Asia-Pacific Index : Strait Times Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 11.31% Mar Performance 7.33% 23.03% Annualized Vol 0.28 Sharpe (RFR=1%) 5.37% CAROR -65.03 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 -65.03 31 16 1/1/1996 8/1/1998 -58.09 16 - 10/1/2007 2/1/2009 -48.87 39 35 12/1/1999 3/1/2003 -30.51 6 28 3/1/1990 9/1/1990 -14.61 16 9 12/1/1993 4/1/1995 -12.06 4 4 7/1/1988 11/1/1988 -8.69 1 5 4/1/2006 5/1/2006 -4.84 1 2 5/1/1993 6/1/1993 -4.38 2 1 6/1/2007 8/1/2007 -3.12 1 1 9/1/1989 10/1/1989 -2.21 1 1 1/1/1988 2/1/1988 -1.19 1 1 7/1/1989 8/1/1989 -0.68 1 1 1/1/2007 2/1/2007 -0.30 1 1 10/1/1993 11/1/1993 Show More Consecutive Gains Run-up Length (Mos.) Start End 66.73 5 3/1/2009 7/1/2009 65.40 3 9/1/1998 11/1/1998 53.53 4 3/1/1999 6/1/1999 40.45 6 12/1/1990 5/1/1991 40.22 8 10/1/1992 5/1/1993 35.96 7 4/1/2003 10/1/2003 35.42 4 10/1/2001 1/1/2002 31.11 8 6/1/2006 1/1/2007 29.31 2 2/1/1998 3/1/1998 28.65 5 3/1/1988 7/1/1988 23.82 5 3/1/1989 7/1/1989 22.63 3 10/1/1999 12/1/1999 19.64 3 6/1/2000 8/1/2000 18.67 5 11/1/1989 3/1/1990 17.77 6 11/1/2005 4/1/2006 16.62 4 7/1/1993 10/1/1993 16.22 3 11/1/1995 1/1/1996 15.72 1 12/1/1993 12/1/1993 14.31 4 3/1/2007 6/1/2007 12.71 2 12/1/1988 1/1/1989 12.43 4 10/1/1991 1/1/1992 12.17 2 9/1/2007 10/1/2007 10.96 4 6/1/2004 9/1/2004 10.70 3 5/1/2005 7/1/2005 10.41 1 1/1/1988 1/1/1988 10.35 1 4/1/1994 4/1/1994 10.19 3 12/1/2003 2/1/2004 9.30 2 11/1/2009 12/1/2009 8.54 2 6/1/2010 7/1/2010 8.35 3 2/1/2010 4/1/2010 8.26 1 9/1/1997 9/1/1997 8.21 1 10/1/2002 10/1/2002 8.12 5 11/1/2004 3/1/2005 7.82 3 8/1/1994 10/1/1994 7.81 2 4/1/1992 5/1/1992 6.59 3 9/1/2010 11/1/2010 6.53 1 5/1/1990 5/1/1990 6.41 2 11/1/1996 12/1/1996 6.16 2 4/1/2008 5/1/2008 5.17 1 5/1/1995 5/1/1995 5.11 1 3/1/2002 3/1/2002 5.03 1 10/1/1990 10/1/1990 4.70 1 11/1/1997 11/1/1997 4.19 1 6/1/2001 6/1/2001 3.35 1 1/1/2001 1/1/2001 3.10 2 8/1/1996 9/1/1996 3.07 1 9/1/2009 9/1/2009 3.05 1 5/1/1997 5/1/1997 3.02 1 7/1/1995 7/1/1995 2.90 1 4/1/2001 4/1/2001 2.54 1 1/1/1999 1/1/1999 2.08 1 2/1/1995 2/1/1995 2.06 2 3/1/2000 4/1/2000 1.82 1 7/1/1990 7/1/1990 1.67 1 12/1/2008 12/1/2008 1.50 1 2/1/2008 2/1/2008 1.42 1 9/1/1989 9/1/1989 1.31 1 9/1/2005 9/1/2005 1.19 1 4/1/1996 4/1/1996 0.42 1 10/1/1988 10/1/1988 0.15 1 2/1/1994 2/1/1994 Show More Consecutive Losses Run-up Length (Mos.) Start End -47.43 5 4/1/1998 8/1/1998 -45.73 6 6/1/2008 11/1/2008 -29.33 2 8/1/1990 9/1/1990 -25.01 6 4/1/2002 9/1/2002 -24.13 2 12/1/1997 1/1/1998 -23.57 3 7/1/2001 9/1/2001 -21.65 3 11/1/2007 1/1/2008 -18.86 1 10/1/1997 10/1/1997 -17.05 1 5/1/2000 5/1/2000 -15.92 2 2/1/2001 3/1/2001 -14.48 2 1/1/2000 2/1/2000 -13.36 5 11/1/2002 3/1/2003 -12.58 3 6/1/1997 8/1/1997 -12.58 3 5/1/1996 7/1/1996 -12.46 4 6/1/1991 9/1/1991 -12.43 3 11/1/1994 1/1/1995 -11.39 4 6/1/1992 9/1/1992 -11.18 1 3/1/1994 3/1/1994 -10.29 4 9/1/2000 12/1/2000 -9.59 4 1/1/1997 4/1/1997 -9.48 2 8/1/1988 9/1/1988 -9.46 2 1/1/2009 2/1/2009 -8.69 1 5/1/2006 5/1/2006 -7.76 1 4/1/1990 4/1/1990 -7.54 2 2/1/1992 3/1/1992 -7.46 1 5/1/2010 5/1/2010 -6.72 3 7/1/1999 9/1/1999 -5.29 3 3/1/2004 5/1/2004 -5.26 1 1/1/2010 1/1/2010 -4.84 1 6/1/1993 6/1/1993 -4.38 2 7/1/2007 8/1/2007 -4.32 1 10/1/1996 10/1/1996 -4.11 1 11/1/1990 11/1/1990 -3.99 1 2/1/2002 2/1/2002 -3.91 1 6/1/1995 6/1/1995 -3.91 3 5/1/1994 7/1/1994 -3.83 1 10/1/2005 10/1/2005 -3.81 1 5/1/2001 5/1/2001 -3.57 1 1/1/1994 1/1/1994 -3.28 1 8/1/2005 8/1/2005 -3.25 1 11/1/1988 11/1/1988 -3.12 1 10/1/1989 10/1/1989 -2.60 2 3/1/1995 4/1/1995 -2.53 2 2/1/1996 3/1/1996 -2.49 1 8/1/2009 8/1/2009 -2.27 3 8/1/1995 10/1/1995 -2.21 1 2/1/1988 2/1/1988 -2.21 1 2/1/1989 2/1/1989 -1.71 1 6/1/1990 6/1/1990 -1.68 1 12/1/1998 12/1/1998 -1.25 1 8/1/2010 8/1/2010 -1.19 1 8/1/1989 8/1/1989 -1.14 1 2/1/1999 2/1/1999 -0.80 1 10/1/2009 10/1/2009 -0.76 1 4/1/2005 4/1/2005 -0.68 1 2/1/2007 2/1/2007 -0.63 1 3/1/2008 3/1/2008 -0.56 1 11/1/2003 11/1/2003 -0.30 1 11/1/1993 11/1/1993 -0.20 1 10/1/2004 10/1/2004 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods275.00273.00270.00264.00258.00252.00240.00228.00216.00 Percent Profitable57.0956.7862.2258.3360.4763.4965.0065.3565.74 Average Period Return0.732.284.538.8612.4513.7918.5925.8131.87 Average Gain4.8910.6215.8227.1133.6234.6540.3049.6057.98 Average Loss-4.82-8.67-14.07-16.69-19.94-22.48-21.73-19.07-18.22 Best Period28.2265.4064.86147.21147.60150.78110.05162.33174.07 Worst Period-23.94-38.76-46.98-52.85-61.00-60.23-60.10-62.97-57.36 Standard Deviation6.8913.3419.4028.9634.1035.1437.9044.0348.88 Gain Standard Deviation4.839.9613.9622.3925.2524.7927.2634.9139.31 Loss Standard Deviation5.088.3710.9013.8015.1415.4114.7714.4413.52 Sharpe Ratio (1%)0.090.150.210.270.320.340.410.490.55 Average Gain / Average Loss1.021.221.121.621.691.541.852.603.18 Profit / Loss Ratio1.351.611.852.272.582.683.444.916.11 Downside Deviation (10%)4.768.5112.1616.5919.8021.9324.1425.7428.70 Downside Deviation (5%)4.618.0311.1614.4616.4817.4617.0316.0215.76 Downside Deviation (0%)4.587.9110.9213.9515.7116.4415.5114.0513.25 Sortino Ratio (10%)0.070.120.170.230.250.160.120.170.15 Sortino Ratio (5%)0.140.250.360.540.660.670.911.361.70 Sortino Ratio (0%)0.160.290.410.640.790.841.201.842.41 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