Rolling 12 month CAGR Comparison (5 Year): ENERGIES

Rolling CAGR Currency Profiles

The rolling Compounded Annual Growth Rate (CAGR) analysis provides a historic perspective of various performance levels for an individual market. CAGR is a measure of reward. Yet by itself it only measures performance over a single period of time. Our rolling five year analysis takes 60 performance snap shots with each data point calculated based on a 12 month Compounded Annual Growth Rate. With rolling data points, market performance can be viewed within a single vertical line profile.

Rolling 12-Month CAGR Profile:
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The vertical line profile, shown right, provides four main performance levels.

  1. Extreme performance, represented by circles, shows the maximum and minimum 12 month CAGR over the test period.
  2. Superior performance, represented by black bold lines, shows historic CAGR levels that are +/- 1 Standard Deviation away from the average.
  3. Average performance, represented by the square, provides perspective on the norm.
  4. The current 12-month CAGR, represented by the yellow diamond shows recent performance relative to the past five years.

The vertical line profile provides insight into performance greater than any single CAGR point.

Additionally, the sector graphic below compares Currency markets against themselves and relative to the S&P 500 Index. The same vertical line profile is created for each market within the sector. The placement of the markets profile on the horizontal axis is based on the markets Standard Deviation of Monthly return over the test period. Markets with larger deviations in their return stream will appear further to the right; while those will smaller deviations will appear further to the left. With all things equal, focus on the markets with smaller deviation figures … they might be better suited for a portfolio than those that are more volatile.

Definitions:

  • Compounded Annual Growth Rate (CAGR) measures the growth of an investment as if it had grown at a steady rate on an annually compounded basis.
  • Rolling CAGR combines small 12 month performance figures into a larger data stream that spans the entire time analysis period.
  • Standard Deviation of Return measures (as its name implies) the deviation associated with monthly return figures (not CAGR) over the test period.

Rolling 12 Month CAGR Comparison: Currencies

Market Symbols

D Australian Dollar EC Euro JY Japanese Yen
BP British Pound DX U.S. Dollar Index SP S&P 500 Index
CD Canadian Dollar
 
Past Performance is NOT Indicative of Future Results. There is significant risk of loss investing in managed futures. This form of investment is not right for everyone. The subjective opinions expressed on this web site are solely those of the author and are not representative of the views of any other entity or individual. Click here to link to the full disclaimer.