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 2016 there are 66 currency programs included in the index.
| 1980 | – | 1990 | 57.74% | 2000 | 4.45% | 2010 | 3.45% |
| 1981 | – | 1991 | 10.94% | 2001 | 2.71% | 2011 | 2.25% |
| 1982 | – | 1992 | 10.27% | 2002 | 6.29% | 2012 | 1.71% |
| 1983 | – | 1993 | -3.33% | 2003 | 11.08% | 2013 | 0.87% |
| 1984 | – | 1994 | -5.96% | 2004 | 2.36% | 2014 | 3.35% |
| 1985 | – | 1995 | 11.49% | 2005 | -1.21% | 2015 | 4.65% |
| 1986 | – | 1996 | 6.69% | 2006 | -0.12% | 2016 | 1.02%† |
| 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 | 0.91% | ||
| †Estimated YTD performance for 2016 calculated with reported data as of Aug-3-2016 | |||||||
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Source: Barclays |
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At a Glance from Jan 1987
| Compound Annual Return | 6.65% |
| Sharpe Ratio | 0.33 |
| Worst Drawdown | 15.26% |
| Correlation vs S&P 500 | -0.02 |
| Correlation vs US Bonds | 0.12 |
| Correlation vs World Bonds | -0.02 |