Thursday, July 24, 2008

7/24/2008

G/L
10d,Theta
10d,65%VAR
10d,95%VAR
10d,99%VAR
0.2%
0.5%
0.6%
3.5%
8.0%

July 2008 Result

July 2008 Return: -0.3%

Market is extremely volatile this month.

Fortunately, the market rebounded/stabilized right before end of the month. Final return is -0.3%, helped by tight risk control.