Americas Index : S&P TSX Composite Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.17% Dec Performance 1.41% 15.05% Annualized Vol 0.23 Sharpe (RFR=1%) 2.88% CAROR -45.05 Worst DD 0.79 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 -45.05 25 39 8/1/2000 9/1/2002 -44.80 9 - 5/1/2008 2/1/2009 -10.05 3 4 10/1/2007 1/1/2008 -4.85 2 4 4/1/2006 6/1/2006 -2.82 3 1 5/1/2007 8/1/2007 -2.15 1 1 1/1/2006 2/1/2006 -1.25 2 1 3/1/2000 5/1/2000 Show More Consecutive Gains Run-up Length (Mos.) Start End 40.28 7 3/1/2009 9/1/2009 20.37 3 6/1/2000 8/1/2000 19.52 8 10/1/2006 5/1/2007 18.72 5 5/1/2005 9/1/2005 18.60 5 4/1/2003 8/1/2003 18.43 5 10/1/2003 2/1/2004 15.05 3 11/1/2005 1/1/2006 14.68 5 7/1/2010 11/1/2010 12.43 3 10/1/2001 12/1/2001 11.57 2 2/1/2000 3/1/2000 10.38 4 9/1/2004 12/1/2004 10.22 2 4/1/2008 5/1/2008 10.06 3 2/1/2010 4/1/2010 7.66 2 11/1/2009 12/1/2009 7.28 2 4/1/2001 5/1/2001 7.06 2 9/1/2007 10/1/2007 7.02 3 10/1/2002 12/1/2002 5.69 2 12/1/2000 1/1/2001 5.04 1 2/1/2005 2/1/2005 4.41 2 3/1/2006 4/1/2006 3.97 2 7/1/2006 8/1/2006 3.66 2 5/1/2004 6/1/2004 3.25 1 2/1/2008 2/1/2008 2.80 1 3/1/2002 3/1/2002 1.31 1 8/1/2008 8/1/2008 1.05 1 12/1/2007 12/1/2007 0.10 1 8/1/2002 8/1/2002 Show More Consecutive Losses Run-up Length (Mos.) Start End -41.01 6 9/1/2008 2/1/2009 -21.59 3 9/1/2000 11/1/2000 -18.39 2 2/1/2001 3/1/2001 -16.21 4 6/1/2001 9/1/2001 -15.87 4 4/1/2002 7/1/2002 -7.62 2 6/1/2008 7/1/2008 -7.50 2 5/1/2010 6/1/2010 -6.53 1 9/1/2002 9/1/2002 -6.40 1 11/1/2007 11/1/2007 -6.20 2 3/1/2004 4/1/2004 -5.71 1 10/1/2005 10/1/2005 -5.55 1 1/1/2010 1/1/2010 -4.90 1 1/1/2008 1/1/2008 -4.85 2 5/1/2006 6/1/2006 -4.26 3 1/1/2003 3/1/2003 -4.25 1 10/1/2009 10/1/2009 -4.07 2 3/1/2005 4/1/2005 -2.82 3 6/1/2007 8/1/2007 -2.59 1 9/1/2006 9/1/2006 -2.15 1 2/1/2006 2/1/2006 -1.97 2 7/1/2004 8/1/2004 -1.71 1 3/1/2008 3/1/2008 -1.25 2 4/1/2000 5/1/2000 -1.19 1 9/1/2003 9/1/2003 -0.66 2 1/1/2002 2/1/2002 -0.46 1 1/1/2005 1/1/2005 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods130.00128.00125.00119.00113.00107.0095.0083.0071.00 Percent Profitable60.0066.4165.6064.7160.1859.8158.9575.9094.37 Average Period Return0.441.242.304.246.979.3420.1633.8946.25 Average Gain3.416.1510.0316.7324.9830.2146.2247.3149.26 Average Loss-4.02-8.45-12.42-18.65-20.23-21.71-17.26-8.39-4.09 Best Period11.2127.6633.8043.1746.6751.7991.24107.90134.04 Worst Period-16.93-32.68-41.01-40.20-40.54-41.22-33.23-25.52-7.57 Standard Deviation4.649.1913.6519.5624.3128.3236.5639.5939.49 Gain Standard Deviation2.165.016.439.1510.0013.7523.3336.0238.61 Loss Standard Deviation3.697.7511.5010.799.719.479.067.162.93 Sharpe Ratio (1%)0.080.110.130.170.220.260.470.751.04 Average Gain / Average Loss0.850.730.810.901.231.392.685.6412.04 Profit / Loss Ratio1.271.441.541.641.872.073.8517.77201.64 Downside Deviation (10%)3.637.1610.9915.4318.6021.1422.0417.4512.46 Downside Deviation (5%)3.476.7210.0913.2815.0016.1614.207.072.45 Downside Deviation (0%)3.436.619.8812.7714.1314.9912.455.351.14 Sortino Ratio (10%)0.010.00-0.02-0.05-0.03-0.040.200.711.50 Sortino Ratio (5%)0.100.150.180.240.360.451.214.2216.77 Sortino Ratio (0%)0.130.190.230.330.490.621.626.3340.48 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