Asia-Pacific Index : Hang Seng

Year-to-Date
12.75%
Jul Performance
0.69%
27.13%
Annualized Vol
0.40
Sharpe (RFR=1%)
8.52%
CAROR
-59.14
Worst DD
0.61
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 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.

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
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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
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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
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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.