1st Quarter 2008 Report

The first quarter of 2008 started off moderately well in January and then went through a large drawdown from Mid February through early March. This type of drawdown is similar to that which we saw last year in the month of March when the system lost nearly 20% in one month (down as much as 30% at one time during the month). It took until mid May of 2007 to recover the losses.

In late January we began to see a change in how the GBP/JPY moved. We analyzed it's movements through the month of February. Starting the beginning of March, we adjusted the time frame from which the Pair was traded. Still using the same signals, the shorter time frame allowed us to better take advantage of it's much more volatile movements. We also added the less volatile corresponding pair, the USD/JPY, to the strategy and adjusted our risk/reward ratio. We have seen reasonable success from the changes and will continue to monitor it's effectiveness.

January = +11%
February = -9%
March = -1%
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1st Quarter 2008 = +1%