CTA performance excell formulas for 13 column table

Chelonia · Post by **Chelonia** » Sun Sep 27, 2009 4:14 am

If you have ever seen a trading advisor's or fund's disclosure document, you have seen the standard 13-column table showing CTA performance. The last two columns, 12 and 13, contain monthly rates of return as a percentage and the $1,000 Value Added Monthly Index (VAMI). The spreadsheet uses monthly percent return data to calculate the $1,000 VAMI index as well as some commonly used statistics that measure a trader's performance characteristics.
Can anyone help with these formulas, or does anyone has a template for this form.

How and what formula do i use to do the following in Excell:

Under Column A i have the date: January 2001 to date
Under Column B i have the monthly returns
Under Column C i have the VAMI starting with $1000 (december 2000)

What formula do i use to auto calculate the VAMI per month.

Thanks
C

Chelonia · Post by **Chelonia** » Sun Sep 27, 2009 4:20 am

Why do they make adding smilies so easy?!

I tryed to attach my Excell input file but it wonÂ´t let me do it.

kianti · Post by **kianti** » Sun Sep 27, 2009 6:13 am

You could copy a section of your Excel sheet in a picture software (I use Infranview).

best regards, as ever

Chelonia · Post by **Chelonia** » Sun Sep 27, 2009 6:59 am

Grazie mille di cuore!!

salvadorveiga · Post by **salvadorveiga** » Thu Nov 19, 2009 1:52 pm

Regarding this aspect, I started trading almost a year ago, but now I want a decent tracking record.

I don't know how I should track the portfolio.

What's the standard out there? should be at the end of the month I take the value of equity? balance (only closed equity without the float)?

How should it be done? I ask because most my trades of course go over periods of 1 month.

thank you

Chelonia · Post by **Chelonia** » Thu Nov 19, 2009 2:30 pm

I use the Net Liquidating Value from the monthly broker statements. This is the net (after fees and commissions) combined value of your equity including proft and loss from open positions at that moment in time.
I donÂ´t know what products you trade. I only trade futures.

Hope this helps.

salvadorveiga · Post by **salvadorveiga** » Fri Nov 20, 2009 4:32 am

Chelonia wrote:I use the Net Liquidating Value from the monthly broker statements. This is the net (after fees and commissions) combined value of your equity including proft and loss from open positions at that moment in time.
I donÂ´t know what products you trade. I only trade futures.

Hope this helps.

I trade currencies and futures as well. So if I understood correctly you take the net value from your broker statement at the last day of month correct?

Thanks

Chelonia · Post by **Chelonia** » Fri Nov 20, 2009 4:55 am

Correct, the Net liquidating value, which is the total value of the portfolio including the p/l from open positions, but excluding exit commissions and or other performance and-or management fees.
But in general for a private trader the net liq value is the number to use.

Best regards,

salvadorveiga · Post by **salvadorveiga** » Fri Nov 20, 2009 3:21 pm

thank you.