Bond Portfolio Hedging Candidates Algorithmic Analysis
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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)
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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
>$20k Drawdowns January 1 – July 7
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Bond Portfolio Hedging Candidates
Symbol Calendar Period Position Value chg. (%)
Position Value chg. ($)
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%
>$20k Drawdowns January 1 – July 7
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Bond Portfolio Hedging Candidates JNK: May 31 – June 16
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Bond Portfolio Hedging Candidates VWEHX: May 16 – June 21
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Bond Portfolio Hedging Candidates TPINX: March 9 - 17
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Bond Portfolio Hedging Candidates JNK: March 8 - 16
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Bond Portfolio Hedging Candidates TPINX: May 2 - 5
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Bond Portfolio Hedging Candidates PTTDX: January 27 – February 10
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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 $1,270,690 n/a 13.29%
Reported financial sector allocations in corporate bond holding prospectūs
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Financial Exposure Hedging Candidates
Symbol Calendar Period Position Value chg. (%)
Position Value chg. ($)
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%
>$20k Drawdowns January 1 – July 7
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Financial Exposure Hedging Candidates JNK: May 31 – June 16
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Financial Exposure Hedging Candidates VWEHX: May 16 – June 21
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Financial Exposure Hedging Candidates TPINX: March 9 - 17
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Financial Exposure Hedging Candidates JNK: March 8 - 16
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Financial Exposure Hedging Candidates TPINX: May 2-5
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Financial Exposure Hedging Candidates PTTDX: January 27 – February 10
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End of hedging candidate analysis