Americas Index : IPC

Year-to-Date
17.04%
May Performance
-0.95%
25.43%
Annualized Vol
0.67
Sharpe (RFR=%)
16.68%
CAROR
-44.91
Worst DD
0.55
S&P Correlation

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

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
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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
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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
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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.