March 2008 Report

The month started off with a continuation of a drawdown period that began near the end of February. This type of drawdown was only seen one time in 2007 and once in 2006. We hope that it will be the only one of it's kind this year as well. After drawing down from March 1st through March 10th as much as 17%, the month began to regain it's losses and ended down just 1%. It was a disappointing start with a moderate finish.

Starting midday through March, we added the USD/JPY to our Carry Trade Pair Intraday strategy as a means of smoothing out the gains/losses. We also scaled down the risk on the GBP/USD so as to eliminate daily drawdowns in excessive of 8%. The upside to this as that we are unlikely to see large daily drawdowns again. The downside is that it will initially take longer to make up those drawdowns that occurred as part of the previous risk size.

Month Total = -1%
QTD = +1%
YTD = +1%