Financial Trend Analysis has a goal of producing a return in FX of at least 10 % a year. In 2007, our return was 10.33 %, in 2008 12.43 % and in 2009 8.03 %. See the performance in FX, Oil and Bunds by clicking on the pictures on the right.-->
Check out RISK, CORRELATIONS AND BENCHMARK ANALYSIS on our FX Performance.
The performance is hypothetical since there are no actual trades behind the return. Past performance is no guarantee of future results and the actual current performance of the portfolio may be lower or higher than the hypothetical performance of the strategies. Hypothetical strategy returns were the result of certain market factors and events which may not be replicated in the future.
Please read the Risk Warning and Disclaimer carefully on the legal page and also printed in the reports.The return is measured by checking each trading day if targets or stops has been hit since the latest publication has been issued. It is NOT a backtesting model.
Every time a (hypothetical) position is taken or is reversed we add or subtract a slippage. There is no slippage when targets are hit since they would be limit orders.
Slippage is calculated at between 2 and 5 ticks for “Majors” and “Cross Rates”, between 15 and 35 ticks for “Nordic” and between 30 and 50 ticks for “Emerging markets”. The target is only being considered as hit if the printed price in the FX market is higher/lower than the target price after adding/subtracting the slippage.
A more detailed table of the slippage for each cross can be found in the performance publication on the right.
The trading system includes a number of details that do not appear in the daily table. For example the return is protected by a number of stop orders that are not apparent in the daily table. These stop levels will be shared with customers who subscribe to the publication.
The return assumes that there is the same nominal exposure in each currency cross i.e. 1 mio. EUR or the equivalent amount in USD, GBP etc is placed in each cross every time a new position is taken.The Information Ratio (IR) is based on monthly data and measured from 1 January 2007. Our IR is quite high and reflects our strategy of taking low risk high return in the FX market. The information ratio (IR) measures the portfolio manager's ability to generate excess returns relative to a benchmark, but also attempts to identify the consistency of the investor. The higher the IR, the more consistent a manager is and consistency is an ideal trait. A high IR can be achieved by having a high return in the portfolio, a low return of the index and a low tracking error. See page two in the performance report for formula calculation.
Total 12 months' return is the last 12 months' performance on a rolling basis i.e. in the 2009 performance statement; the last 12 months are from April 2008 and until march 2009.
Best and Worst shows the best and worst performance recorded in one single month.
The chart: The bars show the performance for each currency cross measured in percentage on the left axis. The line is accumulated return of all crosses in percentage on the right axis.
EUR/CAD was not in the portfolio until May 2007. Since EUR/RON and USD/RUB are new in the portfolio no performance has been calculated.
