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Barclay Currency Traders Index
An equal weighted composite of managed programs that
trade currency futures and/or cash forwards in the inter bank market. In
2007 there are 114 currency programs included in the index.
|
| 1980 |
- |
1990 |
57.74% |
2000 |
4.45% |
| 1981 |
- |
1991 |
10.94% |
2001 |
2.71% |
| 1982 |
- |
1992 |
10.27% |
2002 |
6.29% |
| 1983 |
- |
1993 |
-3.33% |
2003 |
11.08% |
| 1984 |
- |
1994 |
-5.96% |
2004 |
2.36% |
| 1985 |
- |
1995 |
11.49% |
2005 |
-1.21% |
| 1986 |
- |
1996 |
6.69% |
2006 |
-0.12% |
| 1987 |
29.56% |
1997 |
11.35% |
2007 |
2.59% |
| 1988 |
4.28% |
1998 |
5.71% |
2008 |
3.50% |
| 1989 |
18.89% |
1999 |
3.12% |
2009 |
-0.16%† |
| †Estimated
YTD performance for 2007 calculated with reported data as of
April-1-2009 |
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Source: Barclays |
At a Glance from Jan 1987
|
| Compound Annual Return |
10.12% |
| Sharpe Ratio |
0.41 |
| Worst Drawdown |
15.26% |
| Correlation vs S&P 500 |
-0.04 |
| Correlation vs US Bonds |
0.08 |
| Correlation vs World Bonds |
0.13 |
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