Today's Trading Signals Yearly Performance
Klaus Ikast, Kim Cramer Larsson from Financial Trend Analysis at 10/12/09
Financial Trend Analysis has a goal of producing a return of at least 10 % a year. In 2007 our return was 10.33 %, 12.43 % in 2008 % and this year up until March 31st the return is 5.96 %. Since 2007 we have only reported 1 month with a total loss and only 1 currency cross with a yearly loss.
Performance calculations are exclusive of carry and are non-leveraged.
Every time we enter a trade or reverse a position we add or subtract a slippage. There is no slippage when targets are hit since they would be limit orders. See page two in the publication for slippage size.
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 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 report for formula calculation.
The return assumes that there is the same nominal exposure in each currency cross ie. 1 mio. EUR or the equivalent amount in USD, GBP etc is placed in each cross every time a new position is taken.
Total 12 months return is the last 12 months performance on a rolling basis ie in the 2009 performance statement the last 12 months are from April 2008 and until the current month of 2009.
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 JPY/KRW are new in the portfolio no performance has been calculated.