Perpetual+: 27 June 2009
Submitted by loner on 27 June, 2009 - 6:56pm
Since 19 Jun 09, the HSCEI is up ~5%. It was not without volatility, though. During the week the index fell below 10,300, before finishing above 11,000 on Friday. Its 30-day volatility is up 1% at 36.85%.
This week saw another rebalance event, reducing the exposure from 94.66% to 87.74%. I sold 50,000 contracts of 63329 HK.
Currently the portfolio is up 8.52%, vs. 9.58% for the index. Its annualised volatility since the inception stands at 33.32%, vs. 37.38% for the index.
| Date | Index | O/N Libor | BF | HSCEI Index | Vol | Multiplier | W | RPV | $ RPV | $ W |
| 19-Jun-09 | 10509.85 | 0.00 | 76.24% | 104.34% | 35.70% | 3.36 | 94.66% | 103.94% | $519,679.53 | $491,940.84 |
| 22-Jun-09 | 10638.8 | 0.00 | 76.24% | 105.62% | 35.59% | 3.37 | 94.66% | 105.14% | $525,715.38 | $497,654.52 |
| 23-Jun-09 | 10280.13 | 0.00 | 76.24% | 102.06% | 35.98% | 3.34 | 94.66% | 101.79% | $508,937.76 | $481,772.43 |
| 24-Jun-09 | 10530.35 | 0.00 | 76.24% | 104.55% | 36.63% | 3.28 | 87.74% | 104.13% | $520,664.18 | $456,831.24 |
| 25-Jun-09 | 10763.76 | 0.00 | 76.24% | 106.86% | 37.17% | 3.23 | 87.74% | 106.16% | $530,790.06 | $465,715.70 |
| 26-Jun-09 | 11037.14 | 0.05 | 76.24% | 109.58% | 36.85% | 3.26 | 87.74% | 108.52% | $542,618.49 | $476,093.97 |
What did I say then?
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