Trades
Code:
Trades take 1
code contractid filled_datetime filledtrade filledprice
2965 AUD 201506 2015-03-13 02:08:15 1 0.7657
2967 AUSSTIR 201606 2015-03-13 02:52:08 2 97.9200
2970 BOBL 201506 2015-03-13 08:36:02 -1 129.3100
2971 BUND 201506 2015-03-13 08:36:39 -1 157.7700
2976 CORN 201512 2015-03-13 15:31:38 -1 407.0000
2974 GAS_US 201506 2015-03-13 12:21:26 -1 2.7710
2955 KR10 201506 2015-03-13 01:37:31 1 123.5300
2959 KR10 201506 2015-03-13 01:50:16 1 123.5300
2964 KR10 201506 2015-03-13 03:54:37 1 123.4600
2968 KR10 201503 2015-03-13 03:55:09 -1 123.6200
2956 KR3 201503 2015-03-13 01:03:10 -4 109.0400
2975 US2 201506 2015-03-13 14:34:38 1 109.2500
2969 V2X 201505 2015-03-13 08:11:44 -3 21.1000
2973 V2X 201505 2015-03-13 13:47:11 1 21.3500
Slippage in GBP, for entire trade
code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total
2956 KR3 -150.48 12.54 -0.00 12.54 -137.94
2967 AUSSTIR -61.58 12.32 -24.63 -12.32 -73.89
2965 AUD -26.72 3.34 6.68 10.02 -16.70
2969 V2X -5.31 10.62 -21.24 -10.62 -15.93
2976 CORN -8.35 4.18 -8.35 -4.18 -12.53
2970 BOBL -14.16 3.54 -0.00 3.54 -10.62
2973 V2X -1.77 3.54 -7.08 -3.54 -5.31
2975 US2 0.00 5.22 0.00 5.22 5.22
2974 GAS_US 16.70 6.68 -13.36 -6.68 10.02
2971 BUND 14.16 3.54 7.08 10.62 24.78
2968 KR10 25.08 3.14 -0.00 3.14 28.22
2955 KR10 NaN 9.41 -18.81 -9.41 NaN
2959 KR10 NaN 9.41 -18.81 -9.41 NaN
2964 KR10 NaN 6.27 -12.54 -6.27 NaN
Total slippage: process -212.430000; bidask 93.750000; execution -111.060000; all trading -17.350000; grand total -204.680000
PROFIT: £8019. There was a HWM intraday, which I'm now £1200 below.
What leverage % does your fund typically use?
Assuming your capital is 100,000 units
On a futures contract of 100,000 notional value, requiring margin of 5000, how many contracts would you be long or short?
(Assume no other positions)
What leverage % is typically used by AHL?
The short answer to your question is that with my capital of £400,000 the total nominal size of my positions (using price, not nominal value, so for example a US 20 year bond is worth $160K rather than $100K) is £5.86 million, which is a ratio of 14.6:1.
The longer answer is that raw leverage isn't a great way to measure risk.
Fixed income contracts will have naturally higher leverage than say equities or commodities. Of the nearly £6 million of positions, around £1.2m is in australian STIR, £500K in Eurodollar. Another £1.7 million is in bond futures, for a total of £3.4 million. But on a risk weighted basis these are only about a fifth of my risk. Without them the leverage runs at 7 times for the rest of the portfolio.
Does this mean that I have a dangerously high allocation to fixed income, and toxic leverage? No, as you have to look at things in context. I will remove an instrument whose vol has gone really low compared to its own vol, and the vol of similar instruments, as I did with
shatz, where the vol is running at about a quarter of the comparable US 2 year bond future. Similarly if I had been trading CHFEUR before it was pegged, I would have removed it as the volatility post 2011 was much lower than other currencies. I've made similar decisions with things like Euroyen STIR in the past.
I can't log into IB right now, but last time I checked I was using about £250K for margin out of my £400K capital, which is high but hardly suicidal.
As for AHL, well the main influence will be that they have different volatility target. Mine is 25%, and theirs, depending on the fund is around 15%. On a pro rata basis they're probably running about 8.8 times leverage.
However looking at their p&l by asset class, and based on some inside knowledge, I would say they have a higher allocation to fixed income and STIR in particular, which means the raw leverage for AHL is probably going to be higher.
