IR Strategy: Cumulated Return

The figure shows the time evolution of the cumulated return in million US dollar, starting 1 Jan 1998. The trading strategy uses price forecasts based on interest rate differentials The 95% Value at Risk of the portfolio is 1 million US dollar (cf. Sect. Daily Return and Value at Risk). The profit over the whole backtesting period is about 25 times the value at risk.

Compare with the cumulated return of OIS-strategy managed portfolio.