The Fund lost 2.05% this week, closing out a terrible month with a total loss of 25% for August. Despite increased precautions in our risk management approach, we suffered severe losses driven by currency markets. Unprecedented appreciation in US dollar hit us hard on multiple euro bets, and also took a toll on our commodities positions. Overall, the Fund is down 4.59% since inception.

Our current portfolio is sound, with excess risk hedged to control for sudden asset price movements. In particular, we have protective straddles on a couple key positions, as well as a new approach of incorporating long-term ITM call options for Chesapeake Energy (CHK). This position was entered as a steady hedge against gains in natural gas, coupled with an opportunity to participate in equity capital appreciation for a fundamentally sound energy company.

Increasingly unbalanced net short positions in Chinese stocks (FXI) and natural gas (UNG) led us roll back our bets through a series of butterly spread executions. This effectively pushed back the strike prices on each of those bets on the call side. Engaging in these precautionary measures reduced both potential profit and risk.

The Fund currently sits on a relatively stable portfolio, with another three trading weeks before September contract expiration.

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