Perpetual+: 19 June 2009
Submitted by loner on 21 June, 2009 - 2:27pm
The market has been rather flat since 03 June 2009. HSCEI is currently at 10,509.85 or up 4.34% since 19 May 2009. The vol has come down quite a bit over the period at 35.70%, increasing the risk-adjusted Multiplier to 3.36.
On 17 June 2009, there was the second rebalance, increasing the exposure to 94.66% from 83.88%, on back of the decrease in the volatility. I bought 80,000 contracts of 63329 HK to a total of 670,000 contracts.
| BF | HSCEI Index | Vol | Multiplier | W | RPV | $ RPV | $ W |
| 76.24% | 104.34% | 35.70% | 3.36 | 94.66% | 103.94% | $519,679.53 | $491,940.84 |
| Ticker | Name | Contract to Hold | $ Contract to Hold | Contract to Buy/Sell | $ Contract to Buy/Sell | RPV Daily PnL | Tracker Daily PnL | RPV Daily Cumul PnL | Tracker Daily Cumul PnL |
| 63329 HK | RABOBANK-RC10 HANG SENG CHIN | 670,000.00 | $142,710.00 | 0.00 | $0.00 | $4,099.36 | $0.00 | $19,679.53 | $24,516.00 |
It has been a month since I started the process on 19 May 2009.
What did I say then?
Proprietary trading and derivatives deliver for ABN Amro | Financial News (6 years 27 weeks ago):
Net profits from investment banking at ABN Amro surged by 51% to €259m ($314m) in the first six...
