Europe Index : AEX

Year-to-Date
11.91%
May Performance
3.83%
19.92%
Annualized Vol
0.35
Sharpe (RFR=%)
5.43%
CAROR
-68.53
Worst DD
0.76
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
-68.53 103 - 8/1/2000 3/1/2009
-24.01 2 7 7/1/1998 9/1/1998
-12.59 3 4 7/1/1997 10/1/1997
-12.58 5 13 1/1/1994 6/1/1994
-8.79 1 5 12/1/1999 1/1/2000
-6.03 2 2 5/1/1996 7/1/1996
-4.55 5 2 4/1/1999 9/1/1999
-4.33 1 1 8/1/1993 9/1/1993
-3.21 2 1 3/1/1993 5/1/1993
-2.72 1 1 9/1/1995 10/1/1995
-0.59 1 1 6/1/2000 7/1/2000
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Consecutive Gains

Run-up Length (Mos.) Start End
83.55 12 8/1/1996 7/1/1997
43.02 9 11/1/1997 7/1/1998
27.00 3 10/1/1998 12/1/1998
25.69 7 11/1/1995 5/1/1996
25.40 4 10/1/1993 1/1/1994
22.64 3 10/1/1999 12/1/1999
22.24 3 7/1/2009 9/1/2009
22.15 2 10/1/2002 11/1/2002
19.57 2 4/1/2009 5/1/2009
19.09 6 11/1/2005 4/1/2006
18.62 3 6/1/1993 8/1/1993
18.52 6 4/1/1995 9/1/1995
17.41 3 6/1/2003 8/1/2003
16.51 5 11/1/1992 3/1/1993
16.24 5 10/1/2003 2/1/2004
15.86 6 9/1/2004 2/1/2005
13.72 1 4/1/2003 4/1/2003
13.66 3 5/1/2005 7/1/2005
11.83 4 3/1/2007 6/1/2007
11.66 3 10/1/2001 12/1/2001
10.90 2 11/1/2009 12/1/2009
10.52 4 7/1/2006 10/1/2006
9.74 2 4/1/2008 5/1/2008
9.36 2 7/1/1994 8/1/1994
8.87 2 3/1/2010 4/1/2010
8.48 1 2/1/2000 2/1/2000
7.79 3 2/1/1999 4/1/1999
7.33 1 3/1/2002 3/1/2002
6.56 2 9/1/2010 10/1/2010
6.22 1 4/1/2001 4/1/2001
5.96 1 9/1/1997 9/1/1997
4.81 2 9/1/2007 10/1/2007
4.63 2 12/1/2006 1/1/2007
4.37 1 7/1/2010 7/1/2010
3.55 1 8/1/1999 8/1/1999
3.44 1 9/1/2005 9/1/2005
3.22 1 8/1/2008 8/1/2008
3.19 1 8/1/2000 8/1/2000
2.88 1 10/1/2000 10/1/2000
2.57 1 10/1/1994 10/1/1994
2.54 1 6/1/2000 6/1/2000
2.35 1 6/1/2004 6/1/2004
2.28 1 4/1/1994 4/1/1994
2.20 1 8/1/2002 8/1/2002
1.61 1 12/1/2007 12/1/2007
1.29 1 6/1/1999 6/1/1999
1.24 1 12/1/1994 12/1/1994
1.18 1 2/1/2008 2/1/2008
1.08 1 1/1/2009 1/1/2009
0.75 1 4/1/2004 4/1/2004
0.37 1 1/1/2001 1/1/2001
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.43 4 9/1/2008 12/1/2008
-31.55 4 4/1/2002 7/1/2002
-31.34 4 12/1/2002 3/1/2003
-24.01 2 8/1/1998 9/1/1998
-23.47 5 5/1/2001 9/1/2001
-20.25 1 9/1/2002 9/1/2002
-17.62 2 6/1/2008 7/1/2008
-14.43 1 1/1/2008 1/1/2008
-12.75 2 2/1/2001 3/1/2001
-12.72 2 2/1/2009 3/1/2009
-11.70 1 8/1/1997 8/1/1997
-8.79 1 1/1/2000 1/1/2000
-8.41 2 5/1/2010 6/1/2010
-7.95 2 2/1/1994 3/1/1994
-7.35 1 11/1/2007 11/1/2007
-7.15 2 5/1/1994 6/1/1994
-6.99 2 3/1/2005 4/1/2005
-6.87 1 9/1/2003 9/1/2003
-6.57 1 10/1/1997 10/1/1997
-6.38 2 7/1/2004 8/1/2004
-6.31 2 11/1/2000 12/1/2000
-6.21 2 5/1/2006 6/1/2006
-6.03 2 6/1/1996 7/1/1996
-5.25 2 1/1/2010 2/1/2010
-5.08 3 1/1/1995 3/1/1995
-4.97 1 3/1/2004 3/1/2004
-4.65 2 7/1/2007 8/1/2007
-4.36 1 9/1/1999 9/1/1999
-4.33 1 9/1/1993 9/1/1993
-4.29 1 8/1/2010 8/1/2010
-4.09 1 9/1/1994 9/1/1994
-4.06 1 9/1/2000 9/1/2000
-3.39 1 5/1/1999 5/1/1999
-3.21 2 4/1/1993 5/1/1993
-2.91 1 11/1/2010 11/1/2010
-2.89 1 10/1/2009 10/1/2009
-2.72 1 10/1/1995 10/1/1995
-2.34 2 1/1/2002 2/1/2002
-2.19 1 10/1/2005 10/1/2005
-1.92 1 2/1/2007 2/1/2007
-1.83 1 11/1/2006 11/1/2006
-1.83 1 6/1/2009 6/1/2009
-1.56 1 8/1/2005 8/1/2005
-1.50 1 7/1/1999 7/1/1999
-1.32 3 3/1/2000 5/1/2000
-1.24 1 5/1/2004 5/1/2004
-1.16 1 1/1/1999 1/1/1999
-0.92 1 3/1/2008 3/1/2008
-0.78 1 11/1/1994 11/1/1994
-0.73 1 5/1/2003 5/1/2003
-0.59 1 7/1/2000 7/1/2000
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods217.00215.00212.00206.00200.00194.00182.00170.00158.00
Percent Profitable61.2963.7265.5770.8769.5063.9260.4455.2948.73
Average Period Return0.631.994.088.7112.8716.9630.4345.4856.30
Average Gain4.208.2313.3722.3831.9744.7074.05108.69143.70
Average Loss-5.03-8.97-13.62-24.56-30.67-32.18-36.21-32.70-26.79
Best Period15.6828.8245.5383.5595.42129.47186.33212.96288.78
Worst Period-20.25-38.83-47.98-53.21-59.89-57.50-62.47-53.71-51.38
Standard Deviation5.9410.9116.6526.1635.0844.3665.0085.65105.25
Gain Standard Deviation3.235.859.4914.8221.3328.0445.0164.4586.95
Loss Standard Deviation4.728.9212.4815.8316.2216.4014.5013.2814.64
Sharpe Ratio (1%)0.090.160.220.290.320.340.420.480.49
Average Gain / Average Loss0.840.920.980.911.041.392.043.325.36
Profit / Loss Ratio1.321.611.872.222.382.463.124.115.10
Downside Deviation (10%)4.478.1411.9218.0822.9427.3334.0137.4740.52
Downside Deviation (5%)4.327.7111.0216.1919.8622.7526.2926.1225.10
Downside Deviation (0%)4.287.6010.8015.7319.1221.6624.5123.5821.83
Sortino Ratio (10%)0.050.090.140.210.230.250.430.640.71
Sortino Ratio (5%)0.130.230.320.480.570.661.041.592.04
Sortino Ratio (0%)0.150.260.380.550.670.781.241.932.58

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.