Plotting returns on minimum margin
Posted: Wed Jan 18, 2012 12:57 pm
It probably a dumb question and I am a little confused with what I'm trying to do. CAGR doesnt take margin calls/variation margin into account. So if I want to plot the mark-to-market return of a system, but over the mimimum amount needed to play a single contract, is this simply plotting the IRR?
For example, over the life of a position, suppose you start out with the initial margin requirement. A couple of days later you are on the losing side and must post a variation margin. Later on the position gains, and you withdraw the amount of the previously posted variation margin, to reallocate it to a different system. Later on you close the position.
I guess I'm looking for some mark to market money weighted return metric using variable collateral, to account for a more efficient use of capital.
For example, over the life of a position, suppose you start out with the initial margin requirement. A couple of days later you are on the losing side and must post a variation margin. Later on the position gains, and you withdraw the amount of the previously posted variation margin, to reallocate it to a different system. Later on you close the position.
I guess I'm looking for some mark to market money weighted return metric using variable collateral, to account for a more efficient use of capital.