Asia-Pacific Index : Nikkei 225

Year-to-Date
7.52%
May Performance
8.34%
21.09%
Annualized Vol
0.15
Sharpe (RFR=%)
1.18%
CAROR
-80.55
Worst DD
0.53
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
-80.55 230 - 12/1/1989 2/1/2009
-17.15 4 3 8/1/1987 12/1/1987
-10.15 2 2 8/1/1986 10/1/1986
-9.48 1 5 4/1/1984 5/1/1984
-4.81 1 3 6/1/1985 7/1/1985
-3.85 1 1 5/1/1989 6/1/1989
-2.41 1 2 5/1/1987 6/1/1987
-1.96 1 1 7/1/1988 8/1/1988
-1.62 1 1 1/1/0001 2/1/1984
-1.50 1 1 7/1/1989 8/1/1989
-1.36 1 1 10/1/1985 11/1/1985
-1.30 1 1 3/1/1985 4/1/1985
-0.82 1 1 6/1/1986 7/1/1986
-0.45 1 1 12/1/1985 1/1/1986
-0.25 1 1 9/1/1989 10/1/1989
-0.21 1 1 3/1/1986 4/1/1986
-0.06 1 1 4/1/1988 5/1/1988
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Consecutive Gains

Run-up Length (Mos.) Start End
51.24 9 5/1/2005 1/1/2006
46.48 7 11/1/1986 5/1/1987
38.64 6 3/1/2009 8/1/2009
32.08 4 5/1/2003 8/1/2003
27.22 4 1/1/1988 4/1/1988
25.91 8 8/1/1984 3/1/1985
25.22 9 9/1/1988 5/1/1989
24.80 2 7/1/1995 8/1/1995
23.39 2 3/1/1993 4/1/1993
23.29 2 12/1/1993 1/1/1994
21.78 2 2/1/1986 3/1/1986
20.06 1 10/1/1990 10/1/1990
17.89 3 11/1/1995 1/1/1996
17.66 4 2/1/2002 5/1/2002
16.64 7 9/1/1999 3/1/2000
16.45 5 12/1/2003 4/1/2004
16.24 2 3/1/1999 4/1/1999
14.47 2 4/1/2008 5/1/2008
14.45 3 4/1/1997 6/1/1997
13.52 1 8/1/1992 8/1/1992
13.38 1 2/1/1991 2/1/1991
12.92 2 9/1/1991 10/1/1991
12.85 1 12/1/2009 12/1/2009
11.99 1 5/1/1990 5/1/1990
11.55 2 5/1/1986 6/1/1986
11.02 2 10/1/1998 11/1/1998
10.86 2 6/1/1999 7/1/1999
10.31 2 1/1/1998 2/1/1998
9.74 2 4/1/1994 5/1/1994
9.52 2 3/1/1996 4/1/1996
9.52 1 3/1/2010 3/1/2010
9.47 2 11/1/1989 12/1/1989
9.47 2 3/1/1984 4/1/1984
9.44 2 10/1/2001 11/1/2001
8.17 3 12/1/2006 2/1/2007
8.16 2 3/1/2001 4/1/2001
7.98 1 11/1/2010 11/1/2010
7.66 2 7/1/1987 8/1/1987
7.49 1 8/1/1986 8/1/1986
7.34 2 7/1/1993 8/1/1993
7.21 1 8/1/2000 8/1/2000
6.89 1 9/1/1996 9/1/1996
6.66 2 11/1/2004 12/1/2004
6.66 1 11/1/2002 11/1/2002
6.60 1 6/1/2000 6/1/2000
6.21 1 12/1/1990 12/1/1990
6.18 1 9/1/2010 9/1/2010
6.09 1 7/1/1989 7/1/1989
5.54 1 6/1/2004 6/1/2004
5.50 1 5/1/1992 5/1/1992
5.47 1 11/1/1992 11/1/1992
5.27 1 3/1/2006 3/1/2006
4.92 3 4/1/2007 6/1/2007
4.75 1 1/1/1999 1/1/1999
4.72 3 5/1/1998 7/1/1998
4.42 1 8/1/2006 8/1/2006
4.41 1 6/1/1984 6/1/1984
4.13 1 4/1/1995 4/1/1995
4.08 1 12/1/2008 12/1/2008
3.67 2 5/1/1985 6/1/1985
3.67 1 8/1/1985 8/1/1985
3.56 1 7/1/1991 7/1/1991
3.50 1 9/1/1989 9/1/1989
3.39 1 12/1/1994 12/1/1994
3.33 1 10/1/2003 10/1/2003
3.10 1 2/1/2005 2/1/2005
2.70 1 11/1/1996 11/1/1996
2.62 1 6/1/1996 6/1/1996
2.51 1 12/1/1985 12/1/1985
2.18 1 10/1/1994 10/1/1994
1.88 1 10/1/1985 10/1/1985
1.81 2 6/1/1988 7/1/1988
1.69 1 10/1/2006 10/1/2006
1.65 1 7/1/2010 7/1/2010
1.31 1 12/1/1991 12/1/1991
1.31 1 9/1/2007 9/1/2007
1.24 1 2/1/1997 2/1/1997
1.06 1 11/1/1997 11/1/1997
0.88 1 8/1/1994 8/1/1994
0.75 1 11/1/2000 11/1/2000
0.58 1 1/1/1993 1/1/1993
0.42 1 1/1/2001 1/1/2001
0.28 1 2/1/2003 2/1/2003
0.24 1 6/1/2006 6/1/2006
0.08 1 2/1/2008 2/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.63 6 6/1/2008 11/1/2008
-36.66 4 6/1/1990 9/1/1990
-29.85 5 5/1/2001 9/1/2001
-26.55 5 6/1/2002 10/1/2002
-24.33 4 1/1/1992 4/1/1992
-23.98 4 1/1/1990 4/1/1990
-21.97 3 9/1/1993 11/1/1993
-20.12 4 7/1/1997 10/1/1997
-19.69 2 4/1/2000 5/1/2000
-19.02 4 10/1/2007 1/1/2008
-18.17 3 1/1/1995 3/1/1995
-18.15 2 8/1/1998 9/1/1998
-17.15 4 9/1/1987 12/1/1987
-15.40 3 4/1/2010 6/1/2010
-14.57 2 1/1/2009 2/1/2009
-13.77 2 9/1/2000 10/1/2000
-13.63 2 5/1/1995 6/1/1995
-13.29 2 6/1/1992 7/1/1992
-12.80 2 12/1/1996 1/1/1997
-11.81 4 3/1/1991 6/1/1991
-10.93 3 9/1/2009 11/1/2009
-10.87 1 11/1/1990 11/1/1990
-10.49 2 7/1/1996 8/1/1996
-10.15 2 9/1/1986 10/1/1986
-10.05 1 11/1/1991 11/1/1991
-9.67 1 7/1/2000 7/1/2000
-9.50 2 12/1/2002 1/1/2003
-9.48 1 5/1/1984 5/1/1984
-9.33 2 4/1/2006 5/1/2006
-9.17 4 7/1/2004 10/1/2004
-8.65 2 7/1/2007 8/1/2007
-8.26 1 12/1/1997 12/1/1997
-7.92 1 3/1/2008 3/1/2008
-7.48 1 8/1/2010 8/1/2010
-7.40 1 8/1/1991 8/1/1991
-7.16 2 9/1/1992 10/1/1992
-7.07 2 3/1/1998 4/1/1998
-7.00 1 12/1/1998 12/1/1998
-6.93 1 2/1/2001 2/1/2001
-6.54 2 12/1/2001 1/1/2002
-6.36 2 3/1/2003 4/1/2003
-6.35 2 5/1/1993 6/1/1993
-6.23 2 3/1/2005 4/1/2005
-5.89 1 12/1/2000 12/1/2000
-5.52 2 2/1/1994 3/1/1994
-5.16 1 9/1/1994 9/1/1994
-5.05 1 10/1/1996 10/1/1996
-4.81 1 7/1/1985 7/1/1985
-4.57 1 11/1/1994 11/1/1994
-4.47 1 5/1/2004 5/1/2004
-4.35 1 11/1/2003 11/1/2003
-4.29 1 12/1/1992 12/1/1992
-3.99 2 1/1/2010 2/1/2010
-3.85 1 6/1/1989 6/1/1989
-3.65 1 7/1/1984 7/1/1984
-3.53 1 5/1/1999 5/1/1999
-3.31 1 2/1/1996 2/1/1996
-2.99 1 3/1/1997 3/1/1997
-2.67 1 2/1/2006 2/1/2006
-2.55 2 9/1/1995 10/1/1995
-2.50 2 6/1/1994 7/1/1994
-2.41 1 6/1/1987 6/1/1987
-2.38 1 8/1/1999 8/1/1999
-2.33 1 1/1/1991 1/1/1991
-1.96 1 8/1/1988 8/1/1988
-1.80 1 3/1/2007 3/1/2007
-1.78 1 10/1/2010 10/1/2010
-1.62 1 2/1/1984 2/1/1984
-1.50 1 8/1/1989 8/1/1989
-1.36 1 11/1/1985 11/1/1985
-1.30 1 4/1/1985 4/1/1985
-1.20 1 9/1/2003 9/1/2003
-0.91 1 2/1/1999 2/1/1999
-0.88 1 1/1/2005 1/1/2005
-0.82 1 7/1/1986 7/1/1986
-0.76 1 11/1/2006 11/1/2006
-0.45 1 1/1/1986 1/1/1986
-0.42 1 2/1/1993 2/1/1993
-0.39 1 5/1/1996 5/1/1996
-0.31 1 7/1/2006 7/1/2006
-0.25 1 10/1/1989 10/1/1989
-0.21 1 4/1/1986 4/1/1986
-0.10 1 9/1/1985 9/1/1985
-0.08 1 9/1/2006 9/1/2006
-0.06 1 5/1/1988 5/1/1988
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods322.00320.00317.00311.00305.00299.00287.00275.00263.00
Percent Profitable52.8055.9453.0053.0552.4649.5040.7736.7332.70
Average Period Return0.180.531.152.563.814.967.838.986.79
Average Gain4.708.2513.4921.5828.2136.4957.3573.2478.55
Average Loss-4.86-9.27-12.76-18.93-23.12-25.95-26.24-28.32-28.08
Best Period20.0625.8239.9255.2094.09104.81149.22197.45249.58
Worst Period-23.83-35.88-42.11-48.76-54.32-57.01-60.80-55.98-54.65
Standard Deviation6.1510.8816.3123.8430.5637.4652.0962.7665.81
Gain Standard Deviation3.566.0910.0313.8219.5025.7546.2462.3472.07
Loss Standard Deviation4.227.059.2911.0712.6213.9716.0913.4814.12
Sharpe Ratio (1%)0.020.030.040.070.080.080.090.080.03
Average Gain / Average Loss0.970.891.061.141.221.412.192.592.80
Profit / Loss Ratio1.081.131.191.291.351.381.501.501.36
Downside Deviation (10%)4.638.3912.2318.0722.9127.6234.7741.2947.40
Downside Deviation (5%)4.467.8511.0915.6119.0722.2025.6927.8929.57
Downside Deviation (0%)4.427.7210.8115.0118.1520.9323.6724.9425.77
Sortino Ratio (10%)-0.05-0.08-0.11-0.13-0.17-0.19-0.23-0.30-0.44
Sortino Ratio (5%)0.020.040.060.100.120.130.190.180.06
Sortino Ratio (0%)0.040.070.110.170.210.240.330.360.26

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.