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Assessing traders performance in that context is I believe quite similar to assessing Hedge Fund's performances (especially market-neutral): there is no obvious direct index for this, and it will always be tougher than for long-only equity funds obviously. However, I did use an index called HFRX Macro: Currency Index, which is basciallyl an aggregate of ...


In general, no such index exists as where with stocks you are just holding most of the major players with currencies you are always making a long/short bet. A common EUR futures position, for instance, is really a long EUR/short USD bet. Still if your managers are USD denominated holding (long-only) a basket of foreign currencies the already mentioned ...

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