11/19/2007

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

-0.1%	4.4%	7.1%	34.3%	81.0%

November 2007 Result

Nov 2007: 9.4%

10/22/2007

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

0.8%	4.8%	7.0%	35.6%	82.8%

October 2007 Result

October 2007 Result: 1.8%

The last trading day's 40 pts drop has caused some loss. Nevertheless, the position
is not heavy, the risk is contained.

Big losses always come from panic. Just need to keep a close eye on the risks to
avoid panic.

10/4/2007

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

1.1%	4.4%	0.8%	17.4%	83.5%

Keep close eye on 99%VAR risk

09/28/2007

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

2.2%	2.1%	0.0%	8.6%	42.6%

October 2007 Positions

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

0.0%	2.8%	0.9%	10.5%	34.9%

September 2007 Result

September 2007 Return: 12.0%

This is not enough to get back the previous losses.
But it's good to make money...

08/27/2007

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

6.9%	3.0%	1.9%	19.3%	56.2%

Keep close eye on the 99%VAR...

Lloyd's of London

http://en.wikipedia.org/wiki/Lloyd's_of_London

For most of Lloyd's history, rich individuals ("Names") backed policies written at Lloyd's with all of their personal wealth (unlimited liability). The losses in the early 1990s devastated the finances of many Names (upwards of 1,500 out of 34,000 Names were declared bankrupt) and scared away others.

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Names (rich individuals) of Lloyd's of London are not required to put down any money to underwrite the reinsurance policies. While their money earns great returns from stock market or real estates, Names get additional income (insurance premium) at the same time.

This strategy worked great until unexpected huge amount of insurance claims showed up. Those claims squeezed not only the insurance premiums, but also their own capital.

Isn't the index gambling strategy just like that employed by the Names of Lloyd's of London? Selling insurance policies for income can generates decent cash flow, but it is not without risk. The risk can potentially eat up all the working capital.

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