I am trying to analyze an investment strategy that tries to exploit the empirical difference between forward interest rates and realized spot rates. I am using FRAs to capture the difference.
I am looking at different contracts, namely 3x6, 6x9, 9x12, 12x24, 24x36.
Every month from 01/01/1980 to 02/01/2013 a short FRA position is entered.
Now I want to compare all the contracts in terms of average return p.a., standard deviation p.a., Sharpe ratio, etc.
My problem is that I don't know how to make the returns from the 3-months contracts comparable to the ones from the 1-year contracts (which should give me returns p.a. already?).
Since I am using only FRAs, all the returns are excess returns; I have no capital to start with. I just enter an FRA with notional 100 every month.
Can anybody help me?