Asia-Pacific Index : Hang Seng Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.40% Dec Performance 3.38% 27.13% Annualized Vol 0.40 Sharpe (RFR=1%) 8.52% CAROR -59.14 Worst DD 0.61 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 -59.14 16 - 10/1/2007 2/1/2009 -55.55 13 16 7/1/1997 8/1/1998 -50.40 36 42 3/1/2000 3/1/2003 -45.78 2 44 9/1/1987 11/1/1987 -38.24 13 20 12/1/1993 1/1/1995 -10.96 2 2 10/1/1992 12/1/1992 -9.81 3 1 6/1/1992 9/1/1992 -8.43 1 1 12/1/1999 1/1/2000 -7.57 2 1 2/1/1987 4/1/1987 -6.82 3 2 12/1/1996 3/1/1997 -5.20 2 1 5/1/1993 7/1/1993 -2.26 1 2 1/1/2007 2/1/2007 -2.19 1 1 10/1/1993 11/1/1993 -1.30 2 1 7/1/1991 9/1/1991 -0.58 1 1 1/1/0001 1/1/1987 Show More Consecutive Gains Run-up Length (Mos.) Start End 61.06 11 4/1/2003 2/1/2004 60.58 5 3/1/2009 7/1/2009 59.54 8 3/1/2007 10/1/2007 54.27 9 10/1/1991 6/1/1992 48.26 5 5/1/1987 9/1/1987 42.99 3 9/1/1998 11/1/1998 40.25 3 2/1/1999 4/1/1999 33.74 5 1/1/1993 5/1/1993 33.48 3 8/1/1993 10/1/1993 33.21 3 10/1/1999 12/1/1999 30.57 4 4/1/1997 7/1/1997 30.28 1 12/1/1993 12/1/1993 26.79 8 6/1/2006 1/1/2007 26.31 4 12/1/1990 3/1/1991 25.93 5 8/1/1996 12/1/1996 25.89 4 10/1/1988 1/1/1989 24.49 2 2/1/1998 3/1/1998 23.75 5 9/1/1995 1/1/1996 21.72 5 12/1/1987 4/1/1988 16.96 2 2/1/1995 3/1/1995 16.50 3 5/1/1990 7/1/1990 16.20 3 6/1/2000 8/1/2000 15.15 2 12/1/2000 1/1/2001 14.54 3 10/1/2001 12/1/2001 13.37 2 7/1/1994 8/1/1994 13.07 1 7/1/1989 7/1/1989 12.72 1 4/1/2008 4/1/2008 12.71 1 2/1/1987 2/1/1987 12.52 1 5/1/1995 5/1/1995 12.46 2 9/1/2010 10/1/2010 12.45 1 10/1/1992 10/1/1992 12.07 2 2/1/2000 3/1/2000 11.40 1 6/1/1999 6/1/1999 11.26 4 6/1/2005 9/1/2005 11.00 2 10/1/2002 11/1/2002 10.89 4 9/1/2009 12/1/2009 9.95 1 9/1/1989 9/1/1989 9.68 2 3/1/2002 4/1/2002 9.30 1 7/1/1991 7/1/1991 9.00 2 11/1/2004 12/1/2004 8.92 2 2/1/1990 3/1/1990 8.33 1 10/1/1990 10/1/1990 7.30 2 6/1/1988 7/1/1988 7.21 2 8/1/2004 9/1/2004 7.00 2 1/1/2006 2/1/2006 6.55 1 5/1/1994 5/1/1994 6.47 1 9/1/1997 9/1/1997 6.40 2 6/1/2010 7/1/2010 5.55 2 2/1/2010 3/1/2010 5.42 1 4/1/2006 4/1/2006 4.90 1 4/1/2001 4/1/2001 4.08 2 11/1/1989 12/1/1989 3.83 1 11/1/2005 11/1/2005 3.73 1 2/1/2008 2/1/2008 3.69 1 4/1/1989 4/1/1989 3.59 1 12/1/2008 12/1/2008 3.45 1 2/1/2005 2/1/2005 3.32 1 5/1/1991 5/1/1991 2.90 1 4/1/2005 4/1/2005 2.87 2 5/1/2004 6/1/2004 2.85 1 7/1/2008 7/1/2008 2.81 2 4/1/1996 5/1/1996 2.68 1 7/1/1995 7/1/1995 2.24 1 8/1/1999 8/1/1999 1.86 1 12/1/1997 12/1/1997 1.31 1 10/1/1994 10/1/1994 0.58 1 2/1/1997 2/1/1997 Show More Consecutive Losses Run-up Length (Mos.) Start End -45.78 2 10/1/1987 11/1/1987 -38.90 4 8/1/2008 11/1/2008 -36.84 5 4/1/1998 8/1/1998 -30.05 2 10/1/1997 11/1/1997 -27.03 2 5/1/1989 6/1/1989 -25.66 5 5/1/2001 9/1/2001 -25.19 3 11/1/2007 1/1/2008 -24.58 4 1/1/1994 4/1/1994 -23.88 3 11/1/1994 1/1/1995 -21.09 5 5/1/2002 9/1/2002 -20.75 2 2/1/2001 3/1/2001 -19.72 2 8/1/1990 9/1/1990 -18.21 3 9/1/2000 11/1/2000 -15.47 2 4/1/2000 5/1/2000 -14.25 4 12/1/2002 3/1/2003 -14.18 2 5/1/2008 6/1/2008 -14.12 2 3/1/2004 4/1/2004 -13.71 1 1/1/1998 1/1/1998 -13.63 1 8/1/1997 8/1/1997 -10.96 2 11/1/1992 12/1/1992 -10.95 2 1/1/2009 2/1/2009 -9.81 3 7/1/1992 9/1/1992 -8.90 1 5/1/1999 5/1/1999 -8.88 2 8/1/1988 9/1/1988 -8.61 2 12/1/1998 1/1/1999 -8.43 1 1/1/2000 1/1/2000 -8.32 1 6/1/1994 6/1/1994 -8.03 2 1/1/2002 2/1/2002 -8.00 1 1/1/2010 1/1/2010 -7.57 2 3/1/1987 4/1/1987 -6.94 2 4/1/2010 5/1/2010 -6.75 1 10/1/2005 10/1/2005 -6.45 1 3/1/1997 3/1/1997 -6.09 1 3/1/2008 3/1/2008 -5.56 1 9/1/1999 9/1/1999 -5.20 2 6/1/1993 7/1/1993 -5.18 2 6/1/1996 7/1/1996 -4.82 1 5/1/2006 5/1/2006 -4.78 1 3/1/2005 3/1/2005 -4.19 1 4/1/1991 4/1/1991 -4.13 1 8/1/2009 8/1/2009 -4.11 1 9/1/1994 9/1/1994 -4.08 1 5/1/1988 5/1/1988 -3.57 1 1/1/2005 1/1/2005 -3.54 2 2/1/1996 3/1/1996 -3.00 1 1/1/1990 1/1/1990 -2.89 1 8/1/1995 8/1/1995 -2.64 1 4/1/1995 4/1/1995 -2.55 1 7/1/1999 7/1/1999 -2.43 1 8/1/1989 8/1/1989 -2.35 1 8/1/2010 8/1/2010 -2.26 1 2/1/2007 2/1/2007 -2.21 2 2/1/1989 3/1/1989 -2.19 1 11/1/1993 11/1/1993 -2.14 1 6/1/1995 6/1/1995 -1.53 1 4/1/1990 4/1/1990 -1.30 2 8/1/1991 9/1/1991 -1.19 1 10/1/1989 10/1/1989 -1.05 1 6/1/1991 6/1/1991 -0.96 1 1/1/1997 1/1/1997 -0.84 1 11/1/1990 11/1/1990 -0.71 1 3/1/2006 3/1/2006 -0.58 1 1/1/1987 1/1/1987 -0.50 1 10/1/2004 10/1/2004 -0.41 1 12/1/2005 12/1/2005 -0.39 1 7/1/2004 7/1/2004 -0.38 1 11/1/2010 11/1/2010 -0.30 1 5/1/2005 5/1/2005 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods287.00285.00282.00276.00270.00264.00252.00240.00228.00 Percent Profitable59.2364.9163.8368.1271.4871.5977.7880.8380.26 Average Period Return1.103.346.4612.9719.9726.3642.0862.6683.99 Average Gain5.8911.3118.1328.1636.9445.9459.1981.17107.93 Average Loss-5.86-11.40-14.15-19.46-22.56-22.98-17.77-15.39-13.36 Best Period30.2854.8767.46115.67136.00176.65293.13319.11342.37 Worst Period-44.10-41.61-45.76-55.45-50.50-42.50-50.40-34.62-39.72 Standard Deviation8.0314.3819.8428.5235.0841.3053.8269.7386.47 Gain Standard Deviation5.249.1812.9519.3025.3331.3748.4964.8579.91 Loss Standard Deviation6.049.9111.2114.3913.1010.7213.859.129.40 Sharpe Ratio (1%)0.130.220.300.420.530.590.730.840.91 Average Gain / Average Loss1.010.991.281.451.642.003.335.278.08 Profit / Loss Ratio1.461.842.263.094.105.0411.6622.2532.86 Downside Deviation (10%)5.559.4912.0516.0117.5718.6517.3717.3419.47 Downside Deviation (5%)5.409.0411.0814.1014.6114.4811.759.409.19 Downside Deviation (0%)5.368.9310.8413.6413.9113.5010.587.817.23 Sortino Ratio (10%)0.130.220.330.500.700.861.522.372.89 Sortino Ratio (5%)0.190.340.540.851.261.683.326.248.58 Sortino Ratio (0%)0.210.370.600.951.441.953.988.0211.62 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