Cointegration-driven relative value between correlated FX crosses.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | · | · | · | · | · | · | 0.7 | -0.6 | 1.1 | 1.7 | 0.8 | 3.0 | 7.0 |
| 2018 | 3.5 | 3.3 | -0.1 | 0.8 | 0.5 | 1.8 | 3.5 | -1.4 | 0.3 | 3.4 | 4.5 | 1.5 | 23.8 |
| 2019 | -4.1 | -0.9 | 2.0 | 3.4 | 4.9 | 1.5 | 0.2 | -2.3 | 1.3 | 1.5 | 3.8 | 0.8 | 12.3 |
| 2020 | 1.4 | 2.9 | -0.5 | 0.4 | -1.0 | 2.0 | -0.3 | 1.8 | 3.1 | 2.6 | 1.1 | -0.1 | 14.2 |
| 2021 | 1.7 | -0.8 | -1.4 | 1.9 | 1.3 | -0.1 | 2.7 | -0.9 | -1.1 | 3.6 | 5.7 | -1.4 | 11.5 |
| 2022 | 0.3 | 1.8 | 2.1 | 1.5 | -0.6 | 2.7 | 0.6 | 1.5 | 4.2 | 6.1 | -0.4 | 3.0 | 25.2 |
| 2023 | 4.0 | 0.7 | 2.6 | 0.3 | -3.5 | 1.6 | 0.7 | 4.2 | -1.1 | 0.6 | -0.0 | 3.8 | 14.4 |
| 2024 | -1.1 | -1.3 | 0.7 | -0.8 | -1.7 | 5.1 | 0.7 | -3.0 | 0.1 | 2.0 | 1.3 | 1.1 | 2.8 |
| 2025 | 1.6 | 0.1 | 3.4 | -0.2 | 1.6 | 0.9 | 1.3 | 2.3 | -0.1 | 5.6 | 2.0 | 4.1 | 25.0 |
| 2026 | -0.9 | 2.1 | -0.7 | 2.9 | 0.9 | -0.2 | · | · | · | · | · | · | 4.0 |
| Month | Return | Distribution | P&L | Trades | Win rate | Max DD |
|---|---|---|---|---|---|---|
| Jun 2026 | -0.22% | -$3,970 | 23 | 60.9% | -1.85% | |
| May 2026 | +0.88% | $15,913 | 22 | 68.2% | -0.83% | |
| Apr 2026 | +2.91% | $50,836 | 24 | 70.8% | -1.79% | |
| Mar 2026 | -0.71% | -$12,551 | 23 | 56.5% | -1.67% | |
| Feb 2026 | +2.06% | $35,605 | 23 | 65.2% | -1.55% | |
| Jan 2026 | -0.91% | -$15,821 | 24 | 54.2% | -1.11% | |
| Dec 2025 | +4.14% | $69,255 | 22 | 90.9% | -1.18% | |
| Nov 2025 | +2.04% | $33,389 | 22 | 68.2% | -1.39% | |
| Oct 2025 | +5.59% | $86,861 | 24 | 87.5% | -0.57% | |
| Sep 2025 | -0.06% | -$974 | 22 | 59.1% | -1.30% | |
| Aug 2025 | +2.29% | $34,805 | 23 | 73.9% | -0.71% | |
| Jul 2025 | +1.25% | $18,813 | 22 | 72.7% | -0.68% | |
| Jun 2025 | +0.93% | $13,853 | 22 | 68.2% | -1.10% | |
| May 2025 | +1.60% | $23,442 | 24 | 70.8% | -0.97% | |
| Apr 2025 | -0.21% | -$3,007 | 24 | 58.3% | -1.36% | |
| Mar 2025 | +3.37% | $47,834 | 21 | 81.0% | -1.43% | |
| Feb 2025 | +0.09% | $1,217 | 21 | 61.9% | -1.22% | |
| Jan 2025 | +1.63% | $22,680 | 26 | 73.1% | -1.19% | |
| Dec 2024 | +1.06% | $14,651 | 21 | 71.4% | -0.91% | |
| Nov 2024 | +1.28% | $17,402 | 23 | 65.2% | -1.29% | |
| Oct 2024 | +2.02% | $26,984 | 24 | 70.8% | -0.84% | |
| Sep 2024 | +0.12% | $1,543 | 21 | 61.9% | -2.04% | |
| Aug 2024 | -3.04% | -$41,874 | 25 | 48.0% | -3.43% | |
| Jul 2024 | +0.66% | $9,084 | 23 | 65.2% | -1.74% | |
| Jun 2024 | +5.07% | $65,951 | 21 | 76.2% | -0.87% | |
| May 2024 | -1.71% | -$22,608 | 25 | 48.0% | -2.53% | |
| Apr 2024 | -0.80% | -$10,663 | 21 | 66.7% | -2.03% | |
| Mar 2024 | +0.70% | $9,263 | 23 | 65.2% | -1.07% | |
| Feb 2024 | -1.30% | -$17,397 | 21 | 47.6% | -3.06% | |
| Jan 2024 | -1.06% | -$14,404 | 22 | 54.5% | -2.52% | |
| Dec 2023 | +3.77% | $49,239 | 23 | 87.0% | -0.44% | |
| Nov 2023 | -0.04% | -$532 | 23 | 65.2% | -1.67% | |
| Oct 2023 | +0.60% | $7,815 | 22 | 68.2% | -1.63% | |
| Sep 2023 | -1.11% | -$14,611 | 21 | 61.9% | -1.79% | |
| Aug 2023 | +4.22% | $53,284 | 25 | 80.0% | -0.87% | |
| Jul 2023 | +0.66% | $8,322 | 22 | 68.2% | -2.04% | |
| Jun 2023 | +1.62% | $19,975 | 23 | 69.6% | -1.44% | |
| May 2023 | -3.53% | -$45,115 | 22 | 40.9% | -3.61% | |
| Apr 2023 | +0.33% | $4,259 | 23 | 69.6% | -1.50% | |
| Mar 2023 | +2.56% | $31,839 | 24 | 75.0% | -1.14% | |
| Feb 2023 | +0.72% | $8,917 | 20 | 70.0% | -1.89% | |
| Jan 2023 | +4.02% | $47,687 | 22 | 95.5% | -0.34% | |
| Dec 2022 | +3.01% | $34,628 | 24 | 79.2% | -0.78% | |
| Nov 2022 | -0.38% | -$4,338 | 22 | 63.6% | -1.86% | |
| Oct 2022 | +6.12% | $66,641 | 22 | 95.5% | -0.39% | |
| Sep 2022 | +4.17% | $43,526 | 23 | 91.3% | -0.37% | |
| Aug 2022 | +1.52% | $15,686 | 22 | 68.2% | -0.92% | |
| Jul 2022 | +0.65% | $6,633 | 23 | 69.6% | -0.99% | |
| Jun 2022 | +2.68% | $26,670 | 24 | 83.3% | -0.67% | |
| May 2022 | -0.58% | -$5,780 | 22 | 54.5% | -2.79% | |
| Apr 2022 | +1.50% | $14,792 | 23 | 73.9% | -0.67% | |
| Mar 2022 | +2.13% | $20,583 | 28 | 71.4% | -1.17% | |
| Feb 2022 | +1.76% | $16,704 | 21 | 66.7% | -0.80% | |
| Jan 2022 | +0.31% | $2,918 | 21 | 61.9% | -1.46% | |
| Dec 2021 | -1.41% | -$13,511 | 23 | 52.2% | -2.35% | |
| Nov 2021 | +5.67% | $51,547 | 22 | 86.4% | -0.51% | |
| Oct 2021 | +3.65% | $31,967 | 24 | 83.3% | -0.46% | |
| Sep 2021 | -1.06% | -$9,379 | 23 | 60.9% | -1.85% | |
| Aug 2021 | -0.85% | -$7,624 | 22 | 54.5% | -1.22% | |
| Jul 2021 | +2.68% | $23,315 | 23 | 73.9% | -1.11% | |
| Jun 2021 | -0.13% | -$1,118 | 22 | 59.1% | -1.49% | |
| May 2021 | +1.35% | $11,592 | 23 | 73.9% | -0.91% | |
| Apr 2021 | +1.89% | $15,981 | 23 | 60.9% | -1.21% | |
| Mar 2021 | -1.40% | -$12,021 | 22 | 54.5% | -1.93% | |
| Feb 2021 | -0.82% | -$7,081 | 20 | 65.0% | -1.50% | |
| Jan 2021 | +1.66% | $14,114 | 22 | 68.2% | -1.53% | |
| Dec 2020 | -0.07% | -$608 | 23 | 56.5% | -1.81% | |
| Nov 2020 | +1.12% | $9,388 | 23 | 73.9% | -0.85% | |
| Oct 2020 | +2.59% | $21,196 | 23 | 78.3% | -0.79% | |
| Sep 2020 | +3.08% | $24,441 | 22 | 68.2% | -0.92% | |
| Aug 2020 | +1.80% | $14,019 | 22 | 72.7% | -1.29% | |
| Jul 2020 | -0.26% | -$2,024 | 23 | 56.5% | -1.28% | |
| Jun 2020 | +2.00% | $15,354 | 24 | 75.0% | -0.74% | |
| May 2020 | -1.04% | -$8,036 | 24 | 62.5% | -2.88% | |
| Apr 2020 | +0.42% | $3,211 | 22 | 59.1% | -1.32% | |
| Mar 2020 | -0.50% | -$3,847 | 21 | 66.7% | -1.14% | |
| Feb 2020 | +2.93% | $22,072 | 22 | 81.8% | -0.48% | |
| Jan 2020 | +1.38% | $10,276 | 24 | 70.8% | -0.67% | |
| Dec 2019 | +0.77% | $5,667 | 21 | 71.4% | -1.51% | |
| Nov 2019 | +3.85% | $27,341 | 23 | 87.0% | -0.55% | |
| Oct 2019 | +1.49% | $10,460 | 22 | 68.2% | -1.14% | |
| Sep 2019 | +1.25% | $8,674 | 22 | 63.6% | -1.79% | |
| Aug 2019 | -2.33% | -$16,513 | 24 | 50.0% | -2.63% | |
| Jul 2019 | +0.21% | $1,472 | 24 | 70.8% | -1.75% | |
| Jun 2019 | +1.48% | $10,302 | 22 | 68.2% | -0.56% | |
| May 2019 | +4.90% | $32,486 | 26 | 84.6% | -0.42% | |
| Apr 2019 | +3.36% | $21,566 | 22 | 72.7% | -0.58% | |
| Mar 2019 | +2.02% | $12,714 | 21 | 76.2% | -0.46% | |
| Feb 2019 | -0.85% | -$5,409 | 21 | 52.4% | -2.05% | |
| Jan 2019 | -4.12% | -$27,265 | 23 | 39.1% | -4.12% | |
| Dec 2018 | +1.48% | $9,630 | 25 | 60.0% | -1.49% | |
| Nov 2018 | +4.50% | $28,093 | 22 | 86.4% | -0.66% | |
| Oct 2018 | +3.38% | $20,378 | 24 | 70.8% | -1.34% | |
| Sep 2018 | +0.29% | $1,772 | 22 | 68.2% | -0.77% | |
| Aug 2018 | -1.36% | -$8,292 | 23 | 47.8% | -2.04% | |
| Jul 2018 | +3.55% | $20,921 | 23 | 56.5% | -1.31% | |
| Jun 2018 | +1.84% | $10,658 | 22 | 81.8% | -0.47% | |
| May 2018 | +0.49% | $2,813 | 27 | 59.3% | -1.77% | |
| Apr 2018 | +0.79% | $4,536 | 21 | 71.4% | -1.02% | |
| Mar 2018 | -0.11% | -$627 | 23 | 65.2% | -0.90% | |
| Feb 2018 | +3.30% | $18,282 | 24 | 75.0% | -0.82% | |
| Jan 2018 | +3.55% | $18,963 | 23 | 69.6% | -0.82% | |
| Dec 2017 | +3.04% | $15,782 | 25 | 76.0% | -0.71% | |
| Nov 2017 | +0.83% | $4,282 | 23 | 73.9% | -1.35% | |
| Oct 2017 | +1.72% | $8,682 | 22 | 68.2% | -1.42% | |
| Sep 2017 | +1.12% | $5,619 | 23 | 65.2% | -0.71% | |
| Aug 2017 | -0.61% | -$3,065 | 24 | 58.3% | -1.64% | |
| Jul 2017 | +0.69% | $3,463 | 20 | 70.0% | -1.48% |
| Year | Return | P&L | Trades | Win % | Max DD | Best mo | Worst mo |
|---|---|---|---|---|---|---|---|
| 2017 | +7.0% | $34,762 | 137 | 68.6 | -2.4% | 3.0% | -0.6% |
| 2018 | +23.8% | $127,129 | 279 | 67.4 | -3.4% | 4.5% | -1.4% |
| 2019 | +12.3% | $81,494 | 271 | 67.2 | -4.9% | 4.9% | -4.1% |
| 2020 | +14.2% | $105,442 | 273 | 68.5 | -3.6% | 3.1% | -1.0% |
| 2021 | +11.5% | $97,780 | 269 | 66.2 | -2.8% | 5.7% | -1.4% |
| 2022 | +25.2% | $238,665 | 275 | 73.5 | -2.8% | 6.1% | -0.6% |
| 2023 | +14.4% | $171,078 | 270 | 71.1 | -3.6% | 4.2% | -3.5% |
| 2024 | +2.8% | $37,930 | 270 | 61.5 | -4.9% | 5.1% | -3.0% |
| 2025 | +25.0% | $348,169 | 273 | 72.2 | -1.7% | 5.6% | -0.2% |
| 2026 | +4.0% | $70,013 | 139 | 62.6 | -2.8% | 2.9% | -0.9% |
Structurally linked FX pairs share a slow-moving equilibrium. Trading the spread rather than the level removes most directional beta and leaves a compact, repeatable premium.
Lowest volatility and highest Sharpe of the archive, with the trade-off that capacity is limited and returns compress as spreads tighten — visible in the flatter 2024–2025 stretch.
Independent RV attribution report · 9y live on a 500k base.
| GBPUSD | 394 | 69.0% | $344,317 |
| EURUSD | 395 | 72.7% | $330,654 |
| EURGBP | 417 | 68.1% | $251,811 |
| USDCAD | 400 | 69.5% | $173,800 |
| AUDUSD | 422 | 65.9% | $146,159 |
| NZDUSD | 428 | 64.0% | $65,720 |
| Sydney | 223 | 62.8% | $44,739 |
| Tokyo | 661 | 68.7% | $354,361 |
| London | 474 | 68.8% | $299,297 |
| London/NY | 488 | 67.4% | $239,543 |
| New York | 610 | 69.5% | $374,520 |
Live capital track. Statements are broker-issued; figures are net of commission, swap and slippage. Past performance is not indicative of future results.