i do look at barclay hedge website to see performance of currency traders. Something I love to compare myself to. But the barclay index only makes up about 10% of total funds availalble. Not many funds file or file on time to make it accurate
well I just signed on to my work computer to look at the formula for the PRR
Here it is:
PRR = gain/(begbal + weighted transactions)
weighted transaction = (deposit amt * (days of deposit))/total days **assuming no withdrawals in this case
So, in the example:
Assuming you made $300 and $500 for a total of $800 gain. Your beginning balance was $1000. You deposit $1000 on 6/30/2007. The end of the period is 12/31/2007. So the weighted transaction for the deposit = (1000 * (184)/364)) = 505.49
**Note, excel said 364 was difference between 1/1/2007 and 12/31/2007 and 184 for 6/30/2007 to 12/31/2007 so that is what I used
PRR = 800/(1000 + 505.49) = 53% on an annualized basis.
I am still not sure this is accurate for what we do. I will ask the account rep the question tomorrow. He double checked my code with his own excel formula.
Ignored
Regarding this, the analyst here at work said the correct PRR is 53%. However, we get the weighted average on deposits and withdrawals because a 401k plan can have weekly, bi-weekly, monthly deposits depending on your payroll, so to know the true annualized return everything is weighted.
As far as forex is concerned I think the 62% is more likely the return. Here is what I do on my own spreadsheet.
I do a weekly return and then a monthly return. On the weekly I use the balance at the beginning of the week. On the monthly I use the balance at the beginning of the month.
My October return was 31.46%. November was -3.04% and December was 41.87%.
