Americas Index : MerVal Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 22.93% Dec Performance -6.13% 38.27% Annualized Vol 0.63 Sharpe (RFR=1%) 13.40% CAROR -76.18 Worst DD 0.45 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel