Long Term Currency Program
Performance Metrics
| Monthly | |
| Compound ROR (%) | 1.40 |
| Average Gain (%) | 3.01 |
| Average Loss (%) | -1.38 |
| Skewness | 2.04 |
| Kurtosis | 6.84 |
| Annualized | |
| Compound ROR (%) | 18.12 |
| Standard Deviation (%) | 11.99 |
| Gain Deviation (%) | 11.54 |
| Loss Deviation (%) | 3.76 |
| Sharpe Ratio (4%) | 1.06 |
| Sharpe Ratio (0%) | 1.40 |
| Sortino Ratio (4%) | 3.40 |
| Sortino Ratio (0%) | 4.46 |
| Since Inception | |
| Calmar Ratio | 1.18 |
| Max Drawdown | -15.38 |
| Most Recent 3 Years | |
| Calmar Ratio | 2.10 |
| Max Drawdown | -6.93 |
| Comparison & Correlations | |
| Rolling Returns Analysis | |
The investment objective of this, our longest running Program, is to generate consistent capital appreciation with moderate monthly downside return variance. Monthly drawdowns are strictly limited to 5.0%. This Program employs various combinations of cash and option positions, on a short to intermediate term basis, in expressing trade ideas which utilize a variety of styles.
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 5.0%.
- 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 | |
| 1991 | 0.17 | 1.34 | 6.48 | (0.06) | 6.13 | 14.65% | |||||||
| 1992 | 4.19 | 4.18 | 5.90 | (0.45) | 8.32 | 4.66 | 3.99 | 0.17 | 2.39 | 1.72 | 1.52 | 2.90 | 47.02% |
| 1993 | 1.66 | 17.36 | 1.49 | 18.91 | 2.47 | 5.48 | 0.01 | 0.77 | 1.72 | 3.46 | (1.15) | 0.58 | 64.10% |
| 1994 | 1.07 | 1.35 | 0.58 | 0.01 | 0.90 | (0.21) | 0.57 | 1.27 | 1.28 | 0.39 | (1.05) | 1.11 | 7.49% |
| 1995 | (0.70) | 1.19 | (0.35) | (1.52) | (0.01) | (1.40) | 2.40 | 0.02 | 0.04 | 4.46 | 6.00 | 9.39 | 20.65% |
| 1996 | 4.20 | 5.77 | 1.13 | 0.52 | 2.82 | 1.81 | 4.48 | (2.57) | 0.94 | 1.35 | 5.65 | (2.13) | 26.27% |
| 1997 | 5.48 | 16.71 | 4.30 | 0.03 | 4.30 | (2.07) | 5.50 | (2.43) | 6.12 | (3.03) | 3.71 | (3.90) | 38.50% |
| 1998 | 9.29 | 3.85 | (3.45) | 0.69 | 15.22 | (5.24) | 1.52 | 3.79 | 4.96 | 6.36 | 2.48 | (2.18) | 42.05% |
| 1999 | 0.80 | 10.02 | 0.80 | 2.41 | (2.24) | (1.02) | 1.66 | (1.93) | (0.39) | (0.87) | (1.18) | (0.07) | 7.72% |
| 2000 | (2.12) | 1.22 | 2.45 | (1.09) | 2.44 | 0.95 | 0.51 | 2.00 | 1.20 | 1.72 | 2.56 | (0.56) | 11.75% |
| 2001 | 2.58 | 1.13 | 5.65 | 1.81 | (1.49) | 0.03 | (0.58) | 2.33 | 5.05 | (0.39) | (1.47) | 1.76 | 17.35% |
| 2002 | 0.05 | (1.39) | (1.81) | (4.56) | (1.37) | (0.26) | (0.74) | 0.49 | (0.59) | (0.68) | (0.49) | (0.10) | (10.97%) |
| 2003 | 0.36 | (1.32) | 2.57 | 1.23 | (0.78) | (1.18) | (0.45) | (2.79) | (0.17) | 1.38 | (3.67) | 2.04 | (3.01%) |
| 2004 | 0.73 | 2.45 | 0.36 | 1.53 | 1.06 | 0.85 | 0.50 | 2.01 | 0.12 | (0.49) | 0.20 | 0.14 | 9.80% |
| 2005 | (0.69) | (1.05) | (1.53) | 3.76 | (1.32) | 3.62 | (1.89) | 1.60 | (1.51) | 1.89 | (1.50) | 11.40 | 12.69% |
| 2006 | 3.98 | (0.20) | (1.26) | 0.38 | (0.46) | (2.31) | (1.11) | (2.05) | (0.11) | 0.71 | 4.20 | 3.63 | 5.25% |
| 2007 | 1.68 | 2.62 | 0.66 | (1.97) | (2.80) | (0.36) | 4.34 | 2.09 | 2.68 | (0.74) | 6.78 | (0.29) | 15.25% |
| 2008 | 3.52 | 0.75 | 0.27 | (1.63) | (2.27) | (0.52) | (2.47) | 2.63 | 4.69 | 1.54 | 2.49 | 2.00 | 11.24% |
FOR INFORMATION ONLY. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
