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?
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. 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.
It has clearly been a while since I checked my margin, or my memory isn't great. I'm currently using £127,000 of margin on a £400,000 account, or an average of 2.2% of the notional leveraged value of £5.9 million.
Todays trades code contractid filled_datetime filledtrade filledprice 2989 AEX 201503 2015-03-16 12:13:43 -1 497.10000 2990 AEX 201504 2015-03-16 12:13:43 1 495.90000 2980 BOBL 201506 2015-03-16 07:35:26 -4 129.29000 2987 BOBL 201506 2015-03-16 09:34:53 -1 129.17000 2982 CAC 201504 2015-03-16 08:07:40 1 5020.50000 2992 CORN 201512 2015-03-16 14:05:03 -1 404.25000 2983 EUROSTX 201503 2015-03-16 08:19:04 2 3673.00000 2984 EUROSTX 201506 2015-03-16 08:19:04 -2 3597.00000 2986 EUROSTX 201506 2015-03-16 08:23:31 -7 3596.00000 2985 EUROSTX 201503 2015-03-16 08:23:31 7 3672.00000 2978 KR10 201506 2015-03-16 01:08:09 -2 123.37000 2979 KR3 201506 2015-03-16 01:13:41 5 108.98000 2995 LIVECOW 201510 2015-03-16 15:44:16 -1 145.87500 2991 MXP 201506 2015-03-16 12:21:56 1 0.06428 2981 SMI 201506 2015-03-16 08:05:02 1 9011.00000 2988 SOYBEAN 201511 2015-03-16 12:07:18 -1 951.50000 2993 US10 201506 2015-03-16 14:13:59 1 127.50000 2996 WHEAT 201512 2015-03-16 16:32:00 1 535.00000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 2981 SMI -859.17 3.36 0.00 3.36 -855.82 2995 LIVECOW -442.14 10.13 -20.25 -10.13 -452.27 2979 KR3 -158.38 15.84 -31.68 -15.84 -174.22 2985 EUROSTX 0.00 24.88 -99.51 -74.63 -74.63 2983 EUROSTX -14.22 7.11 0.00 7.11 -7.11 2992 CORN -0.00 4.22 -8.44 -4.22 -4.22 2991 MXP -6.75 3.38 3.38 6.75 0.00 2987 BOBL 7.11 3.55 -7.11 -3.55 3.55 2982 CAC 3.55 3.55 3.55 7.11 10.66 2988 SOYBEAN -0.00 4.22 8.44 12.66 12.66 2996 WHEAT 8.44 4.22 0.00 4.22 12.66 2993 US10 21.09 5.27 0.00 5.27 26.37 2980 BOBL -0.00 14.22 28.43 42.65 42.65 2989 AEX 78.19 3.55 -0.00 3.55 81.74 2978 KR10 304.10 6.34 -12.67 -6.34 297.76 2984 EUROSTX NaN -7.11 -0.00 -7.11 NaN 2986 EUROSTX NaN -24.88 99.51 74.63 NaN 2990 AEX NaN -3.55 7.11 3.55 NaN Total slippage: process -1058.180000; bidask 78.300000; execution -29.240000; all trading 49.040000; grand total -1080.220000 (Has anyone else noticed that we've lost the CODE option in the editor?) Lots of rolls, nearly all done now, except FTSE which I have to roll manually, since I refuse to pay the LIFFE data fees. Annoyingly this involves stopping my IB API server, and all my code, going to IB web trader (you can only run one 'trading' thing at a time with IB), trading, and then restarting everything. Bad Bobl Beat, and worth checking out. You might think well its £40, you're targeting £6K a day vol, who cares? But £40 x 250 = £10,000; 2.5% of capital; one tenth of my volatility target. So this would reduce a sharpe of 1.0 to 0.9. Here are the diagnostics for this trade algo_side_price 2015-03-16 07:34:34 129.30 2015-03-16 07:34:36 129.29 dtype: float64 algo_offside_price 2015-03-16 07:34:34 129.31 2015-03-16 07:34:36 129.30 dtype: float64 algo_Mode 2015-03-16 07:34:34 Passive 2015-03-16 07:34:39 Aggresive 2015-03-16 07:34:39 Aggressive 2015-03-16 07:34:42 Finished dtype: object algo_message 2015-03-16 07:34:34 StartingPassive 2015-03-16 07:34:37 Adverse price move moving to aggressive for 29... 2015-03-16 07:34:39 NowAggressive 2015-03-16 07:34:39 tick no action 2980 BOBL 201506 dtype: object algo_limit_price 2015-03-16 07:34:34 129.31 2015-03-16 07:34:39 129.29 dtype: float64 So basically we submitted a limit order to sell at 31's with the book at 129.30 -31. Then 2 seconds later the spread shifted to 129.29-30. My algo in these circumstances will cut its losses and hit the bid, so the limit was changed to 129.29, and executed there. Good thing as well, the price kept sinking and we had to sell another lot 12 ticks lower (which fortunately was executed at the offer). P&L LOSS £1942
Todays trades Code: code contractid filled_datetime filledtrade filledprice 3005 BOBL 201506 2015-03-17 14:39:47 -1 129.050 3002 BTP 201506 2015-03-17 11:21:05 -1 140.840 2998 FTSE 201503 2015-03-17 10:11:16 2 6822.000 2999 FTSE 201506 2015-03-17 10:14:36 -2 6762.000 3004 GAS_US 201506 2015-03-17 13:15:24 1 2.898 2997 KR3 201506 2015-03-17 01:05:03 2 108.980 3003 PALLAD 201506 2015-03-17 13:10:44 -1 766.300 3006 SOYBEAN 201511 2015-03-17 15:44:13 -1 946.250 3001 V2X 201505 2015-03-17 11:09:21 2 21.950 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 2997 KR3 -25.34 6.34 -12.67 -6.34 -31.68 3001 V2X -3.55 7.11 -14.22 -7.11 -10.66 3005 BOBL -0.00 3.55 -0.00 3.55 3.55 3002 BTP -0.00 3.55 7.11 10.66 10.66 3003 PALLAD 15.19 3.38 -6.75 -3.38 11.81 3006 SOYBEAN 12.66 4.22 -0.00 4.22 16.88 3004 GAS_US 70.88 10.13 -20.25 -10.13 60.75 2998 FTSE NaN NaN NaN NaN NaN 2999 FTSE NaN NaN NaN NaN NaN Total slippage: process 69.840000; bidask 38.280000; execution -46.780000; all trading -8.530000; grand total 61.310000 The final roll is done for the season, the FTSE. This was a rather painful exercise since I have to trade it completely manually (hence all the NaN's above), which means shutting down my system since IB won't allow you to run both an API session and a trading front end, launching the web trader, doing the trade, entering the fills manually into my database, and restarting the system. I took this as an opportunity to switch over from my backup machine, which I've been running with for a few weeks as a test, back to my primary machine. It's good practice to do this regularly. I also did some trading to crystallise some tax losses in my long only IB account. If anyone from IB is reading this, I have to say that your trading front ends are all utter crud, and if I wasn't using the API 99.999% of the time I'd have given up on you a long time ago. TWS is hopelessly bloated, slow and unstable. Webtrader hangs when I try and use it. Webtrader Beta is barely useable, in the sense that I can submit one order and then it hangs when I try and do the second one, so I then I have to restart it, typing in my poxy security code each time. Profit £3198. Just over £3K under HWM. Profit since inception April 6th 2014, £373K. 13 trading days left in this tax year, so an outside chance I'll get to £400K (and an almost equal chance of dropping back to £350K).
Todays trades Code: code contractid filled_datetime filledtrade filledprice 3008 AUD 201506 2015-03-18 06:27:30 -1 0.75690 3012 AUD 201506 2015-03-18 16:23:36 1 0.76090 3018 AUD 201506 2015-03-18 19:24:55 1 0.77370 3007 AUSSTIR 201606 2015-03-18 03:04:33 -1 97.94000 3009 BOBL 201506 2015-03-18 11:15:13 1 129.27000 3011 CORN 201512 2015-03-18 14:17:21 -1 396.50000 3013 EUR 201506 2015-03-18 18:25:04 1 1.07980 3014 GBP 201506 2015-03-18 18:27:56 1 1.48450 3015 MXP 201506 2015-03-18 18:32:33 2 0.06549 3019 NZD 201506 2015-03-18 19:34:44 1 0.74310 3010 PLAT 201504 2015-03-18 12:08:16 -1 1090.40000 3017 PLAT 201504 2015-03-18 18:56:33 1 1112.00000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 3014 GBP -116.23 6.34 12.68 19.02 -97.21 3007 AUSSTIR -43.64 6.23 -0.00 6.23 -37.41 3013 EUR -25.36 4.23 -8.45 -4.23 -29.59 3019 NZD -40.57 6.76 13.52 20.29 -20.29 3012 AUD -10.14 6.76 -6.76 0.00 -10.14 3017 PLAT -25.36 11.83 3.38 15.22 -10.14 3009 BOBL 0.00 3.57 -7.15 -3.57 -3.57 3010 PLAT 6.76 5.07 -0.00 5.07 11.83 3011 CORN -0.00 4.23 8.45 12.68 12.68 3008 AUD 10.14 3.38 -0.00 3.38 13.52 3018 AUD 30.43 3.38 -13.52 -10.14 20.29 3015 MXP 60.86 6.76 20.29 27.05 87.91 Total slippage: process -153.110000; bidask 68.540000; execution 22.440000; all trading 91.000000; grand total -62.120000 Cutting long USD positions left, right and centre. I wonder why? (rhetorical question) Todays LOSS: £7879 Ouch. Thanks Janet. The annoying thing was I was up for the day, and at a new HWM, at lunchtime. Bet you can't guess when the FOMC announcement was: (columns are date/time, account value, gain or loss since last snapshot, drawdown from high water mark, total profits to date) All GBP. Code: 2015-03-17 19:16:44.964834 556080.20 -837.51 -3247.95 373631.19 2015-03-18 00:05:25.294808 557291.86 1211.66 -2036.29 374842.85 2015-03-18 01:05:24.689432 556595.92 -695.94 -2732.23 374146.91 2015-03-18 02:05:24.994396 556025.14 -570.78 -3303.01 373576.13 2015-03-18 03:05:25.424133 556770.28 745.14 -2557.87 374321.27 2015-03-18 04:05:25.232373 556059.78 -710.50 -3268.37 373610.77 2015-03-18 05:05:24.866376 557235.84 1176.06 -2092.31 374786.83 2015-03-18 06:05:25.239753 558442.70 1206.86 -885.45 375993.69 2015-03-18 07:05:25.356672 558364.96 -77.74 -963.19 375915.95 2015-03-18 08:05:25.333822 558187.11 -177.85 -1141.04 375738.10 2015-03-18 09:05:25.257987 557515.97 -671.14 -1812.18 375066.96 2015-03-18 10:05:25.257032 561707.22 4191.25 0.00 379258.21 2015-03-18 11:05:25.914809 559794.71 -1912.51 -1912.51 377345.70 2015-03-18 12:05:25.605905 562490.89 2696.18 0.00 380041.88 2015-03-18 13:05:25.934402 563377.92 887.03 0.00 380928.91 2015-03-18 14:05:25.221712 562596.39 -781.53 -781.53 380147.38 2015-03-18 15:05:25.308285 562982.38 385.99 -395.54 380533.37 2015-03-18 16:05:25.468955 558467.23 -4515.15 -4910.69 376018.22 2015-03-18 17:05:25.408410 557261.09 -1206.14 -6116.83 374812.08 2015-03-18 18:05:25.147163 550754.80 -6506.29 -12623.12 368305.79 2015-03-18 19:05:25.184300 548201.16 -2553.64 -15176.76 365752.15 You won't be surprised to hear that the biggest loser was EURUSD which moved 2 big figures (although to put in perspective, only back to the levels of 10 days ago); in risk terms it and the other dollar IMM's moved around 2 to 2.5 standard deviations; though I also lost in Crude and platinum today. I still have half my EURUSD position on, as I'm still short one lot due to the large risk of the contract (standard deviation of £12K a year), unlike say MXP where I cut by two thirds; from short 3 lots to one. This is the main disadvantage of having a relatively small account trading lots of instruments. But the diversification benefit outweighs the ability to reduce positions more gradually.
Todays trades Code: code contractid filled_datetime filledtrade filledprice 3023 AUS3 201506 2015-03-19 02:35:05 1 98.280000 3030 BOBL 201506 2015-03-19 14:44:25 1 129.400000 3027 CRUDE_W 201512 2015-03-19 12:14:04 1 53.420000 3020 GBP 201506 2015-03-19 02:01:57 1 1.493200 3021 JPY 201506 2015-03-19 02:06:26 1 0.008331 3032 LIVECOW 201510 2015-03-19 16:10:19 1 149.225000 3022 MXP 201506 2015-03-19 02:13:09 1 0.065900 3031 PLAT 201504 2015-03-19 16:01:38 1 1119.700000 3033 US2 201506 2015-03-19 17:22:56 -1 109.351562 3024 V2X 201505 2015-03-19 08:05:11 -1 21.200000 3026 V2X 201505 2015-03-19 11:36:26 1 21.800000 3029 V2X 201505 2015-03-19 16:23:11 1 21.900000 3025 VIX 201505 2015-03-19 11:53:25 -1 17.600000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 3027 CRUDE_W -64.24 6.76 -13.52 -6.76 -71.00 3021 JPY -42.26 4.23 -8.45 -4.23 -46.49 3025 VIX -0.00 16.91 -33.81 -16.91 -16.91 3024 V2X -12.51 3.57 -0.00 3.57 -8.93 3029 V2X 1.79 1.79 -3.57 -1.79 0.00 3030 BOBL 7.15 3.57 -7.15 -3.57 3.57 3033 US2 -0.00 5.28 -0.00 5.28 5.28 3026 V2X 1.79 3.57 0.00 3.57 5.36 3020 GBP 10.57 4.23 -8.45 -4.23 6.34 3022 MXP 0.00 11.83 0.00 11.83 11.83 3023 AUS3 23.33 7.78 -15.55 -7.78 15.55 3032 LIVECOW 13.52 6.76 0.00 6.76 20.29 3031 PLAT 27.05 6.76 -3.38 3.38 30.43 Total slippage: process -33.810000; bidask 83.040000; execution -93.880000; all trading -10.880000; grand total -44.680000 More cutting of long USD vs everything positions this morning. This might seem weird but I quite like sharp reversals. It's kind of cool watching the system robotically slash its risk, so often the system doesn't do very much so its nice to see the 'wheels turning' when you get some action, and pyschologically you think 'great banked the money from that trend, less what I lost on the pullback', you've got less risk on, and feel less nervous. Sharp reversals can often be more profitable than exiting after a long drawn out end to a trend. For example in 2013, my last year of institutional management, the 2013 JGB reversal was very clean and quick, and we cut positions very fast, and banked a huge profit with hardly any pullback. In contrast the May 2013 UST reversal was relatively long and drawn out and we gave a lot of profit back to the market. PROFIT: £768 Now £14.4 K below the HWM set yesterday lunchtime Current positions, as not updated for a while: (ignore diagnostic columns - False is good basically) Code: code contractid positions Lock WrongContract InFwdNotRoll 13 AEX 201504 1 False False False 32 AUD 201506 -1 False False False 19 AUS10 201506 1 False False False 29 AUS3 201506 2 False False False 24 AUSSTIR 201606 8 False False False 18 BOBL 201506 2 False False False 15 BTP 201506 1 False False False 25 BUND 201506 1 False False False 22 CAC 201504 1 False False False 20 CORN 201512 -8 False False False 7 CRUDE_W 201512 -1 False False False 30 EDOLLAR 201809 3 False False False 9 EUR 201506 -1 False False False 0 EUROSTX 201506 -9 False False False 16 FEEDCOW 201503 1 False False False 2 FTSE 201506 -2 False False False 17 GAS_US 201506 -1 False False False 14 GBP 201506 -2 False False False 4 GOLD 201506 -1 False False False 1 JPY 201506 -3 False False False 26 KR10 201506 1 False False False 27 KR3 201506 7 False False False 31 OAT 201506 1 False False False 23 PALLAD 201506 -1 False False False 28 PLAT 201504 -2 False False False 21 SMI 201506 1 False False False 10 SOYBEAN 201511 -2 False False False 12 US10 201506 1 False False False 5 US2 201506 2 False False False 3 US5 201506 1 False False False 11 V2X 201505 -5 False False False 8 VIX 201505 -2 False False False 6 WHEAT 201512 -2 False False False
Trades Code: code contractid filled_datetime filledtrade filledprice 3034 ASX 201506 2015-03-20 01:49:56 1 5967.000000 3052 BUND 201506 2015-03-20 16:28:05 1 158.760000 3046 CORN 201512 2015-03-20 15:07:18 1 404.750000 3051 CORN 201512 2015-03-20 16:19:44 1 408.750000 3050 EDOLLAR 201809 2015-03-20 17:16:08 1 97.790000 3048 GOLD 201506 2015-03-20 15:19:40 1 1182.200000 3040 KR3 201506 2015-03-20 03:17:27 1 109.190000 3053 NASDAQ 201506 2015-03-20 16:43:28 1 4461.000000 3045 PALLAD 201506 2015-03-20 14:20:11 1 779.450000 3047 SOYBEAN 201511 2015-03-20 15:07:14 1 961.250000 3054 SP500 201506 2015-03-20 16:44:16 1 2101.750000 3044 US2 201506 2015-03-20 14:11:53 1 109.445312 3042 V2X 201505 2015-03-20 11:51:22 -1 21.450000 3043 V2X 201505 2015-03-20 13:50:17 -1 21.350000 3049 WHEAT 201512 2015-03-20 15:25:57 1 553.750000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 3052 BUND 0.00 3.60 -7.21 -3.60 -3.60 3048 GOLD 6.75 6.75 -13.50 -6.75 0.00 3043 V2X -0.00 1.80 -0.00 1.80 1.80 3051 CORN 8.44 4.22 -8.44 -4.22 4.22 3045 PALLAD -11.81 10.13 10.13 20.25 8.44 3047 SOYBEAN 0.00 8.44 0.00 8.44 8.44 3042 V2X 3.60 1.80 3.60 5.41 9.01 3046 CORN 16.88 4.22 -8.44 -4.22 12.66 3044 US2 0.00 5.27 10.55 15.82 15.82 3040 KR3 0.00 3.17 12.67 15.84 15.84 3053 NASDAQ 20.25 1.69 -3.38 -1.69 18.56 3054 SP500 25.31 4.22 -8.44 -4.22 21.10 3049 WHEAT 16.88 8.44 0.00 8.44 25.31 3050 EDOLLAR 0.00 4.22 33.75 37.97 37.97 3034 ASX 272.02 12.95 0.00 12.95 284.98 Total slippage: process 358.320000; bidask 80.920000; execution 21.290000; all trading 102.220000; grand total 460.550000 LOSS: £9708 I won't lie to you, I don't like losing money! But if you're a medium term trend follower you spend a higher proportion of your time in drawdown than you do not in drawdown....
Has this made length of drawdown as an objective function in your strategy design? You seem to be very proactive in avoiding the Max DD scenario already.