Value Added Monthly Index - VAMI

M

Milton

Hello ET.
From what I read, VAMI is a good indicator for tracking an account in wich cash injection and withdrawals doesn't affect your actual trading performance.
I want to calculate VAMI but I don't get it. I'm tired of google'ing and trying in excel without succes:)
I will be very thankful if someone can write the exact formula and write an example for a fictive 12 month track record.
 
The CME reprinted a booklet in 2000, How to Become a CTA, that describes the 13-column format required by the CFTC. I don't know if this information is still current or whether the booklet is still available. The columns are: beginning equity, additions, withdrawals, gross realized profit, commissions etc, net realized profit, increase in unrealized profit, interest, advisor's fees, net performance, ending equity, rate of return (%), index (VAMI). VAMI is defined as the compounded performance of a hypothetical $1000 investment.

Beginning at inception, column #1 (beginning equity) is zero for the first month. The index for the first month, therefore, is the rate of return multiplied by hypothetical $1000. After the first month, the index is the previous month's index multiplied by the current month's return. In the example in the booklet, the rates of return are 2.9%, 0.8, 1.6, -0.3 etc. The indices are $1029, 1036, 1053, 1050, etc. The year ending VAMI is the change in the index from $1000 to the last month expressed as a percentage.

Thought it is not stated in the booklet, it looks to me like the assumption is that the additions and withdrawals are assumed to have been made on the first day of the month.

Enjoy!
 

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Sorry for responding so late.
Thanks for help.

Quote from rwk:
Thought it is not stated in the booklet, it looks to me like the assumption is that the additions and withdrawals are assumed to have been made on the first day of the month.
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Yes, I also think that this is how is calculated. For example in January:
Starting balance 100 000.
End of Jan: 110 000.
This mean a 10% increase.

In the first day of febr. 20 000 are withdrawals, so the amount of money in the account now is: 90 000$.

For the start of febr. the account is 90K and if at the end of february the balance is 100 000$ this mean an increase of 11.11%
So when the informations are introduced in VAMI formula, The value will be 1.100 for Jan and 1.222 for Feb.
So in this way, the additions and withdrawals does not affect the real performance results.
I'm right?

I attached an excel document where I wrote the formula for VAMI and introduced the Rate of Return from your atachement (first example) but my VAMI values are a little bit different. Can you tell me what I did wrong? Is just excel who calculate a little bit different ?
Apologize for my english.
 

Attachments

Quote from Milton:
I attached an excel document where I wrote the formula for VAMI and introduced the Rate of Return from your atachement (first example) but my VAMI values are a little bit different. Can you tell me what I did wrong? Is just excel who calculate a little bit different ?
More...
I believe you are correct. I noticed that the calculations in the CME booklet are off by a small amount. My guess is that the person who prepared the example did not use a computer.

[rwk]
 
Quote from rwk:

I believe you are correct. I noticed that the calculations in the CME booklet are off by a small amount. My guess is that the person who prepared the example did not use a computer.

[rwk]
More...
Ok.
One more question please: Do you know where I can find some VAMI graphics from different (privat,institutional or... 'big') Funds? I want to look at their VAMI graph. to see what is the "benchmark".
Thank you.
 
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