CFTC Performance Tables

[Nick Radge]

The following link is to the formal performance tables used by hedge funds and CTAs. I use these in conjunction with Share Trade Tracker. So basically, I import by data into STT, then at the end of each month I update these tables (I just use the net result for the month and forego all the additional columns of data).

It enables me to very easily see my performance for each system. I keep them all in one Excel sheet with each system on a different tab.

If you are having issues with performance due to currency fluctuations, then consider keep two sets of tables; one in AUD and one is USD. Do the currency conversion once a month at the close of business.

https://www.thechartist.com.au/wp-content/uploads/2022/12/Performance-Tables.xlsx

[JulianCohen]

That’s pretty handy. Thanks a lot

[#REF!McGrath]

can I check that the trading P&L column should include unrealised gains/losses for the month. In STT it calculates on realised gains/losses. So to get the realised & unrealised P&L do I need to calculate the portfolio value at the end of the month & compare to the previous month?

[Nick Radge]

Yes it should, and yes, STT only calculates its VAMI using closed trades.

I use the STT end balance each month from the Dashboard then load that into my own VAMI tables.

[Nick Radge]

Here’s a video I put together showing how I use these tables alongside STT.

Portfolio Management Software for The Chartist

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