Daily Currency Program
Performance Metrics
| Monthly | |
| Compound ROR (%) | 0.98 |
| Average Gain (%) | 1.66 |
| Average Loss (%) | -0.60 |
| Skewness | 3.32 |
| Kurtosis | 14.16 |
| Annualized | |
| Compound ROR (%) | 12.35 |
| Standard Deviation (%) | 8.77 |
| Gain Deviation (%) | 9.45 |
| Loss Deviation (%) | 1.65 |
| Sharpe Ratio (4%) | 0.88 |
| Sharpe Ratio (0%) | 1.33 |
| Sortino Ratio (4%) | 4.68 |
| Sortino Ratio (0%) | 7.10 |
| Since Inception | |
| Calmar Ratio | 1.63 |
| Max Drawdown | -7.57 |
| Most Recent 3 Years | |
| Max Drawdown | -5.27 |
| Comparison & Correlations | |
| Rolling Returns Analysis | |
The investment objective of this Program is to generate consistent and relatively low-risk capital appreciation with minimal monthly return variance. Monthly drawdowns are strictly limited to 2.0%. This Program is designed to take advantage of intraday trading opportunities employing interbank spot transactions only, no forwards or options. Open positions are seldom held longer than 48 hours.
Source: Hathersage, Bloomberg LP
- Pre 2000 accounts were 100% funded and include interest income.
- Post 1999 all assets are 100% in Managed Accounts.
- Post 1999 accounts are either minimally funded or unfunded.
- Returns reflect composite results, individual accounts are managed specifically to client objectives.
- Interest is not credited on nominal assets and not included in returns after 1999.
- Returns are net of all fees.
- Monthly drawdowns are strictly limited to 2.0%.
- Foreign exchange execution is solely in the twenty-four hour interbank spot and forward markets.
Performance Summary
(returns are net of all fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
| 1992 | 9.99 | 4.14 | 7.23 | 4.46 | 4.65 | 4.87 | 0.31 | 0.82 | 1.83 | 1.09 | 1.90 | 1.54 | 51.67% |
| 1993 | 1.32 | 2.70 | (0.26) | 7.65 | 1.73 | 1.21 | (0.78) | 1.57 | 1.32 | 0.85 | 0.20 | 1.01 | 19.89% |
| 1994 | 1.93 | 0.60 | 0.43 | 0.15 | 0.86 | 0.14 | 0.00 | 0.04 | 0.67 | 0.34 | (0.81) | 0.19 | 4.61% |
| 1995 | 0.26 | 0.07 | 0.43 | (1.11) | 1.30 | (2.02) | 0.21 | 0.02 | 0.04 | 0.08 | 4.37 | 5.75 | 9.53% |
| 1996 | 1.01 | 4.34 | 2.86 | 0.07 | 0.10 | 1.61 | 0.07 | 0.09 | 0.04 | 2.68 | 0.02 | 1.91 | 15.70% |
| 1997 | 4.48 | 5.22 | 10.84 | 0.03 | (1.08) | 0.00 | 0.05 | 0.04 | 0.06 | 0.03 | 0.02 | (0.03) | 20.78% |
| 1998 | 0.06 | 0.16 | 0.38 | 0.47 | 7.20 | 8.32 | 9.34 | 0.42 | 16.05 | 4.30 | 0.35 | 4.41 | 63.43% |
| 1999 | 0.35 | 16.48 | 0.44 | 1.76 | (0.35) | 0.00 | (0.38) | (0.20) | (0.21) | (0.14) | (1.18) | (0.75) | 15.68% |
| 2000 | (0.42) | 0.06 | 0.89 | 0.23 | (0.09) | (1.26) | (0.47) | 0.14 | (0.53) | 0.90 | 2.13 | (0.47) | 1.07% |
| 2001 | 0.79 | 0.06 | 2.93 | 0.29 | (1.89) | 0.04 | (1.30) | (0.31) | 0.77 | 0.63 | (1.49) | 3.71 | 4.16% |
| 2002 | 0.69 | 0.35 | (0.63) | (0.67) | (1.17) | 0.24 | (0.04) | 1.01 | 1.69 | (0.35) | 0.42 | (0.43) | 1.08% |
| 2003 | 1.08 | 0.03 | (0.02) | 0.21 | 0.84 | 5.66 | 1.66 | 0.12 | 1.26 | (0.20) | (0.43) | 0.03 | 10.58% |
| 2004 | (0.50) | 0.61 | 0.18 | 1.02 | 0.24 | (0.71) | 0.65 | 0.55 | (1.11) | (0.09) | 1.05 | 1.48 | 3.39% |
| 2005 | 0.30 | (1.47) | 0.36 | (0.20) | 0.45 | 0.49 | (0.76) | 0.18 | (1.19) | 0.41 | (0.25) | (0.90) | (2.55%) |
| 2006 | (0.04) | (0.10) | 0.17 | 0.14 | 0.25 | (0.43) | 0.01 | (1.21) | (0.85) | (0.25) | (0.35) | (0.30) | (2.93%) |
| 2007 | (0.28) | (0.34) | 0.06 | (0.74) | (0.15) | (0.11) | 0.15 | (0.60) | 0.64 | 0.47 | 2.43 | 0.16 | 1.67% |
| 2008 | 0.78 | 1.46 | 1.25 | 1.41 | (0.12) | (0.84) | 0.24 | 0.45 | 2.37 | 0.83 | 1.13 | 2.86 | 12.42% |
FOR INFORMATION ONLY. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
