June 2008 Result

Jun 2008 Return: 0.0%

This is not bad result considering the market was mostly moving down this month.

Initial Position for June 2008

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

0.0%	1.3%	0.4%	5.8%	16.2%

May 2008 Result

May 2008 Return: 6.6%

04/28/2008

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

1.4%	2.7%	0.2%	10.7%	33.0%

4/21/2008

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

0.3%	1.6%	0.3%	6.6%	18.6%

4/20/2008

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

0.0%	0.9%	0.6%	4.1%	9.3%

April 2008 Result

April 2008 Return: 5.6%

Reduced risk appears to contribute to the less account volatility during the last several months .

Inflation in the Future?

http://www.pimco.com/LeftNav/Featured+Market+Commentary/IO/2008/IO+March+2008.htm

Quoted from Bill Gross's Investment outlook:

1) home price declines have to be halted in order to revive the U.S. economy,
2) the Bear Stearns crisis and its solution will lead to increased government regulation and a higher probability of inflation,
3) J.P. Morgan (the old man) was right – character, not assets, should form the foundation for lending, although a reversion to this old-fashioned model is not likely anytime soon, and
4) whether you know it or not – whether you like it or not – you are bailing out Wall Street.

03/24/2008

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

-0.1%	2.9%	1.9%	11.9%	25.5%

March 2008 Return

March 2008 Result: 4.5%