Europe Index : AEX Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 12.05% Mar Performance 7.46% 19.92% Annualized Vol 0.35 Sharpe (RFR=1%) 5.43% CAROR -68.53 Worst DD 0.75 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel