Perpetual+: 19 July 2009
The period between 3 Jul 09 and 19 Jul 09 saw weaknesses in HSCEI with the index falling to 10,279.25 on 13 Jul 09 (about 7% from 10,983.77 10 days before), but managed to finish higher at 11,146.43, having risen more than 8% over the last four days.
30-day volatility continues climbing down at 30.58%. Coupled with the recent outperformance means the exposure is now at 115.48%. Target exposure, however, already reached 120.58%, so with a bit of further upside and/or a lower volatility, we should expect to rebalance to higher than 120% fairly soon.
| Date | Index | O/N Libor | BF | HSCEI Index | Vol | Multiplier | TE | W | RPV | $ RPV | $ W |
| 3-Jul-09 | 10983.77 | 0.00 | 76.24% | 109.05% | 35.19% | 3.41 | 100.39% | 96.73% | 108.06% | $540,299.66 | $522,643.09 |
| 6-Jul-09 | 10827.62 | 0.00 | 76.24% | 107.50% | 35.28% | 3.40 | 96.80% | 96.73% | 106.57% | $532,869.55 | $515,455.78 |
| 7-Jul-09 | 10674.67 | 0.00 | 76.24% | 105.98% | 35.29% | 3.40 | 93.40% | 96.73% | 105.12% | $525,588.26 | $508,412.45 |
| 8-Jul-09 | 10573.71 | 0.00 | 76.24% | 104.98% | 35.40% | 3.39 | 90.84% | 96.73% | 104.16% | $520,779.75 | $503,761.07 |
| 9-Jul-09 | 10641.19 | 0.00 | 76.24% | 105.65% | 35.28% | 3.40 | 92.68% | 96.73% | 104.80% | $523,994.69 | $506,870.94 |
| 10-Jul-09 | 10574.42 | 0.00 | 76.24% | 104.98% | 31.93% | 3.76 | 100.72% | 96.73% | 104.16% | $520,814.24 | $503,794.43 |
| 13-Jul-09 | 10279.25 | 0.00 | 76.24% | 102.05% | 32.35% | 3.71 | 91.88% | 96.73% | 101.35% | $506,751.53 | $490,191.28 |
| 14-Jul-09 | 10651.86 | 0.00 | 76.24% | 105.75% | 31.02% | 3.87 | 105.70% | 96.73% | 104.90% | $524,520.35 | $507,379.43 |
| 15-Jul-09 | 10860.66 | 0.00 | 76.24% | 107.82% | 30.47% | 3.94 | 112.91% | 96.73% | 106.89% | $534,466.11 | $517,000.17 |
| 16-Jul-09 | 10902.47 | 0.00 | 76.24% | 108.24% | 30.07% | 3.99 | 115.48% | 115.48% | 107.29% | $536,456.39 | $619,492.70 |
| 17-Jul-09 | 11146.43 | 0.00 | 76.24% | 110.66% | 30.58% | 3.92 | 120.58% | 115.48% | 110.06% | $550,318.52 | $635,500.50 |
On 6 Jul 09, I saw the bid/ask narrowing to 5bps for 63329 HK, so sold 350,000 contracts to purchase further 300,000 contracts of 64581 HK. On 16 Jul 09, given a higher exposure of 115.48%, I bought further 120,000 contracts of 64581 HK to bring it to a total of 450,000 contracts.
| Date | Ticker | Last Price | Gearing | 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 |
| 3-Jul-09 | 63329 HK | 0.243 | 3.16 | 650,000.00 | $157,950.00 | 0.00 | $0.00 | $565.31 | $2,630.00 | $40,299.66 | $43,166.00 |
| 64581 HK | 0.187 | 4.70 | 30,000.00 | $5,610.00 | 0.00 | $0.00 | |||||
| 6-Jul-09 | 63329 HK | 0.234 | 3.24 | 300,000.00 | $70,200.00 | (350,000.00) | $81,900.00 | ($7,430.11) | ($6,000.00) | $32,869.55 | $37,166.00 |
| 64581 HK | 0.182 | 4.76 | 330,000.00 | $60,060.00 | 300,000.00 | ($54,600.00) | |||||
| 7-Jul-09 | 63329 HK | 0.225 | 3.32 | 300,000.00 | $67,500.00 | 0.00 | $0.00 | ($7,281.28) | ($8,640.00) | $25,588.26 | $28,526.00 |
| 64581 HK | 0.164 | 5.21 | 330,000.00 | $54,120.00 | 0.00 | $0.00 | |||||
| 8-Jul-09 | 63329 HK | 0.216 | 3.43 | 300,000.00 | $64,800.00 | 0.00 | $0.00 | ($4,808.52) | ($6,660.00) | $20,779.75 | $21,866.00 |
| 64581 HK | 0.152 | 5.57 | 330,000.00 | $50,160.00 | 0.00 | $0.00 | |||||
| 9-Jul-09 | 63329 HK | 0.216 | 3.45 | 300,000.00 | $64,800.00 | 0.00 | $0.00 | $3,214.94 | $0.00 | $23,994.69 | $21,866.00 |
| 64581 HK | 0.152 | 5.60 | 330,000.00 | $50,160.00 | 0.00 | $0.00 | |||||
| 10-Jul-09 | 63329 HK | 0.216 | 3.43 | 300,000.00 | $64,800.00 | 0.00 | $0.00 | ($3,180.45) | $0.00 | $20,814.24 | $21,866.00 |
| 64581 HK | 0.152 | 5.57 | 330,000.00 | $50,160.00 | 0.00 | $0.00 | |||||
| 13-Jul-09 | 63329 HK | 0.199 | 3.62 | 300,000.00 | $59,700.00 | 0.00 | $0.00 | ($14,062.71) | ($12,690.00) | $6,751.53 | $9,176.00 |
| 64581 HK | 0.129 | 6.37 | 330,000.00 | $42,570.00 | 0.00 | $0.00 | |||||
| 14-Jul-09 | 63329 HK | 0.221 | 3.37 | 300,000.00 | $66,300.00 | 0.00 | $0.00 | $17,768.82 | $12,870.00 | $24,520.35 | $22,046.00 |
| 64581 HK | 0.148 | 5.76 | 330,000.00 | $48,840.00 | 0.00 | $0.00 | |||||
| 15-Jul-09 | 63329 HK | 0.23 | 3.31 | 300,000.00 | $69,000.00 | 0.00 | $0.00 | $9,945.76 | $11,940.00 | $34,466.11 | $33,986.00 |
| 64581 HK | 0.176 | 4.94 | 330,000.00 | $58,080.00 | 0.00 | $0.00 | |||||
| 16-Jul-09 | 63329 HK | 0.233 | 3.28 | 300,000.00 | $69,900.00 | 0.00 | $0.00 | $1,990.28 | $2,550.00 | $36,456.39 | $36,536.00 |
| 64581 HK | 0.181 | 4.82 | 450,000.00 | $81,450.00 | 120,000.00 | ($21,720.00) | |||||
| 17-Jul-09 | 63329 HK | 0.25 | 3.12 | 300,000.00 | $75,000.00 | 0.00 | $0.00 | $13,862.13 | $10,050.00 | $50,318.52 | $46,586.00 |
| 64581 HK | 0.192 | 4.64 | 450,000.00 | $86,400.00 | 0.00 | $0.00 |
What did I say then?
Prosperity Real Estate Investment Trust and Agile Property Holdings have attracted i...
