction is not failing and (ii) we are experiencing large MTM gains
as to add to positions and increase leverage.
Best Regards,
Michael J. Fowler
Intl. Mobile
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<ATorus_BacktestNAV_0402 I 4. pdf>
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