Futures Price change Contract P&L ($) Equity ($)

price ($) (%) value ($)

Day 0 1,000.0 100,000.0 5,000.0
Day 1 1,019.4 1.94 101,940.0 1,940.0 6,940.0
Day 2 1,025.7 0.62 102,570.0 630.0 7,570.0
Day 3 1,004.3 -2.09 100,430.0 -2,140.0 5,430.0
Day 4 992.3 -1.19 99,230.0 -1,200.0 4,230.0
Day 5 979.3 -1.31 97,930.0 -1,300.0 2,930.0
Day 6 995.2 1.62 99,520.0 1,590.0 6,590.0
Day 7 1,024.4 2.93 102,440.0 2,920.0 9,510.0
2,440.0
Initial margin, $: 5,000
Maintenance margin, $: 4,000

Leverage: 20
Futures price change, %: 2.44
Return on futures contract, %: 48.80 48.80

This return assumes that no capital inflow are needed after the initial margin.
It is an approximation, as additional money is required along the week.
This approximation is more accurate:
(a) the smaller number of margin calls, (b) the closer the margin calls to the liquidation date of
the contract. Otherwise:

IRR, % 37.60
Variation Ending equity ($) CFs
margin ($)
5,000.0 -5,000.0
0.0 6,940.0 0.0
0.0 7,570.0 0.0
0.0 5,430.0 0.0
0.0 4,230.0 0.0
2,070.0 5,000.0 -2,070.0
0.0 6,590.0 0.0
0.0 9,510.0 9,510.0
2,440.0 2,440.0
 Futures Price change Contract P&L (€) Equity (€)
price (I.P.) (%) value (€)
Day 0 21,000 105,000.0 10,500.0
Day 1 21,245 1.17 106,225.0 1,225.0 11,725.0
Day 2 21,690 2.09 108,450.0 2,225.0 13,950.0
Day 3 21,010 -3.14 105,050.0 -3,400.0 10,550.0
Day 4 20,620 -1.86 103,100.0 -1,950.0 8,600.0
Day 5 20,410 -1.02 102,050.0 -1,050.0 9,260.0
Day 6 20,850 2.16 104,250.0 2,200.0 12,405.0
Day 7 19,995 -4.10 99,975.0 -4,275.0 8,130.0
-5,025.0
Price of an index point: €5
Initial margin, %: 10.00
Maintenance margin, %: 10.00

Leverage: 10.00
Futures price change, %: -4.79
Return on futures contract, %: -47.86 -47.86

This return assumes that no capital inflow are needed after the initial margin.
It is an approximation, as additional money is required along the week.
This approximation is more accurate:
(a) the smaller number of margin calls, (b) the closer the margin calls to the liquidation date of
the contract. Otherwise:

IRR, % -54.06
Variation Ending CFs
margin (€) equity (€)
10,500.0 -10,500.0
0.0 11,725.0 0.0
0.0 13,950.0 0.0
0.0 10,550.0 0.0
1,710.0 10,310.0 -1,710.0
945.0 10,205.0 -945.0
0.0 12,405.0 0.0
1,867.5 9,997.5 8,130.0
-5,025.0 -5,025.0
 Futures Price change Contract P&L (€) Equity (€)
price (I.P.) (%) value (€)
Day 0 21,000 105,000.0 10,500.0
Day 1 21,245 1.17 106,225.0 1,225.0 11,725.0
Day 2 21,690 2.09 108,450.0 2,225.0 13,950.0
Day 3 21,010 -3.14 105,050.0 -3,400.0 10,550.0
Day 4 20,620 -1.86 103,100.0 -1,950.0 8,600.0
Day 5 20,410 -1.02 102,050.0 -1,050.0 9,260.0
Day 6 20,850 2.16 104,250.0 2,200.0 12,405.0
Day 7 19,995 -4.10 99,975.0 -4,275.0 8,130.0
-5,025.00
Price of an index point: €5
Initial margin, %: 10.00
Maintenance margin, %: 10.00
Annual risk-free rate 10%

Futures Price change # futures Contract P&L (€)

price (I.P.) (%) contracts value (€)
Day 0 21,000 0.9984 104,827.5
Day 1 21,245 1.17 0.9984 106,050.5 1,223.0
Day 2 21,690 2.09 0.9986 108,301.5 2,222.0
Day 3 21,010 -3.14 0.9989 104,934.9 -3,396.3
Day 4 20,620 -1.86 0.9992 103,015.3 -1,948.4
Day 5 20,410 -1.02 0.9995 101,994.1 -1,049.4
Day 6 20,850 2.16 0.9997 104,221.4 2,199.4
Day 7 19,995 -4.10 1.0000 99,975.0 -4,275.0
-5,024.76
Variation Ending P&L (€) at T
margin (€) equity (€)
10,500.0
0.0 11,725.0 1,227.0
0.0 13,950.0 2,228.1
0.0 10,550.0 -3,403.7
1,710.0 10,310.0 -1,951.6
945.0 10,205.0 -1,050.6
0.0 12,405.0 2,200.6
1,867.5 9,997.5 -4,275.0
-5,025.0 -5,025.24

Variation Ending equity P&L (€) at T # futures Contract value Added Ending
Equity (€) margin (€) (€) contracts (€) equity equity (€)
10,482.8 10,482.8
11,705.7 0.0 11,705.7 1,225.0 0.9986 106,079.6 0.0 11,705.7
13,927.7 0.0 13,927.7 2,225.0 0.9989 108,331.2 0.0 13,927.7
10,531.4 0.0 10,531.4 -3,400.0 0.9992 104,963.7 0.0 10,531.4
8,583.0 1,718.5 10,301.5 -1,950.0 0.9995 103,043.5 2.8 10,304.4
9,254.9 944.5 10,199.4 -1,050.0 0.9997 102,022.0 2.8 10,202.2
12,401.6 0.0 12,401.6 2,200.0 1.0000 104,250.0 0.0 12,401.6
8,126.6 1,870.9 9,997.5 -4,275.0 1.0000 99,975.0 0.0 9,997.5
-5,025.00 -5,024.76