Asia-Pacific Index : KLSE Composite Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.30% Mar Performance -0.27% 24.60% Annualized Vol 0.13 Sharpe (RFR=1%) 1.67% CAROR -76.25 Worst DD 0.40 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 -76.25 56 104 1/1/0001 8/1/1998 -40.24 10 23 12/1/2007 10/1/2008 -7.26 1 2 7/1/2007 8/1/2007 -1.36 1 - 10/1/2010 11/1/2010 -1.18 1 1 10/1/2007 11/1/2007 Show More Consecutive Gains Run-up Length (Mos.) Start End 95.25 5 9/1/1998 1/1/1999 61.31 3 4/1/1999 6/1/1999 50.18 13 7/1/2006 7/1/2007 34.65 4 4/1/2009 7/1/2009 33.70 3 12/1/1999 2/1/2000 30.88 1 2/1/1998 2/1/1998 24.99 5 12/1/1995 4/1/1996 19.95 3 6/1/2001 8/1/2001 19.79 3 11/1/2001 1/1/2002 17.91 4 5/1/2003 8/1/2003 17.17 5 6/1/2010 10/1/2010 15.89 5 8/1/1996 12/1/1996 15.73 4 12/1/2003 3/1/2004 13.71 3 6/1/1994 8/1/1994 12.00 2 3/1/2002 4/1/2002 11.41 1 10/1/2003 10/1/2003 11.30 2 2/1/1995 3/1/1995 10.97 2 9/1/2007 10/1/2007 10.77 3 9/1/2004 11/1/2004 10.68 1 4/1/1994 4/1/1994 10.32 1 5/1/1995 5/1/1995 9.98 1 10/1/1999 10/1/1999 8.98 1 12/1/1997 12/1/1997 8.91 2 6/1/2005 7/1/2005 8.39 4 9/1/2009 12/1/2009 7.08 1 1/1/2001 1/1/2001 6.93 3 2/1/2010 4/1/2010 5.65 2 12/1/2002 1/1/2003 5.44 1 10/1/2000 10/1/2000 4.43 1 2/1/1997 2/1/1997 3.66 3 12/1/2005 2/1/2006 3.44 1 12/1/2007 12/1/2007 3.38 1 10/1/2002 10/1/2002 3.27 1 7/1/1995 7/1/1995 3.13 4 11/1/2008 2/1/2009 2.88 2 6/1/2004 7/1/2004 2.59 1 4/1/2008 4/1/2008 2.44 1 4/1/2006 4/1/2006 2.28 1 5/1/1997 5/1/1997 1.68 1 2/1/1994 2/1/1994 1.53 1 9/1/2005 9/1/2005 1.46 1 5/1/2000 5/1/2000 1.26 1 9/1/1997 9/1/1997 0.97 1 1/1/2005 1/1/2005 0.87 1 4/1/2005 4/1/2005 Show More Consecutive Losses Run-up Length (Mos.) Start End -59.36 6 3/1/1998 8/1/1998 -33.04 2 10/1/1997 11/1/1997 -32.52 6 5/1/2008 10/1/2008 -27.19 3 6/1/1997 8/1/1997 -21.83 5 9/1/1994 1/1/1995 -21.72 4 6/1/2000 9/1/2000 -21.28 4 2/1/2001 5/1/2001 -19.65 5 5/1/2002 9/1/2002 -16.72 3 7/1/1999 9/1/1999 -15.36 1 3/1/1994 3/1/1994 -14.99 2 3/1/1997 4/1/1997 -14.98 2 2/1/1999 3/1/1999 -13.67 3 1/1/2008 3/1/2008 -13.20 1 1/1/1994 1/1/1994 -12.67 2 9/1/2001 10/1/2001 -10.24 4 8/1/1995 11/1/1995 -10.20 3 5/1/1996 7/1/1996 -10.11 2 4/1/2004 5/1/2004 -9.67 2 11/1/2000 12/1/2000 -8.54 2 3/1/2000 4/1/2000 -7.26 1 8/1/2007 8/1/2007 -5.76 1 5/1/1994 5/1/1994 -5.17 3 2/1/2003 4/1/2003 -4.90 2 2/1/2005 3/1/2005 -4.63 1 11/1/2003 11/1/2003 -4.60 1 11/1/2002 11/1/2002 -4.56 1 5/1/2010 5/1/2010 -4.19 1 1/1/1998 1/1/1998 -3.64 2 5/1/2006 6/1/2006 -3.39 2 10/1/2005 11/1/2005 -3.18 1 4/1/1995 4/1/1995 -2.54 1 8/1/2005 8/1/2005 -2.23 1 6/1/1995 6/1/1995 -2.07 1 5/1/2005 5/1/2005 -2.03 1 3/1/2009 3/1/2009 -1.72 1 1/1/1997 1/1/1997 -1.38 1 2/1/2002 2/1/2002 -1.36 1 11/1/2010 11/1/2010 -1.33 1 9/1/2003 9/1/2003 -1.18 1 11/1/2007 11/1/2007 -1.11 1 11/1/1999 11/1/1999 -1.07 1 1/1/2010 1/1/2010 -1.06 1 12/1/2004 12/1/2004 -0.72 1 8/1/2004 8/1/2004 -0.25 1 3/1/2006 3/1/2006 -0.05 1 8/1/2009 8/1/2009 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods203.00201.00198.00192.00186.00180.00168.00156.00144.00 Percent Profitable54.1954.7362.1260.9463.9860.0059.5258.9763.19 Average Period Return0.361.462.906.008.628.088.2913.4320.36 Average Gain5.2211.1214.3323.5927.7429.9030.8742.2848.68 Average Loss-5.40-10.20-15.86-21.45-25.32-24.65-24.90-28.04-28.25 Best Period34.2365.5579.01153.23224.27162.73126.85134.84145.39 Worst Period-24.77-43.72-59.36-62.34-76.16-72.92-70.16-73.19-54.04 Standard Deviation7.5915.0619.9230.6437.7634.6933.4941.9446.58 Gain Standard Deviation5.6911.5613.7823.5131.4924.2419.8426.5833.22 Loss Standard Deviation5.139.5113.0217.4219.9018.4018.3218.5515.66 Sharpe Ratio (1%)0.040.080.120.160.190.170.160.220.33 Average Gain / Average Loss0.971.090.901.101.101.211.241.511.72 Profit / Loss Ratio1.141.321.481.721.951.821.822.172.96 Downside Deviation (10%)5.239.9813.8119.7723.1024.9728.5134.1435.95 Downside Deviation (5%)5.079.4912.8417.7120.0020.4421.2123.7022.33 Downside Deviation (0%)5.039.3612.6017.2219.2819.4019.6221.4819.55 Sortino Ratio (10%)-0.010.020.030.050.04-0.09-0.26-0.24-0.20 Sortino Ratio (5%)0.050.130.190.280.360.300.250.400.68 Sortino Ratio (0%)0.070.160.230.350.450.420.420.631.04 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