Americas Index : IPC Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 7.21% Mar Performance 5.95% 25.43% Annualized Vol 0.67 Sharpe (RFR=1%) 16.68% CAROR -44.91 Worst DD 0.55 S&P Correlation Add Alert Add to Blender Add to Portfolio Add to Watchlist Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Strategy Description Account & Fees Type Index Minimum Investment $ 10k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee Performance Fee 0% Average Commission Available to US Investors Request Information Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements Lock-up Period 0 Trading Trading Frequency RT/YR/$M Avg. Margin-to-Equity Targeted Worst DD Worst Peak-to-Trough Sector Focus Not Specified Holding Periods Over 12 Months 4-12 Months 1-3 Months 1-30 Days Intraday Decision-Making Discretionary Systematic Strategy Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -44.91 13 11 1/1/1994 2/1/1995 -44.48 9 10 5/1/2008 2/1/2009 -43.78 11 8 9/1/1997 8/1/1998 -29.87 4 11 5/1/1992 9/1/1992 -27.70 18 7 3/1/2000 9/1/2001 -23.42 5 11 4/1/2002 9/1/2002 -13.36 3 2 6/1/1999 9/1/1999 -10.63 2 3 2/1/2005 4/1/2005 -9.53 1 3 4/1/2006 5/1/2006 -8.47 3 4 10/1/2007 1/1/2008 -8.28 1 1 7/1/1997 8/1/1997 -7.63 1 1 12/1/1999 1/1/2000 -6.66 1 1 1/1/1996 2/1/1996 -6.34 3 3 3/1/2010 6/1/2010 -6.34 1 1 6/1/1996 7/1/1996 -5.41 1 5 3/1/2004 4/1/2004 -5.38 1 2 12/1/2009 1/1/2010 -3.59 1 1 8/1/1993 9/1/1993 -3.51 4 1 5/1/2007 9/1/2007 -3.35 1 1 1/1/2007 2/1/2007 -2.79 2 2 8/1/1996 10/1/1996 -2.42 1 2 2/1/1997 3/1/1997 -2.24 1 1 9/1/2005 10/1/2005 -1.99 1 1 3/1/1992 4/1/1992 -1.16 1 1 7/1/2005 8/1/2005 -1.06 1 1 1/1/2006 2/1/2006 Show More Consecutive Gains Run-up Length (Mos.) Start End 77.84 12 4/1/2003 3/1/2004 64.67 7 3/1/2009 9/1/2009 51.73 4 10/1/1993 1/1/1994 47.56 8 6/1/2006 1/1/2007 47.29 5 2/1/1999 6/1/1999 41.17 3 10/1/1999 12/1/1999 36.31 7 8/1/2004 2/1/2005 36.20 2 9/1/1998 10/1/1998 35.51 4 12/1/1991 3/1/1992 35.21 4 4/1/1997 7/1/1997 32.57 3 10/1/1992 12/1/1992 31.48 3 11/1/1995 1/1/1996 29.50 3 6/1/1995 8/1/1995 28.46 2 3/1/1995 4/1/1995 28.21 4 10/1/2001 1/1/2002 21.61 3 7/1/1994 9/1/1994 19.97 3 11/1/2005 1/1/2006 19.53 4 11/1/1996 2/1/1997 17.97 3 6/1/1993 8/1/1993 17.87 3 3/1/2007 5/1/2007 16.93 3 5/1/2005 7/1/2005 16.56 1 6/1/2000 6/1/2000 16.38 3 4/1/2001 6/1/2001 16.22 3 9/1/2010 11/1/2010 14.94 1 1/1/2001 1/1/2001 14.55 1 3/1/1993 3/1/1993 14.48 1 9/1/1997 9/1/1997 13.48 2 2/1/2000 3/1/2000 13.36 4 3/1/1996 6/1/1996 13.18 1 9/1/2005 9/1/2005 12.51 2 11/1/1997 12/1/1997 12.13 2 11/1/2009 12/1/2009 11.58 3 2/1/1998 4/1/1998 11.08 2 3/1/2002 4/1/2002 10.37 2 3/1/2006 4/1/2006 9.92 1 8/1/1996 8/1/1996 9.46 2 11/1/2008 12/1/2008 9.46 2 2/1/2010 3/1/2010 7.94 1 5/1/1994 5/1/1994 7.48 2 10/1/2002 11/1/2002 7.36 2 2/1/2008 3/1/2008 5.59 1 5/1/2008 5/1/2008 5.03 1 12/1/1998 12/1/1998 3.84 1 10/1/2007 10/1/2007 3.70 1 7/1/2010 7/1/2010 3.35 2 5/1/2004 6/1/2004 3.23 1 8/1/2002 8/1/2002 2.94 1 5/1/1992 5/1/1992 2.31 1 8/1/2000 8/1/2000 1.54 1 11/1/1994 11/1/1994 0.94 1 10/1/2000 10/1/2000 Show More Consecutive Losses Run-up Length (Mos.) Start End -41.32 4 5/1/1998 8/1/1998 -40.83 3 12/1/1994 2/1/1995 -36.06 5 6/1/2008 10/1/2008 -29.87 4 6/1/1992 9/1/1992 -20.68 2 1/1/2009 2/1/2009 -20.23 2 4/1/2000 5/1/2000 -19.50 3 5/1/2002 7/1/2002 -18.94 3 7/1/2001 9/1/2001 -17.53 3 2/1/1994 4/1/1994 -13.36 3 7/1/1999 9/1/1999 -12.66 1 10/1/1997 10/1/1997 -12.62 1 1/1/1998 1/1/1998 -12.09 2 1/1/1993 2/1/1993 -11.84 2 2/1/2001 3/1/2001 -11.60 2 11/1/2000 12/1/2000 -10.63 2 3/1/2005 4/1/2005 -9.53 1 5/1/2006 5/1/2006 -8.96 2 4/1/1993 5/1/1993 -8.86 1 6/1/1994 6/1/1994 -8.47 3 11/1/2007 1/1/2008 -8.28 1 8/1/1997 8/1/1997 -7.87 2 9/1/1995 10/1/1995 -7.85 1 9/1/2002 9/1/2002 -7.63 1 1/1/2000 1/1/2000 -7.48 1 11/1/1998 11/1/1998 -7.06 1 10/1/1994 10/1/1994 -6.66 1 2/1/1996 2/1/1996 -6.34 3 4/1/2010 6/1/2010 -6.34 1 7/1/1996 7/1/1996 -6.25 1 7/1/2000 7/1/2000 -5.41 1 4/1/2004 4/1/2004 -5.38 1 1/1/2010 1/1/2010 -4.96 1 9/1/2000 9/1/2000 -3.94 4 12/1/2002 3/1/2003 -3.59 1 9/1/1993 9/1/1993 -3.51 4 6/1/2007 9/1/2007 -3.35 1 2/1/2007 2/1/2007 -2.79 1 2/1/2002 2/1/2002 -2.79 2 9/1/1996 10/1/1996 -2.42 1 3/1/1997 3/1/1997 -2.24 1 10/1/2005 10/1/2005 -2.04 1 4/1/2008 4/1/2008 -2.01 1 10/1/2009 10/1/2009 -1.99 1 4/1/1992 4/1/1992 -1.95 1 8/1/2010 8/1/2010 -1.78 1 5/1/1995 5/1/1995 -1.61 1 7/1/2004 7/1/2004 -1.16 1 8/1/2005 8/1/2005 -1.06 1 2/1/2006 2/1/2006 -0.04 1 1/1/1999 1/1/1999 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods228.00226.00223.00217.00211.00205.00193.00181.00169.00 Percent Profitable60.9664.1669.5172.8177.7386.8395.85100.00100.00 Average Period Return1.755.2510.3221.7233.5245.1474.45115.14159.67 Average Gain6.6213.2920.4535.5846.6453.8278.17115.14159.67 Average Loss-5.85-9.16-12.78-15.38-12.30-12.13-11.42 Best Period20.3641.9063.4084.74146.28150.52225.88386.09428.87 Worst Period-29.52-40.83-43.42-40.70-41.50-33.36-20.861.547.65 Standard Deviation7.7613.9020.0028.5035.5741.9360.6981.1497.75 Gain Standard Deviation4.549.1713.7519.0928.5737.9159.2281.1497.75 Loss Standard Deviation5.208.0310.5710.7711.249.247.66 Sharpe Ratio (1%)0.220.360.490.730.901.031.181.371.58 Average Gain / Average Loss1.131.451.602.313.794.446.84 Profit / Loss Ratio1.772.603.656.1913.2429.25158.27 Downside Deviation (10%)5.077.8410.2212.0010.828.926.591.752.05 Downside Deviation (5%)4.927.399.3410.208.376.103.300.19 Downside Deviation (0%)4.887.279.139.767.825.502.74 Sortino Ratio (10%)0.270.510.771.392.403.918.9153.5264.43 Sortino Ratio (5%)0.340.681.052.033.837.0721.64593.26 Sortino Ratio (0%)0.360.721.132.234.288.2127.12 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel