Given

What is the economic value of the forecasts? Calculate the rate of return of your total investment if you start trading on 2/14/02. Your trading strategy involves opening/closing your position over each 90-day period. Ignore transaction costs.

Mini-Case: JP Morgan Chase's Forecasting Accuracy Date 2/14/02 5/16/02 8/08/02 11/7/02 2/13/03 5/15/03 8/14/03 11/13/03 2/12/04 5/13/04 8/19/04 11/20/04 3/1/05 5/24/05 Dollar/Euro 0.87 Spot 3m Forecast 0.90 0.90 0.98 0.91 1.00 1.00 1.07 1.01 1.15 1.02 1.13 1.17 1.16 1.21 1.27 1.22 1.19 1.32 1.23 1.19 1.30 1.23 1.32 1.23 1.26 1.38 Yen/Dollar Spot 133.0 3m Forecast 128.0 138.0 120.0 126.0 121.7 118.0 121.3 122.3 116.3 126.4 119.0 117.0 108.7 116.0 105.7 105.0 113.0 101.0 110.0 106.0 105.0 104.0 104.0 104.0 108.0 96.0 Mini-Case: JP Morgan Chase's Forecasting Accuracy Date 2/14/02 5/16/02 8/08/02 11/7/02 2/13/03 5/15/03 8/14/03 11/13/03 2/12/04 5/13/04 8/19/04 11/20/04 3/1/05 5/24/05 Dollar/Euro 0.87 Spot 3m Forecast 0.90 0.90 0.98 0.91 1.00 1.00 1.07 1.01 1.15 1.02 1.13 1.17 1.16 1.21 1.27 1.22 1.19 1.32 1.23 1.19 1.30 1.23 1.32 1.23 1.26 1.38 Yen/Dollar Spot 133.0 3m Forecast 128.0 138.0 120.0 126.0 121.7 118.0 121.3 122.3 116.3 126.4 119.0 117.0 108.7 116.0 105.7 105.0 113.0 101.0 110.0 106.0 105.0 104.0 104.0 104.0 108.0 96.0