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2016 July Update


There was hedging activity as well as investment activity this month. Price histories, adjusted for splits and dividends, were downloaded from Yahoo.


I have been unable to become fully invested for several months. Consequently, I have raised the tranche size from $50,000 to $70,000.

Comprehensive Strategy hedges

Selection list

The selection list was generated before the July 6 market opening.

                                    MERIT    PRICE   GROUP AND END MARKET  
QUNR   Qunar Cayman Islands          238     29.62  Entertainment       Chn
TDC    Teradata Corp                 229     24.78  Electron Eqpt   US/intl
DB     Deutsche Bank                 170     13.40  Banks              intl
RH     Restoration Hardware          169     29.55  Home Furnish     US/Can
ENDP   Endo Intl                     157     16.56  Drugs              intl
RL     Ralph Lauren                  156     88.52  Apparel            intl
M      Macy's, Inc                   148     33.10  Retail,Variety       US
BIIB   Biogen Inc                    148    242.03  Biotechnology      intl
AMX    America Movil                 148     12.18  Util, Telecom  Mex/intl
DANG   E-Commerce China Dangdang     144      5.93  Retail, Special     Chn
LBTYA  Liberty Global                142     27.49  Util, Telecom        UK
WFM    Whole Foods Market            142     32.31  Food, Diverse   US/intl
PRGO   Perrigo Co                    139     90.89  Drugs              intl
BBBY   Bed Bath & Beyond             139     42.26  Home Furnish     US/Can
KSS    Kohl's Corp                   138     36.74  Retail,Variety       US
NTAP   NetApp Inc                    137     23.48  Electron Eqpt      intl
CCJ    Cameco Corp                   137     10.61  Basic Matls        intl
POT    Potash Corp                   135     16.20  Agriculture        intl
BEAV   B/E Aerospace                 132     45.15  Aerosp & Def    US/intl
YY     YY Inc                        130     33.59  Info Servs          Chn

Portfolio

Hedge exposure was $799,620, investment exposure was $920,040, and tranche size was $70,000. Two new hedges were required to improve balance.

I chose BIIB and AMX for the hedges. QUNR received an acquisition bid; TDC, DB, RH, RL, and M were already hedges; and ENDP was in the same group and end market as existing hedges:

                   GROUP AND END MARKET           START        END OF MONTH
20 AMBA17P42      Semiconductors     intl   04/18/16  15,124  07/31   3,700
100 AMX17P11      Util, Telecom  Mex/intl   07/06/16   7,987  07/31   7,000
6 BIIB17P245      Biotechnology      intl   07/06/16  14,755  07/31   5,820
40 CAR17P22.5     Rental Servs       intl   04/18/16  14,480  07/31   2,800
30 CF17P30        Agriculture        intl   04/18/16  11,072  07/31  20,550
120 DB17P15       Banks              intl   04/18/16  19,903  07/31  31,800
20 DISH17P45      Util, Telecom        US   04/18/16   9,704  07/31   4,300
20 IAC17P45       Info Servs      US/intl   04/18/16   8,724  07/31   2,200
60 LCI17P17.5     Drugs                US   04/18/16  21,055  07/31   3,180
20 M17P40         Retail,Variety       US   04/18/16   8,064  07/31  12,400
80 NOV17P27.5     Oil & Gas          intl   04/18/16  27,879  07/31  14,480
20 RH17P40        Home Furnish     US/Can   04/18/16   9,824  07/31  22,800
10 RL17P95        Apparel            intl   04/18/16   8,416  07/31   5,200
80 TDC17P22.5     Electron Eqpt   US/intl   04/18/16  15,671  07/31   6,800
20 VMW17P50       Software        US/intl   04/18/16  12,224  07/31   1,680

Capital gains

Thousands of US$
  AUG   SEP   OCT   NOV   DEC   JAN   FEB   MAR   APR    MAY   JUN   JUL
   73    29   -90                                 -28     -4    26   -54

Comprehensive Strategy investments

Selection list

The selection list was generated before the July 25 market opening.

                                    MERIT    PRICE   GROUP AND END MARKET  
ARCC   Ares Capital Corp            1155     15.10  Investments          US
MCD    McDonald's Corp               718    128.26  Restaurants     US/intl
SPG    Simon Property                538    225.30  Real Estate        intl
MO     Altria Group                  505     68.86  Tobacco Prods   US/intl
RAI    Reynolds American             500     52.29  Tobacco Prods        US
LMT    Lockheed Martin               480    257.31  Aerosp & Def    US/intl
CCI    Crown Castle                  478     98.87  Util, Telecom    US/Aus
HD     Home Depot                    474    136.52  Home Furnish        NAm
AZO    AutoZone Inc                  437    794.53  Auto Parts       US/Mex
EL     Estee Lauder                  436     93.23  Personal Prods     intl
UNH    UnitedHealth Group            433    143.69  HC Plans             US
TJX    TJX Companies                 424     79.83  Retail,Variety  US/intl
STZ    Constellation Brands          413    167.66  Beverage, Hard     intl
PM     Philip Morris                 411     99.84  Tobacco Prods      intl
CCE    Coca-Cola European Partners   409     38.25  Beverage, Soft       EU
KMB    Kimberly-Clark Corp           393    134.63  Personal Prods     intl
CMCSA  Comcast Corp                  377     67.46  Entertainment      intl
COST   Costco Wholesale Corp         371    167.47  Retail,Variety  US/intl
AMT    American Tower                371    117.84  Real Estate        intl
ROST   Ross Stores                   365     59.97  Apparel              US

Portfolio

Investment exposure was $990,040, including $70,000 for the slated investment, and hedge exposure was $1,038,849. Closing a hedge would not improve balance.

I chose AZO for the investment. ARCC, MCD, RAI, LMT, CCI, and HD were already investments; SPG was in the Real Estate group; and MO was in the same group and end market as an existing investment:

                   GROUP AND END MARKET           START        END OF MONTH
500 CCI           Util, Telecom    US/Aus   12/15/14  37,778  07/31  48,515
4800 GPAGF        Packaged Goods  US/intl   09/26/14  49,921  07/31  69,084
60 ARCC18C15      Investments          US   03/28/16   4,315  07/31   3,300
60 ARCC18C17      Investments          US   05/25/16   1,495  07/31   1,200
2 AZO18C800       Auto Parts       US/Mex   07/25/16  15,468  07/31  17,400
20 CCE17C50       Beverage, Soft       EU   04/24/15   5,824  07/31   7,000
20 CMCSA18C55     Entertainment      intl   01/25/16  14,564  07/31  30,200
14 EL17C85        Personal Prods     intl   10/23/15  11,079  07/31  14,420
10 HD18C130       Home Furnish        NAm   02/25/16  13,246  07/31  17,300
4 LMT18C220       Aerosp & Def    US/intl   12/15/15   8,567  07/31  15,600
3 MCD17C90        Restaurants     US/intl   12/15/14   2,320  07/31   8,985
10 MCD18C125      Restaurants     US/intl   06/24/16   7,576  07/31   5,750
10 NI117C45       Util, Energy         US   01/27/15   3,096  07/31   6,400
28 RAI17C38.75    Tobacco Prods        US   02/25/15   7,075  07/31  33,040
14 STZ17C125      Beverage, Hard     intl   08/25/15  18,611  07/31  56,840
14 TJX17C70       Retail,Variety  US/intl   03/25/15  11,457  07/31  17,920
10 TRV18C115      Insurance       US/intl   11/25/15  10,812  07/31  10,400
6 UNH18C135       HC Plans             US   04/25/16   8,845  07/31  11,400

Capital gains, investments

Thousands of US$
  AUG   SEP   OCT   NOV   DEC   JAN   FEB   MAR   APR    MAY   JUN   JUL
               50     4    -2    -7    13    24   -14     -5    21    17

Capital gains, stocks

Thousands of US$
  AUG   SEP   OCT   NOV   DEC   JAN   FEB   MAR   APR    MAY   JUN   JUL
   -8   -13                                                             

Capital gains, call options

Thousands of US$
  AUG   SEP   OCT   NOV   DEC   JAN   FEB   MAR   APR    MAY   JUN   JUL
   -6    -2                                                             

Irregular Strategy

Buying in the Irregular Strategy has ended and the portfolio is empty.

Capital gains

Thousands of US$
  AUG   SEP   OCT   NOV   DEC   JAN   FEB   MAR   APR    MAY   JUN   JUL
    1     2    -4    -9    -7     7                                     

Real Estate Fund Strategy

Portfolio

                      DESCRIPTION                 START        END OF MONTH
14 IYR17C72     iShares US Real Estate      08/25/15   6,375  07/31  17,710
42 IYR17C76     iShares US Real Estate      10/23/15  18,395  07/31  40,740
33 IYR18C72     iShares US Real Estate      02/25/16  17,359  07/31  45,210
14 IYR18C75     iShares US Real Estate      12/15/15   8,237  07/31  15,680
28 IYR18C76     iShares US Real Estate      11/25/15  15,438  07/31  29,708
14 IYR18C80     iShares US Real Estate      06/24/16   7,565  07/31  11,928
14 IYR18C85     iShares US Real Estate      07/25/16   7,719  07/31   7,420

Capital gains

Thousands of US$
  AUG   SEP   OCT   NOV   DEC   JAN   FEB   MAR   APR    MAY   JUN   JUL
  -15    -8    10    -2     2   -15    -5    35   -10      9    36    35

Easy Strategy

Portfolio

The Easy Strategy portfolio was sold because the January Barometer was negative. The proceeds of $119,948 will be reinvested on October 10.

Capital gains

Thousands of US$
  AUG   SEP   OCT   NOV   DEC   JAN   FEB   MAR   APR    MAY   JUN   JUL
               18     3   -22   -39    -1    35    12