Systematic FX Portfolio
Reporting period: 1 May 2026 – 27 July 2026 · Time-weighted, net of commissions · Unaudited
- Cumulative Net Return
- +1.28% Time-weighted, since inception
- Sharpe Ratio
- 0.54 Annualized, vs 3-mo T-bill
- Maximum Drawdown
- −0.72% Peak-to-trough, daily
- Market Exposure
- 46.8% Share of trading days active
Cumulative Time-Weighted Return
Indexed to 0% at inception. Daily time-weighted returns, net of all trading costs.
Monthly Net Returns
| Month | Net Return |
|---|---|
| May 2026 | +0.03% |
| June 2026 | +0.39% |
| July 2026 (through 27 Jul) | +0.85% |
Risk Profile
| Measure | Value |
|---|---|
| Annualized volatility | 2.60% |
| Annualized return (period-equivalent) | 5.30% |
| Proportion of profitable active days | 55.2% |
| Largest single-day loss | −0.38% |
Methodology
Returns are time-weighted and net of commissions. Daily return is calculated as trading profit and loss over capital at the start of each day. One external capital addition occurred during the period; it is excluded from the return calculation and the series is chained across the event, so reported performance reflects strategy results independent of the timing or size of capital flows.
The Sharpe ratio is annualized from daily excess returns across all trading days in the period, assuming 252 trading days per year. Excess returns are measured against the 3-month U.S. Treasury bill yield of 3.80% annualized, applied as a constant daily risk-free rate. Maximum drawdown is measured peak-to-trough on the daily time-weighted return index. Market exposure is the proportion of trading days on which the portfolio recorded trading activity.