Performance Reporting

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Performance Reporting

As this site matures, and readership increases, I thought it a good idea to be more specific about the way performance information is presented.

The monthly performance figures presented in this site are all based upon Net Asset Value of my account, and being an Australian operation, reported into AUD terms.

However, anyone performing an audit on these accounts will find it difficult to duplicate my exact figures since OANDA does not provide historical NAV information within it's official transaction records. As a consequence I have built an audit database, which takes as its source downloaded official transaction records, and recalculates performance from these

This approach, which I call 'auditable results' or 'official results' differs slightly (but not adversely) from my published results due to the following reasons:

	Published results are based on NAV (marked-to-market), and converted to AUD at the closing daily rate; 'Official' or 'Auditable' results are based on closed trades and remain in USD**
	Timing differences between the US and Australian time zones (approx 16 hours)
	AUD/USD exchange rate movements and the related hedge that was maintained in Futurestech
	A credit adjustment issued by OANDA in respect of December 2005 trades, which I didn't show on the FT website
	Some withheld speculative profits in my VHV accounts in 2004 (for details please refer 'Trade Components' in my September 2004 report here

** This is not a great issue when trading at high frequency, but my hedge account (which is long-term by nature), will vary. For example in one 3 month period in 2004 the AUD appreciated by about 17% in three months. A deviation in the results is therefore apparent.

Anyway with the above in mind,

	FT Published results		Auditable results
	(Hedged AUD, NAV)		(USD, Closed trades)
	%	Cum %	%	Cum %

Jan-04	4.00	4.00	4.80	4.80
Feb-04	2.00	6.08	3.14	8.09
Mar-04	-6.00	-0.28	-6.21	1.37
Apr-04	4.60	4.30	2.31	3.71
May-04	5.70	10.25	0.54	4.27
Jun-04	11.30	22.71	19.96	25.08
Jul-04	25.60	54.12	54.46	93.20
Aug-04	-6.00	44.87	-12.45	69.16
Sep-04	-4.39	38.52	-2.95	64.17
Oct-04	-9.23	25.73	-10.16	47.50
Nov-04	5.74	32.95	-2.66	43.58
Dec-04	27.89	70.04	34.73	93.45
Jan-05	24.29	111.33	23.27	138.48
Feb-05	2.88	117.42	1.65	142.41
Mar-05	2.76	123.42	8.62	163.31
Apr-05	27.27	184.35	26.35	232.70
May-05	15.18	227.52	10.27	266.87
Jun-05	13.07	270.33	11.88	310.46
Jul-05	28.02	374.11	26.57	419.51
Aug-05	14.42	442.49	16.41	504.74
Sep-05	31.82	615.12	29.85	685.25
Oct-05	0.85	621.21	2.02	701.13
Nov-05	41.99	924.06	41.52	1033.73
Dec-05	-11.48	806.45	0.37	1037.92
Jan-06	1.19	817.24	3.59	1078.73
Feb-06	-4.49	776.09	-5.29	1016.39
Mar-06	-2.07	757.96	-6.74	941.20
Apr-06	0.81	764.92	1.11	952.74
May-06	11.78	866.85	16.18	1123.07
Jun-06	24.90	1107.56	24.20	1419.12

Some additional points:

As an aside, I calculate PL, and therefore performance, in two different ways, which reconcile - proving that all transactions are present in the auditable database

There are over 2 million transactions in the period above, and preparing the audit database takes time. I therefore only update it at bi-annually.

Finally, these 'auditable results' have actually been audited!

...

I do not plan to update this page unless there are pressing reasons to do so.

Disclaimer: This site is for educational purposes only. Futurestech makes no warranties express or implied regarding the content or the performance of this site, nor does Futurestech guarantee the accuracy or timeliness of the information appearing on these pages. Futurestech shall not be liable for any losses or damages incurred in connection with this site.