Europe Index : ATX

Year-to-Date
33.83%
Sep Performance
-4.88%
21.18%
Annualized Vol
0.34
Sharpe (RFR=1%)
5.92%
CAROR
-69.67
Worst DD
0.64
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
-69.67 21 - 5/1/2007 2/1/2009
-34.81 41 27 5/1/1998 10/1/2001
-23.89 21 16 1/1/1994 10/1/1995
-16.46 4 4 7/1/1997 11/1/1997
-10.98 3 5 4/1/2006 7/1/2006
-8.75 2 2 2/1/1993 4/1/1993
-5.10 2 1 2/1/2005 4/1/2005
-5.05 1 1 8/1/1993 9/1/1993
-4.59 1 1 9/1/2005 10/1/2005
-4.12 1 1 1/1/2007 2/1/2007
-2.67 1 1 10/1/1993 11/1/1993
-2.43 2 1 2/1/1997 4/1/1997
-2.41 1 1 4/1/2004 5/1/2004
-1.94 1 1 1/1/0001 12/1/1992
-1.90 1 1 7/1/2004 8/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
79.99 19 10/1/2002 4/1/2004
42.10 3 3/1/2009 5/1/2009
35.67 6 9/1/2004 2/1/2005
34.74 5 5/1/2005 9/1/2005
32.76 4 5/1/1993 8/1/1993
30.07 6 11/1/2001 4/1/2002
28.23 6 12/1/1997 5/1/1998
26.54 6 11/1/2005 4/1/2006
25.67 3 7/1/2009 9/1/2009
23.97 3 5/1/1997 7/1/1997
20.94 3 2/1/1999 4/1/1999
18.98 7 8/1/1996 2/1/1997
17.47 3 11/1/1995 1/1/1996
16.70 2 4/1/2008 5/1/2008
14.98 2 12/1/1993 1/1/1994
12.79 1 10/1/1993 10/1/1993
12.68 3 3/1/2007 5/1/2007
12.43 3 12/1/2000 2/1/2001
11.96 2 1/1/1993 2/1/1993
11.08 2 9/1/2010 10/1/2010
10.47 2 12/1/2006 1/1/2007
10.34 2 4/1/1995 5/1/1995
10.29 3 8/1/2006 10/1/2006
9.90 3 6/1/1994 8/1/1994
9.77 1 10/1/1998 10/1/1998
9.00 1 7/1/2010 7/1/2010
8.67 2 3/1/2010 4/1/2010
8.38 2 4/1/1996 5/1/1996
8.08 2 6/1/2004 7/1/2004
7.61 1 10/1/2007 10/1/2007
7.29 3 10/1/1999 12/1/1999
6.58 1 9/1/1997 9/1/1997
4.86 1 6/1/1999 6/1/1999
3.46 2 3/1/2000 4/1/2000
2.96 2 7/1/2000 8/1/2000
2.95 2 6/1/2001 7/1/2001
2.77 1 4/1/2001 4/1/2001
2.43 1 2/1/1995 2/1/1995
1.82 1 8/1/1999 8/1/1999
1.64 1 12/1/1994 12/1/1994
1.43 1 12/1/2009 12/1/2009
0.92 1 12/1/2007 12/1/2007
0.77 1 2/1/2008 2/1/2008
0.44 1 7/1/1995 7/1/1995
0.07 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-66.29 9 6/1/2008 2/1/2009
-33.97 4 6/1/1998 9/1/1998
-20.41 5 5/1/2002 9/1/2002
-15.95 3 8/1/2001 10/1/2001
-14.87 1 1/1/2008 1/1/2008
-14.22 4 2/1/1994 5/1/1994
-14.02 2 5/1/2010 6/1/2010
-13.14 2 10/1/1997 11/1/1997
-10.56 3 8/1/1995 10/1/1995
-10.32 1 5/1/2006 5/1/2006
-9.77 1 8/1/1997 8/1/1997
-9.67 2 6/1/1996 7/1/1996
-9.54 1 5/1/1999 5/1/1999
-9.38 3 9/1/1994 11/1/1994
-8.75 2 3/1/1993 4/1/1993
-8.62 2 1/1/2000 2/1/2000
-8.36 3 9/1/2000 11/1/2000
-8.21 1 11/1/2007 11/1/2007
-7.81 1 3/1/1995 3/1/1995
-7.33 4 6/1/2007 9/1/2007
-7.21 1 9/1/1999 9/1/1999
-6.71 2 10/1/2009 11/1/2009
-6.60 3 11/1/1998 1/1/1999
-5.87 1 1/1/1995 1/1/1995
-5.10 2 3/1/2005 4/1/2005
-5.05 1 9/1/1993 9/1/1993
-4.59 1 10/1/2005 10/1/2005
-4.12 1 2/1/2007 2/1/2007
-4.07 1 7/1/1999 7/1/1999
-3.29 1 8/1/2010 8/1/2010
-3.29 2 2/1/1996 3/1/1996
-2.73 1 3/1/2008 3/1/2008
-2.67 1 11/1/1993 11/1/1993
-2.43 2 3/1/1997 4/1/1997
-2.41 1 5/1/2004 5/1/2004
-2.27 1 11/1/2010 11/1/2010
-2.27 2 1/1/2010 2/1/2010
-2.01 1 5/1/2001 5/1/2001
-1.94 1 12/1/1992 12/1/1992
-1.90 1 8/1/2004 8/1/2004
-0.98 1 3/1/2001 3/1/2001
-0.79 1 7/1/2006 7/1/2006
-0.50 1 6/1/1995 6/1/1995
-0.32 1 6/1/2009 6/1/2009
-0.26 2 5/1/2000 6/1/2000
-0.12 1 11/1/2006 11/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods216.00214.00211.00205.00199.00193.00181.00169.00157.00
Percent Profitable59.2661.6859.7263.4163.3259.5967.9668.0580.25
Average Period Return0.772.535.2110.3615.6820.7738.4059.1477.80
Average Gain4.609.6816.2025.6836.0848.6169.0596.26100.43
Average Loss-4.81-8.99-11.07-16.18-19.52-20.28-26.60-19.93-14.16
Best Period14.5142.1069.0069.24104.14155.75255.93299.40349.92
Worst Period-27.82-50.15-59.02-61.73-67.65-65.82-63.58-45.20-26.88
Standard Deviation6.1712.0818.2327.3937.4849.0274.4494.52105.19
Gain Standard Deviation3.476.8211.4019.3129.5142.8871.0693.47105.73
Loss Standard Deviation4.859.5313.7117.0619.1720.1119.0613.098.47
Sharpe Ratio (1%)0.110.190.260.340.380.380.480.580.69
Average Gain / Average Loss0.961.081.461.591.852.402.604.837.09
Profit / Loss Ratio1.391.732.172.753.193.535.5010.2928.83
Downside Deviation (10%)4.548.6212.2016.4220.1223.3026.5925.2221.80
Downside Deviation (5%)4.398.1911.3514.6017.1819.0319.9015.429.38
Downside Deviation (0%)4.358.0811.1414.1716.5218.1018.4713.447.30
Sortino Ratio (10%)0.080.150.220.330.400.450.851.492.30
Sortino Ratio (5%)0.160.280.420.640.830.991.783.577.75
Sortino Ratio (0%)0.180.310.470.730.951.152.084.4010.66

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.