Managing Margin to Equity Issues
Posted: Fri Sep 15, 2006 10:20 am
Does anyone know of a source to download historical Margins for futures/forward contracts, for example LME Copper's current margin levels are $18k+ per lot however a few years ago they were much lower (around $3k per lot).
When back testing a diversified portfolio, using todays margins across all data produces inaccuraces to actual margin available in the past.
I realise SPAN margining complicates this more as some positions offset others, however I figure one could just try to create a rough idea of historical margin to equity ratios by using the exchanges out right margin figures, without the complicated offsetting (SPAN).
I appreciate any of your thoughts, comments and suggestions.
When back testing a diversified portfolio, using todays margins across all data produces inaccuraces to actual margin available in the past.
I realise SPAN margining complicates this more as some positions offset others, however I figure one could just try to create a rough idea of historical margin to equity ratios by using the exchanges out right margin figures, without the complicated offsetting (SPAN).
I appreciate any of your thoughts, comments and suggestions.