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Americas Index : MerVal

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Year-to-Date
0.99%
Sep Performance
-11.90%
38.27%
Annualized Vol
0.63
Sharpe (RFR=1%)
13.40%
CAROR
-76.18
Worst DD
0.45
S&P Correlation
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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.

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
-76.18 52 23 7/1/1997 11/1/2001
-57.73 13 16 10/1/2007 11/1/2008
-21.32 3 4 3/1/2004 6/1/2004
-14.22 5 2 4/1/2006 9/1/2006
-13.49 2 4 2/1/2005 4/1/2005
-8.94 3 1 9/1/2005 12/1/2005
-8.82 2 3 4/1/2010 6/1/2010
-8.07 3 2 5/1/2007 8/1/2007
-5.75 1 1 10/1/2004 11/1/2004
-4.45 1 1 1/1/2006 2/1/2006
-1.61 1 1 2/1/1997 3/1/1997
-1.09 2 1 12/1/2006 2/1/2007
-0.11 1 1 12/1/2004 1/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
127.68 10 3/1/2009 12/1/2009
116.94 2 12/1/2001 1/1/2002
87.00 9 6/1/2002 2/1/2003
68.46 7 9/1/2003 3/1/2004
51.56 3 2/1/1999 4/1/1999
39.57 3 9/1/2010 11/1/2010
36.35 3 9/1/1998 11/1/1998
35.18 2 9/1/2004 10/1/2004
35.16 3 4/1/2003 6/1/2003
33.37 2 12/1/2000 1/1/2001
27.68 3 10/1/2006 12/1/2006
25.80 4 11/1/1996 2/1/1997
23.94 3 7/1/2005 9/1/2005
20.39 4 4/1/1997 7/1/1997
17.82 3 12/1/1999 2/1/2000
16.24 1 1/1/2006 1/1/2006
15.94 2 2/1/1998 3/1/1998
14.03 2 9/1/2007 10/1/2007
13.45 1 2/1/2005 2/1/2005
13.38 1 12/1/2004 12/1/2004
13.25 3 8/1/1999 10/1/1999
11.35 2 3/1/2006 4/1/2006
10.18 1 5/1/2005 5/1/2005
9.57 1 7/1/2010 7/1/2010
9.51 1 3/1/2002 3/1/2002
8.62 1 12/1/2008 12/1/2008
8.48 3 3/1/2007 5/1/2007
8.12 2 6/1/2000 7/1/2000
7.87 2 3/1/2010 4/1/2010
7.72 1 2/1/2008 2/1/2008
6.97 1 7/1/1998 7/1/1998
5.26 1 5/1/2008 5/1/2008
4.87 1 12/1/1997 12/1/1997
3.47 1 6/1/2006 6/1/2006
2.18 1 7/1/2004 7/1/2004
1.83 1 3/1/2001 3/1/2001
0.82 1 5/1/2001 5/1/2001
0.16 1 9/1/2000 9/1/2000
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Consecutive Losses

Run-up Length (Mos.) Start End
-54.94 6 6/1/2008 11/1/2008
-53.91 6 6/1/2001 11/1/2001
-39.11 1 8/1/1998 8/1/1998
-27.19 2 4/1/2002 5/1/2002
-26.49 3 3/1/2000 5/1/2000
-23.92 2 12/1/1998 1/1/1999
-22.87 4 8/1/1997 11/1/1997
-22.47 3 4/1/1998 6/1/1998
-21.32 3 4/1/2004 6/1/2004
-18.20 1 2/1/2001 2/1/2001
-15.97 2 10/1/2000 11/1/2000
-15.61 3 5/1/1999 7/1/1999
-14.64 3 11/1/2007 1/1/2008
-13.49 2 3/1/2005 4/1/2005
-13.35 1 5/1/2006 5/1/2006
-10.93 1 1/1/1998 1/1/1998
-9.32 1 2/1/2002 2/1/2002
-8.94 3 10/1/2005 12/1/2005
-8.82 2 5/1/2010 6/1/2010
-8.07 3 6/1/2007 8/1/2007
-7.95 1 6/1/2005 6/1/2005
-6.83 2 7/1/2003 8/1/2003
-5.75 1 11/1/2004 11/1/2004
-5.59 2 1/1/2009 2/1/2009
-5.45 1 8/1/2000 8/1/2000
-4.61 1 3/1/2003 3/1/2003
-4.45 1 2/1/2006 2/1/2006
-4.31 3 7/1/2006 9/1/2006
-4.28 2 1/1/2010 2/1/2010
-3.08 2 3/1/2008 4/1/2008
-2.39 1 8/1/2010 8/1/2010
-1.84 1 4/1/2001 4/1/2001
-1.61 1 3/1/1997 3/1/1997
-1.44 1 8/1/2004 8/1/2004
-1.09 2 1/1/2007 2/1/2007
-0.48 1 11/1/1999 11/1/1999
-0.11 1 1/1/2005 1/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods169.00167.00164.00158.00152.00146.00134.00122.00110.00
Percent Profitable55.0362.2859.7660.7659.8758.9061.9475.4179.09
Average Period Return1.655.029.3218.3929.4438.5968.00109.82161.49
Average Gain8.7517.0027.7645.8967.6484.52125.84157.99213.26
Average Loss-7.04-14.74-18.06-24.20-27.55-27.23-26.12-37.88-34.32
Best Period48.6896.7284.30145.88235.05392.25499.21667.93871.61
Worst Period-39.11-47.35-54.94-57.01-57.21-62.24-58.58-70.39-67.19
Standard Deviation11.1221.4729.1545.9565.3281.61116.27152.69185.26
Gain Standard Deviation8.2416.5720.1636.8357.2577.43113.54146.17174.40
Loss Standard Deviation7.4111.8715.8116.9617.5115.8215.1817.5421.44
Sharpe Ratio (1%)0.140.220.300.380.430.450.560.690.84
Average Gain / Average Loss1.241.151.541.902.463.104.824.176.21
Profit / Loss Ratio1.521.902.282.943.664.457.8412.7923.51
Downside Deviation (10%)7.0212.1916.3921.1224.8526.0727.5630.8830.11
Downside Deviation (5%)6.8711.7115.4218.9821.4421.2720.2322.4920.42
Downside Deviation (0%)6.8311.5915.1818.4620.6320.1518.5920.6418.39
Sortino Ratio (10%)0.180.310.420.630.881.091.902.864.45
Sortino Ratio (5%)0.230.410.570.921.301.723.214.707.66
Sortino Ratio (0%)0.240.430.611.001.431.923.665.328.78

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.

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