In a recent client memo, I mentioned that during 2005, I would be returning to a much more active use of and role for the Gillespie Model Fixed-Income Portfolio, as well as setting up a model stock account. I also stated that I hoped to have 2004 investment results for the bond account computed by the coming weekend, at which time I would distribute them.
I am still more or less on this schedule. In the meantime, I'm forwarding the bond account's transactions journal for last year, as well as the opening data for the new stock account. The stock material appears first.
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GILLESPIE MODEL EQUITY PORTFOLIO
(As of the Close of Business 12/31/04)
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% of
Quant./ Unit Market Port. Gain/
Security Price Value Cost @ Mkt. (Loss)
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1005000 Treas.
Bills, 03/31/05 994.43 999402 999402 99.9 0
Cash Balance 598 598 0.1 0
------- ------- ----- -
Total 1000000 1000000 100.0 0
======= ======= ===== =
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SOLD SHORT AND NOT COVERED AS OF THE CLOSE ON 12/31/04
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Short
Quant./ Unit Market Sale Gain/
Security Price Value Proc. (Loss)
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<-------- No Short Positions as of This Date -------->
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GILLESPIE MODEL EQUITY PORTFOLIO
-- TRANSACTIONS JOURNAL
(Inception [12/31/04] Through 12/31/04)
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Date Description Debit Credit Balance
---------------------------------------------------
2004
12/31 Opening/Initial Cash Balance 1000000
12/30 For Settlement 12/31:
Bought 1005000 UST Bills,
03/31/05 @ 2.23% D,
Unit Price = 994.43 999402 598
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Summary of Holdings as of 12/31 Settlement
------------------------------------------
Long: 1005000 UST Bills, 03/31/05
Short: None
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GILLESPIE MODEL FIXED-INCOME
PORTFOLIO -- TRANSACTIONS JOURNAL
(For the Period 12/31/03 Through 12/31/04)
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Date Description Debit Credit Balance
---------------------------------------------------
2003
12/31 Closing Cash Balance (Based on
Contract Date Accounting for
Account Transactions) -315802
2004
01/02 Treasury Bill Maturity
Principal 837993 522191
Interest 2007 524198
01/02 For Settlement 01/05:
Bought 100000 US Treasury
Bonds, 5.375%, 02/15/31
@ 1029.82 (YTM=5.17%) 102982 421216
Accrued Interest 2135 419081
01/05 For Settlement 01/06:
Bought 100000 US Treasury
Bonds, 5.375%, 02/15/31
@ 1023.75 (YTM=5.21%) 102375 316706
Accrued Interest 2150 314556
01/05 For Settlement 01/06:
Bought 315000 UST Bills,
04/01/04 @ 0.90% D,
Unit Price = 997.85 314323 233
01/07 For Settlement 01/08:
Sold 200000 US Treasury
Bonds, 5.375%, 02/15/31
@ 1044.99 (YTM=5.07%) 208998 209231
Accrued Interest 4360 213591
01/07 For Settlement 01/08:
Bought 210000 UST Bills,
04/01/04 @ 0.86% D,
Unit Price = 997.99 209578 4013
01/09 For Settlement 01/12:
Sold 200000 US Treasury
Bonds, 5.375%, 02/15/31
@ 1058.86 (YTM=4.98%) 211772 215785
Accrued Interest 4479 220264
01/09 For Settlement 01/12:
Sold 150000 US Treasury
Bonds, 5.375%, 02/15/31
@ 1061.88 (YTM=4.96%) 159282 379546
Accrued Interest 3359 382905
01/09 For Settlement 01/12:
Bought 380000 UST Bills,
04/01/04 @ 0.83% D,
Unit Price = 998.16 379301 3604
01/13 For Settlement 01/14:
Sold 150000 US Treasury
Bonds, 5.375%, 02/15/31
@ 1064.59 (YTM=4.94%) 159689 163293
Accrued Interest 3404 166697
01/13 For Settlement 01/14:
Bought 165000 UST Bills,
04/01/04 @ 0.85% D,
Unit Price = 998.16 164696 2001
01/23 For Settlement 01/26:
Sold Short 150000
US Treasury Bonds,
5.375%, 02/15/31 @
1083.37 (YTM=4.82%) 162506 164507
Accrued Interest 3673 168180
01/23 For Settlement 01/26:
Bought (to cover
short) 150000
US Treasury Bonds
5.375%, 02/15/31 @
1067.72 (YTM=4.92%) 160158 8022
Accrued Interest 3673 4349
02/11 For Settlement 02/12:
Sold Short 150000
US Treasury Bonds,
5.375%, 02/15/31
@ 1072.42 (YTM=4.89%) 160863 165212
Accrued Interest 4054 169266
02/11 For Settlement 02/12:
Bought 165000 UST Bills,
04/01/04 @ 0.86% D,
Unit Price = 998.83 164807 4459
02/15 Interest Charge (for
150,000, par value,
Treasury 5.375s of
2/15/31 sold short) 4121 338
02/27 For Settlement 03/01:
Sold Short 100000
US Treasury Bonds,
5.375%, 02/15/31
@ 1077.11 (YTM=4.86%) 107711 108049
Accrued Interest 224 108273
02/27 For Settlement 03/01:
Bought 105000 UST Bills,
04/01/04 @ 0.91% D,
Unit Price = 999.22 104918 3355
03/01 For Settlement 03/02:
Sold Short 145000
US Treasury Bonds,
5.375%, 02/15/31
@ 1084.94 (YTM=4.81%) 157316 160671
Accrued Interest 346 161017
03/01 For Settlement 03/02:
Bought 160000 UST Bills,
04/01/04 @ 0.91% D,
Unit Price = 999.24 159878 1139
04/01 Treasury Bill Maturity
Principal 1497501 1498640
Interest 2499 1501139
03/29 For Settlement 04/01:
Bought 1500000 UST Bills,
07/01/04 @ 0.945% D,
Unit Price = 997.61 1496415 4724
04/13 For Settlement 04/14:
Bought (to cover
short) 100000
US Treasury Bonds
5.375%, 02/15/31 @
1035.63 (YTM=5.13%) 103563 -98839
Accrued Interest 881 -99720
04/13 For Settlement 04/14:
Sold 100000 UST Bills,
07/01/04 @ 0.91% D,
Unit Price = 998.03 99803 83
04/14 For Settlement 04/15:
Bought (to cover
short) 100000
US Treasury Bonds
5.375%, 02/15/31 @
1019.40 (YTM=5.24%) 101940 -101857
Accrued Interest 896 -102753
04/14 For Settlement 04/15:
Sold 105000 UST Bills,
07/01/04 @ 0.92% D,
Unit Price = 998.03 104793 2040
04/19 For Settlement 04/20:
Bought (to cover
short) 95000
US Treasury Bonds
5.375%, 02/15/31 @
1025.20 (YTM=5.20%) 97394 -95354
Accrued Interest 908 -96262
04/19 For Settlement 04/20:
Sold 100000 UST Bills,
07/01/04 @ 0.91% D,
Unit Price = 998.18 99818 3556
04/20 For Settlement 04/21:
Bought (to cover
short) 100000
US Treasury Bonds
5.375%, 02/15/31 @
1020.85 (YTM=5.23%) 102085 -98529
Accrued Interest 970 -99499
04/20 For Settlement 04/21:
Sold 100000 UST Bills,
07/01/04 @ 0.92% D,
Unit Price = 998.19 99819 320
05/11 For Settlement 05/12:
Bought 500000
US Treasury Bonds
5.375%, 02/15/31 @
985.30 (YTM=5.48%) 492650 -492330
Accrued Interest 6495 -498825
05/11 For Settlement 05/12:
Sold 500000 UST Bills,
07/01/04 @ 0.90% D,
Unit Price = 998.75 499375 550
05/21 For Settlement 05/24:
Sold 250000 US Treasury
Bonds, 5.375%, 02/15/31
@ 995.10 (YTM=5.41%) 248775 249325
Accrued Interest 3695 253020
05/21 For Settlement 05/24:
Bought 250000 UST Bills,
07/01/04 @ 0.77% D,
Unit Price = 999.19 249798 3222
05/25 For Settlement 05/26:
Sold 250000 US Treasury
Bonds, 5.375%, 02/15/31
@ 995.10 (YTM=5.41%) 248775 251997
Accrued Interest 3770 255767
05/25 For Settlement 05/26:
Bought 255000 UST Bills,
07/01/04 @ 0.85% D,
Unit Price = 999.15 254783 984
05/27 For Settlement 05/28:
Sold Short 150000
US Treasury Bonds,
5.375%, 02/15/31
@ 1009.28 (YTM=5.31%) 151392 152376
Accrued Interest 2307 154683
05/27 For Settlement 05/28:
Bought 150000 UST Bills,
07/01/04 @ 0.86% D,
Unit Price = 999.19 149879 4804
06/07 For Settlement 06/08:
Bought (to cover
short) 150000
US Treasury Bonds
5.375%, 02/15/31 @
985.30 (YTM=5.48%) 147795 -142991
Accrued Interest 2553 -145544
06/07 For Settlement 06/08:
Sold 150000 UST Bills,
07/01/04 @ 0.93% D,
Unit Price = 999.41 149912 4368
06/15 For Settlement 06/16:
Sold Short 200000
US Treasury Bonds,
5.375%, 02/15/31
@ 999.34 (YTM=5.38%) 199868 204236
Accrued Interest 3643 207879
06/15 For Settlement 06/16:
Bought 205000 UST Bills,
07/01/04 @ 0.91% D,
Unit Price = 999.62 204922 2957
06/24 For Settlement 06/25:
Sold Short 100000
US Treasury Bonds,
5.375%, 02/15/31
@ 1007.86 (YTM=5.32%) 100786 103743
Accrued Interest 1956 105699
06/24 For Settlement 06/25:
Bought 105000 UST Bills,
07/01/04 @ 0.93% D,
Unit Price = 999.85 104984 715
06/28 For Settlement 07/01:
Bought 1415000 UST Bills,
09/30/04 @ 1.355% D,
Unit Price = 996.57 1410147 -1409432
07/01 Treasury Bill Maturity
Principal 1408179 -1253
Interest 1821 568
06/30 For Settlement 07/01:
Sold Short 140000
US Treasury Bonds,
5.375%, 02/15/31
@ 1010.70 (YTM=5.30%) 141498 142066
Accrued Interest 2864 144930
06/30 For Settlement 07/01:
Bought 145000 UST Bills,
09/30/04 @ 1.29% D,
Unit Price = 996.74 144527 403
08/13 For Settlement 08/16:
Sold 15000 UST Bills,
09/30/04 @ 1.27% D,
Unit Price = 998.45 14977 15380
08/16 Interest Charge (for
440,000, par value,
Treasury 5.375s of
2/15/31 sold short) 12022 3358
09/27 For Settlement 09/30:
Bought 1555000 UST Bills,
12/30/04 @ 1.710% D,
Unit Price = 995.57 1548111 -1544753
09/30 Treasury Bill Maturity
Principal 1539725 -5028
Interest 5275 247
12/27 For Settlement 12/30:
Bought 1560000 UST Bills,
03/31/05 @ 2.225% D,
Unit Price = 994.38 1551233 -1550986
12/30 Treasury Bill Maturity
Principal 1548111 -2875
Interest 6889 4014
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Summary of Holdings as of 12/31 Settlement
------------------------------------------
Long: 1560000 UST Bills, 09/30/04
Short: 440000 UST Bonds, 5.375%, 2/15/31
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