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

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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:

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Index: Chart Type:

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:

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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	217.00	215.00	212.00	206.00	200.00	194.00	182.00	170.00	158.00
Percent Profitable	61.29	63.72	65.57	70.87	69.50	63.92	60.44	55.29	48.73
Average Period Return	0.63	1.99	4.08	8.71	12.87	16.96	30.43	45.48	56.30
Average Gain	4.20	8.23	13.37	22.38	31.97	44.70	74.05	108.69	143.70
Average Loss	-5.03	-8.97	-13.62	-24.56	-30.67	-32.18	-36.21	-32.70	-26.79
Best Period	15.68	28.82	45.53	83.55	95.42	129.47	186.33	212.96	288.78
Worst Period	-20.25	-38.83	-47.98	-53.21	-59.89	-57.50	-62.47	-53.71	-51.38
Standard Deviation	5.94	10.91	16.65	26.16	35.08	44.36	65.00	85.65	105.25
Gain Standard Deviation	3.23	5.85	9.49	14.82	21.33	28.04	45.01	64.45	86.95
Loss Standard Deviation	4.72	8.92	12.48	15.83	16.22	16.40	14.50	13.28	14.64
Sharpe Ratio (1%)	0.09	0.16	0.22	0.29	0.32	0.34	0.42	0.48	0.49
Average Gain / Average Loss	0.84	0.92	0.98	0.91	1.04	1.39	2.04	3.32	5.36
Profit / Loss Ratio	1.32	1.61	1.87	2.22	2.38	2.46	3.12	4.11	5.10
Downside Deviation (10%)	4.47	8.14	11.92	18.08	22.94	27.33	34.01	37.47	40.52
Downside Deviation (5%)	4.32	7.71	11.02	16.19	19.86	22.75	26.29	26.12	25.10
Downside Deviation (0%)	4.28	7.60	10.80	15.73	19.12	21.66	24.51	23.58	21.83
Sortino Ratio (10%)	0.05	0.09	0.14	0.21	0.23	0.25	0.43	0.64	0.71
Sortino Ratio (5%)	0.13	0.23	0.32	0.48	0.57	0.66	1.04	1.59	2.04
Sortino Ratio (0%)	0.15	0.26	0.38	0.55	0.67	0.78	1.24	1.93	2.58

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.

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Europe Index : AEX

Growth of 1,000 - VAMI

Monthly Performance

Strategy Description

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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