SPOT FX Portfolios

SPOT can be used with a large number of instruments in the FX, bond, and stock market. We have set up an FX portfolio based in US dollar (P&L currency) and consisting of the currencies CHF, EUR, GBP, and JPY. For this portfolio we publish daily trading recommendations.

Two different trading strategies are provided, both using price forecasts.

• The forecasts used for the primary strategy are obtained from Olsen Forecasting Services.
• The forecast used with the secondary strategy is based on interest rate differentials.

The portfolio is adjusted to a constant level of risk fixed to 1 million USD. As risk measure we use the 1 day Value at Risk at 95% confidence level. In addition, global constraints limit the investment per asset to maximal 100 million USD (either long or short). If these limits are hit the portfolio's riks level may be smaller than the specified value.

Both portfolios are reevaluated daily, and trading recommandations are provided.

Historical Behavior and Performance

The trading strategies have been tested with several years of historical data. For more information click in the corresponding cells of the table .

Strategy	Price forecasts based on Interest Rate Differentials	Price forecasts based on Olsen Forecasting Service
Performance statistics	Statistics of return and Sharpe ratio
Cumulated Return
Daily return and 95% VaR
Portfolio Value
Exposure
Portfolio Composition