Americas Index : S&P TSX Composite

Year-to-Date
11.90%
May Performance
2.09%
14.04%
Annualized Vol
0.27
Sharpe (RFR=1%)
3.90%
CAROR
-45.05
Worst DD
0.80
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 Yes

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
-45.05 25 39 8/1/2000 9/1/2002
-44.80 9 64 5/1/2008 2/1/2009
-22.75 2 9 1/1/2020 3/1/2020
-17.94 17 20 8/1/2014 1/1/2016
-12.85 5 4 7/1/2018 12/1/2018
-10.05 3 4 10/1/2007 1/1/2008
-5.19 3 3 12/1/2017 3/1/2018
-4.85 2 4 4/1/2006 6/1/2006
-2.96 1 4 4/1/2019 5/1/2019
-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
-1.05 1 1 9/1/2019 10/1/2019
-0.55 1 1 12/1/2020 1/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
40.28 7 3/1/2009 9/1/2009
25.16 8 7/1/2010 2/1/2011
23.44 5 4/1/2020 8/1/2020
20.80 10 7/1/2013 4/1/2014
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
15.76 4 1/1/2019 4/1/2019
15.05 3 11/1/2005 1/1/2006
12.52 4 2/1/2021 5/1/2021
12.43 3 10/1/2001 12/1/2001
11.89 2 11/1/2020 12/1/2020
11.57 2 2/1/2000 3/1/2000
10.82 10 7/1/2016 4/1/2017
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
9.70 4 2/1/2016 5/1/2016
7.66 2 11/1/2009 12/1/2009
7.28 2 4/1/2001 5/1/2001
7.13 4 7/1/2012 10/1/2012
7.06 2 9/1/2007 10/1/2007
7.03 5 8/1/2017 12/1/2017
7.02 3 10/1/2002 12/1/2002
6.99 3 6/1/2014 8/1/2014
6.94 4 4/1/2018 7/1/2018
5.76 2 1/1/2012 2/1/2012
5.69 2 12/1/2000 1/1/2001
5.40 1 10/1/2011 10/1/2011
5.07 3 11/1/2019 1/1/2020
5.04 1 2/1/2005 2/1/2005
4.41 2 3/1/2006 4/1/2006
4.11 2 1/1/2015 2/1/2015
4.03 3 12/1/2012 2/1/2013
3.97 2 7/1/2006 8/1/2006
3.87 4 6/1/2019 9/1/2019
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
2.16 1 4/1/2015 4/1/2015
1.67 1 10/1/2015 10/1/2015
1.56 1 5/1/2013 5/1/2013
1.31 1 8/1/2008 8/1/2008
1.13 1 11/1/2018 11/1/2018
1.05 1 12/1/2007 12/1/2007
0.90 1 11/1/2014 11/1/2014
0.10 1 8/1/2002 8/1/2002
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Consecutive Losses

Run-up Length (Mos.) Start End
-41.01 6 9/1/2008 2/1/2009
-22.75 2 2/1/2020 3/1/2020
-21.59 3 9/1/2000 11/1/2000
-18.39 2 2/1/2001 3/1/2001
-17.77 7 3/1/2011 9/1/2011
-16.21 4 6/1/2001 9/1/2001
-15.87 4 4/1/2002 7/1/2002
-12.59 5 5/1/2015 9/1/2015
-9.75 4 3/1/2012 6/1/2012
-8.56 3 8/1/2018 10/1/2018
-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
-6.48 2 9/1/2014 10/1/2014
-6.40 1 11/1/2007 11/1/2007
-6.20 2 3/1/2004 4/1/2004
-5.76 1 12/1/2018 12/1/2018
-5.71 1 10/1/2005 10/1/2005
-5.65 2 9/1/2020 10/1/2020
-5.55 1 1/1/2010 1/1/2010
-5.23 3 11/1/2015 1/1/2016
-5.19 3 1/1/2018 3/1/2018
-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
-4.12 1 6/1/2013 6/1/2013
-4.07 2 3/1/2005 4/1/2005
-2.96 1 5/1/2019 5/1/2019
-2.85 2 3/1/2013 4/1/2013
-2.82 3 6/1/2007 8/1/2007
-2.64 3 5/1/2017 7/1/2017
-2.59 1 9/1/2006 9/1/2006
-2.42 2 11/1/2011 12/1/2011
-2.18 1 3/1/2015 3/1/2015
-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
-1.48 1 11/1/2012 11/1/2012
-1.25 2 4/1/2000 5/1/2000
-1.19 1 9/1/2003 9/1/2003
-1.05 1 10/1/2019 10/1/2019
-0.76 1 12/1/2014 12/1/2014
-0.66 2 1/1/2002 2/1/2002
-0.55 1 1/1/2021 1/1/2021
-0.46 1 1/1/2005 1/1/2005
-0.33 1 5/1/2014 5/1/2014
-0.01 1 6/1/2016 6/1/2016
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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.