Perpetual+: 01 Aug 2009
Submitted by loner on 2 August, 2009 - 9:43pm
The HSCEI started with a bang, rising 3.93% on 20 Jul 09. For the next 8 days, it rose more than 10%, finishing at 12,424.58 on 28 Jul 09. The market rumour of credit-tightening in the mainland China, however, caused the index to drop more than 3% on 29 Jul 09 (Shanghai exchange saw its composite index dropping more than 7% intraday).
The 8-day rally pushed the exposure to 124.94%, but we had to scale back up 101.66% on 30 Jul after the drop the day before.
| Date | HSCEI | H$ONWGHT | BF | HSCEI | Ln | Vol | Multiplier | W | RPV | $ RPV | $ W |
| 20-Jul-09 | 11593.13 | 0.00 | 77.04% | 115.10% | 3.93% | 32.36% | 3.71 | 115.48% | 115.16% | $575,786.59 | $664,910.68 |
| 21-Jul-09 | 11592.25 | 0.00 | 80.61% | 115.09% | -0.01% | 31.94% | 3.76 | 115.48% | 115.15% | $575,736.11 | $664,852.40 |
| 22-Jul-09 | 11481.3 | 0.03 | 80.61% | 113.99% | -0.96% | 31.75% | 3.78 | 115.48% | 113.87% | $569,372.71 | $657,504.02 |
| 23-Jul-09 | 11823.75 | 0.19 | 80.61% | 117.39% | 2.94% | 29.62% | 4.05 | 115.48% | 117.80% | $588,983.46 | $680,150.26 |
| 24-Jul-09 | 11984.36 | 0.13 | 82.46% | 118.98% | 1.35% | 29.85% | 4.02 | 124.94% | 119.64% | $598,222.08 | $747,422.35 |
| 27-Jul-09 | 12189.62 | 0.08 | 83.75% | 121.02% | 1.70% | 30.25% | 3.97 | 124.94% | 122.20% | $611,022.50 | $763,415.27 |
| 28-Jul-09 | 12424.58 | 0.00 | 85.54% | 123.35% | 1.91% | 30.25% | 3.97 | 124.94% | 125.15% | $625,737.64 | $781,800.45 |
| 29-Jul-09 | 11991.37 | 0.00 | 87.60% | 119.05% | -3.55% | 31.65% | 3.79 | 124.94% | 119.70% | $598,478.46 | $747,742.67 |
| 30-Jul-09 | 11991.6 | 0.00 | 87.60% | 119.05% | 0.00% | 31.65% | 3.79 | 101.66% | 119.70% | $598,492.79 | $608,433.91 |
| 31-Jul-09 | 12123.59 | 0.00 | 87.60% | 120.36% | 1.09% | 30.88% | 3.89 | 101.66% | 121.04% | $605,189.75 | $615,242.10 |
80,000 contracts of 64690 HK were bought on 24 Jul 09 when the exposure was increased to 124.94%. 150,000 contracts of 64581 HK were sold on 30 Jul 09 to bring the exposure down to 101.66%.
| Date | Ticker | Last Price | 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 |
| 20-Jul-09 | 63329 HK | 0.275 | 300,000.00 | $82,500.00 | 0.00 | $0.00 | $25,468.07 | $26,850.00 | $75,786.59 | $79,500.00 |
| 64581 HK | 0.235 | 450,000.00 | $105,750.00 | 0.00 | $0.00 | |||||
| 21-Jul-09 | 63329 HK | 0.275 | 300,000.00 | $82,500.00 | 0.00 | $0.00 | ($50.47) | ($1,800.00) | $75,736.11 | $77,700.00 |
| 64581 HK | 0.231 | 450,000.00 | $103,950.00 | 0.00 | $0.00 | |||||
| 22-Jul-09 | 63329 HK | 0.275 | 300,000.00 | $82,500.00 | 0.00 | $0.00 | ($6,363.41) | ($1,350.00) | $69,372.71 | $76,350.00 |
| 64581 HK | 0.228 | 450,000.00 | $102,600.00 | 0.00 | $0.00 | |||||
| 23-Jul-09 | 63329 HK | 0.29 | 300,000.00 | $87,000.00 | 0.00 | $0.00 | $19,610.76 | $16,650.00 | $88,983.46 | $93,000.00 |
| 64581 HK | 0.255 | 460,000.00 | $117,300.00 | 10,000.00 | ($2,550.00) | |||||
| 24-Jul-09 | 63329 HK | 0.3 | 300,000.00 | $90,000.00 | 0.00 | $0.00 | $9,238.62 | $7,600.00 | $98,222.08 | $100,600.00 |
| 64581 HK | 0.265 | 450,000.00 | $119,250.00 | (10,000.00) | $2,650.00 | |||||
| 64690 HK | 0.243 | 80,000.00 | $19,440.00 | 80,000.00 | ($19,440.00) | |||||
| 27-Jul-09 | 63329 HK | 0.315 | 300,000.00 | $94,500.00 | 0.00 | $0.00 | $12,800.41 | $14,860.00 | $111,022.50 | $115,460.00 |
| 64581 HK | 0.285 | 450,000.00 | $128,250.00 | 0.00 | $0.00 | |||||
| 64690 HK | 0.26 | 80,000.00 | $20,800.00 | 0.00 | $0.00 | |||||
| 28-Jul-09 | 63329 HK | 0.33 | 300,000.00 | $99,000.00 | 0.00 | $0.00 | $14,715.14 | $12,050.00 | $125,737.64 | $127,510.00 |
| 64581 HK | 0.3 | 450,000.00 | $135,000.00 | 0.00 | $0.00 | |||||
| 64690 HK | 0.27 | 80,000.00 | $21,600.00 | 0.00 | $0.00 | |||||
| 29-Jul-09 | 63329 HK | 0.3 | 300,000.00 | $90,000.00 | 0.00 | $0.00 | ($27,259.18) | ($29,000.00) | $98,478.46 | $98,510.00 |
| 64581 HK | 0.26 | 450,000.00 | $117,000.00 | 0.00 | $0.00 | |||||
| 64690 HK | 0.245 | 80,000.00 | $19,600.00 | 0.00 | $0.00 | |||||
| 30-Jul-09 | 63329 HK | 0.3 | 300,000.00 | $90,000.00 | 0.00 | $0.00 | $14.34 | ($160.00) | $98,492.79 | $98,350.00 |
| 64581 HK | 0.26 | 300,000.00 | $78,000.00 | (150,000.00) | $39,000.00 | |||||
| 64690 HK | 0.243 | 80,000.00 | $19,440.00 | 0.00 | $0.00 | |||||
| 31-Jul-09 | 63329 HK | 0.31 | 300,000.00 | $93,000.00 | 0.00 | $0.00 | $6,696.95 | $6,320.00 | $105,189.75 | $104,670.00 |
| 64581 HK | 0.27 | 300,000.00 | $81,000.00 | 0.00 | $0.00 | |||||
| 64690 HK | 0.247 | 80,000.00 | $19,760.00 | 0.00 | $0.00 |
What did I say then?
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