Can someone explain this track record?

Discussion in 'Trading' started by PohPoh, Jan 13, 2007.

  1. Monthly Return YTD Return Assets Under Mgt

    11/30/06 1.77% 214.00% 166,762

    10/31/06 2.17% 208.54% 183,439

    09/30/06 5.29% 201.99% 206,554

    08/31/06 23.28% 186.81% 161,821

    07/31/06 11.62% 132.65% 112,050

    06/30/06 1.07% 108.43% 66,800

    This doesn't make much sense, does it??
    This was from Autumn GOld..
  2. doli


    Different people may base their percentage return on different things. Some may use % of margin. Others may do it differently. The most realistic number may be percentage of account size, so someone with a 10K acct. that gains 20% made 2000.
  3. Pekelo


    It is a Year To Date return by the end of each month.

    So they were up 108% in the first 6 months, then the next month they added another 24% making it 132%, and so on...

    Still looks good, although they slowed down in Oct and Nov...
  4. I know...but the next month they were up 11% and the YTD return went up 24%...
    Is that creative compounding?
  5. Actually, that performance table, showing time-weighted returns, is correct (or, more precisely, internally consistent). For example, let's take July:

    2.0843 x 1.1162 = 2.3265 --> YTD (July) = 132.65%, as shown. No funny business here.

    Incidentally, here's the full record for that CTA:
  6. ktm


    late apex is correct, the math on that record looks fine. Keep in mind how compounding works.

    If you are up 100% for the year and have a 5% month, then you are up 110% for the year, and so on. It works the same on the downside as well.

    All of those who report to AutmnGold (and others) simply report the monthly return - AutumnGold does the math after that.
  7. That's a pretty amazing run especially considering the way assets ballooned. They must have substantial risk on board to make that kind of cash.