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[cb76]

Trying a carry basket system out. Simple concept really. Just put together a set of pairs that pay interest and hold them for interest. I've done a little bit of math to pick a set of pairs I think will work well, but who knows

Anyway, here are the pairs and weights:

Long Positions
GBP/JPY 22.23266%
GBP/CHF 13.60602%
USD/JPY 12.20547%
AUD/JPY 11.21102%
CAD/JPY 7.11%
EUR/JPY 6.88%
USD/CHF 6.13%

Short Positions:
EUR/HUF 10.70%
EUR/AUD 7.21%
USD/ZAR 5.25%
EUR/USD 4.65%
EUR/GBP 4.30%

Balance Delta: 0.1511%
NAV Delta: 2.6598%
UPL/NAV: 0.3018%
Largest UPL/NAV: -2.1493%

Total NAV Delta: 0.1511%

[cb76]

No position changes for today.
Updated stats:

Balance Delta: 0.2515%
NAV Delta: -2.2733%
UPL/NAV: -2.2749%
Largest UPL/NAV: -2.2749%

Total Balance Delta: 0.4026%
Total NAV Delta: 0.3865%

[cb76]

News hit today and the UPL took a large move.
Same amount of interest as usual though and still slowly chugging along.

Balance Delta: 0.2509%
NAV Delta: -8.8218%
UPL/NAV: -9.9505%
Largest UPL/NAV: -9.9505%

Total Balance Delta: 0.6535%
Total NAV Delta: -6.2122%

[cb76]

Oh, forgot to mention...
Because of the UPL hit, my effective leverage went up beyond the limits I've set. So, on monday I'll look to make some slight adjustments to lighten up my position to keep my effective leverage down. Currently zar and huf are positive, so I'll likely be pulling a little bit out of there. The rest are in the red, so I'll see what the reballance does to the effective leverage before accepting any actual losses and go from there.

[cb76]

New weightings: (weightings will change from time to time based on various factors such as change in interest rates for example. I will update weightings on the weekends only if needed)

Long
GBP/JPY 17.85%
GBP/CHF 10.93%
USD/JPY 9.68%
AUD/JPY 8.98%
CAD/JPY 7.05%
EUR/JPY 6.86%
USD/CHF 6.03%

Short
EUR/HUF 11.38%
EUR/AUD 7.17%
USD/ZAR 5.16%
EUR/USD 4.63%
EUR/GBP 4.28%


Will be slowly adjusting actual holding as appropriate to match the new weightings.

[cb76]

While the above numbers might mean something to some, i'm sure it doesn't really mean anything to others. I've decided to just list the raw numbers. The system is live, but it's in a small sub-account until I prove that it works well enough for me to trust it. That being said, the project started with $119.11USD. Why that much? It was originally $100, but the $19.11 was left over from another system that did really well and then started to crash hard... just never reset the account to $100 hehe.

Anyway, here are some numbers:

Date

UPL

BAL

BALD

NAV

UPL/NAV

POS

LEV

10/24/06	-$2.56	$119.11		$116.55	-2.1965%	$2,971.72	25.50
10/25/06	$0.36	$119.29	0.1511%	$119.65	0.3009%	$2,976.80	24.88
10/26/06	-$2.32	$119.59	0.2515%	$117.27	-1.9783%	$2,996.92	25.56
10/27/06	-$10.85	$119.89	0.2509%	$109.04	-9.9505%	$3,000.22	27.51
10/28/06	-$10.38	$120.19	0.2502%	$109.81	-9.4527%	$3,000.53	27.32

If anybody else wants to see additional info, go ahead and ask, but I think the above should pretty much cover it all.

[cb76]

http://cb76.blogspot.com/

[cb76]

moving this over to cb76.blogspot.com, just easier to track there for me, come on over if you like