Europe Index : CAC 40

Year-to-Date
19.65%
Sep Performance
-2.91%
19.29%
Annualized Vol
0.23
Sharpe (RFR=1%)
3.21%
CAROR
-60.48
Worst DD
0.72
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
-60.48 31 - 8/1/2000 3/1/2003
-28.86 4 35 5/1/1990 9/1/1990
-23.92 3 4 6/1/1998 9/1/1998
-23.88 13 23 1/1/1994 2/1/1995
-10.94 3 3 7/1/1997 10/1/1997
-5.01 1 1 12/1/1999 1/1/2000
-4.80 3 1 8/1/1993 11/1/1993
-3.74 1 2 1/1/1999 2/1/1999
-3.41 1 1 6/1/1999 7/1/1999
-2.74 2 1 3/1/1997 5/1/1997
-1.23 1 1 4/1/1999 5/1/1999
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Consecutive Gains

Run-up Length (Mos.) Start End
53.45 8 11/1/1997 6/1/1998
35.97 5 8/1/1999 12/1/1999
32.95 4 10/1/1998 1/1/1999
26.46 5 4/1/2003 8/1/2003
21.28 3 3/1/2009 5/1/2009
20.86 3 7/1/2009 9/1/2009
20.34 3 1/1/1991 3/1/1991
19.77 2 10/1/2002 11/1/2002
19.03 2 6/1/1997 7/1/1997
18.83 5 10/1/2003 2/1/2004
17.68 5 11/1/2005 3/1/2006
17.51 3 9/1/1996 11/1/1996
17.36 3 6/1/1993 8/1/1993
17.06 7 2/1/2000 8/1/2000
14.73 3 1/1/1997 3/1/1997
14.63 2 2/1/1993 3/1/1993
14.01 3 12/1/1991 2/1/1992
13.81 3 5/1/2005 7/1/2005
13.37 3 10/1/2001 12/1/2001
13.17 7 9/1/2004 3/1/2005
13.01 4 10/1/1995 1/1/1996
10.65 3 3/1/2007 5/1/2007
10.63 2 12/1/1993 1/1/1994
10.26 4 9/1/1992 12/1/1992
9.82 2 9/1/2010 10/1/2010
9.74 1 10/1/1990 10/1/1990
9.67 1 7/1/1994 7/1/1994
9.63 3 3/1/1995 5/1/1995
9.11 2 11/1/2009 12/1/2009
8.87 1 4/1/2001 4/1/2001
8.58 1 9/1/1997 9/1/1997
8.49 5 6/1/2006 10/1/2006
7.84 2 3/1/1996 4/1/1996
7.63 2 3/1/1999 4/1/1999
7.61 3 7/1/1991 9/1/1991
7.15 1 3/1/2010 3/1/2010
6.85 2 4/1/1990 5/1/1990
6.53 2 4/1/2008 5/1/2008
5.82 1 7/1/2010 7/1/2010
5.27 2 12/1/2006 1/1/2007
5.14 2 10/1/1994 11/1/1994
5.07 2 2/1/2002 3/1/2002
4.68 2 4/1/1992 5/1/1992
4.65 1 5/1/1991 5/1/1991
4.56 1 9/1/2005 9/1/2005
4.26 1 6/1/1999 6/1/1999
4.04 1 4/1/1994 4/1/1994
3.29 1 7/1/1995 7/1/1995
3.27 2 9/1/2007 10/1/2007
3.19 1 10/1/1993 10/1/1993
2.09 1 10/1/2000 10/1/2000
2.05 1 8/1/2008 8/1/2008
1.73 1 6/1/2004 6/1/2004
1.35 1 4/1/2004 4/1/2004
1.22 1 1/1/2001 1/1/2001
0.64 1 6/1/1996 6/1/1996
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.75 6 4/1/2002 9/1/2002
-39.71 6 9/1/2008 2/1/2009
-28.86 4 6/1/1990 9/1/1990
-27.68 5 5/1/2001 9/1/2001
-23.92 3 7/1/1998 9/1/1998
-21.29 4 12/1/2002 3/1/2003
-19.51 5 11/1/2007 3/1/2008
-17.13 3 6/1/1992 8/1/1992
-13.64 2 2/1/2001 3/1/2001
-13.36 3 4/1/2010 6/1/2010
-12.65 2 5/1/1994 6/1/1994
-12.40 2 6/1/2008 7/1/2008
-10.82 2 2/1/1994 3/1/1994
-10.07 3 12/1/1994 2/1/1995
-9.92 1 8/1/1997 8/1/1997
-9.43 2 8/1/1994 9/1/1994
-8.94 1 10/1/1997 10/1/1997
-8.27 2 11/1/1990 12/1/1990
-7.49 2 10/1/1991 11/1/1991
-7.37 2 11/1/2000 12/1/2000
-7.23 3 6/1/2007 8/1/2007
-7.21 2 7/1/1996 8/1/1996
-7.02 2 4/1/1993 5/1/1993
-6.85 2 8/1/1995 9/1/1995
-6.13 1 6/1/1991 6/1/1991
-5.82 1 11/1/2010 11/1/2010
-5.78 2 1/1/2010 2/1/2010
-5.57 2 4/1/2006 5/1/2006
-5.42 1 9/1/2000 9/1/2000
-5.33 1 9/1/2003 9/1/2003
-5.01 1 1/1/2000 1/1/2000
-4.95 1 10/1/2009 10/1/2009
-4.61 1 1/1/1993 1/1/1993
-4.60 1 9/1/1993 9/1/1993
-4.58 1 6/1/1995 6/1/1995
-4.19 1 6/1/2009 6/1/2009
-4.18 1 8/1/2010 8/1/2010
-3.84 1 4/1/2005 4/1/2005
-3.74 1 2/1/1999 2/1/1999
-3.72 2 7/1/2004 8/1/2004
-3.56 1 10/1/2005 10/1/2005
-3.52 1 1/1/2002 1/1/2002
-3.41 1 7/1/1999 7/1/1999
-3.30 1 11/1/1993 11/1/1993
-2.74 2 4/1/1997 5/1/1997
-2.69 1 3/1/2004 3/1/2004
-2.07 1 3/1/1992 3/1/1992
-2.04 1 4/1/1991 4/1/1991
-1.71 1 5/1/1996 5/1/1996
-1.64 1 2/1/2007 2/1/2007
-1.49 1 2/1/1996 2/1/1996
-1.23 1 5/1/1999 5/1/1999
-1.18 1 8/1/2005 8/1/2005
-0.39 1 11/1/2006 11/1/2006
-0.13 1 5/1/2004 5/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods248.00246.00243.00237.00231.00225.00213.00201.00189.00
Percent Profitable57.6660.5761.3263.2963.6460.0063.3865.6762.96
Average Period Return0.411.262.706.4610.3313.9324.4735.2345.28
Average Gain4.297.6212.2420.8329.2938.9454.6767.1381.78
Average Loss-4.92-8.50-12.41-18.54-22.85-23.58-27.80-25.80-16.77
Best Period13.4129.7741.6856.4096.56109.29157.30236.21252.68
Worst Period-17.49-28.75-40.75-44.15-52.28-55.68-58.34-45.75-39.07
Standard Deviation5.6810.1715.2922.9430.7137.8153.5567.0973.52
Gain Standard Deviation3.185.989.5113.3419.2125.2443.3161.7970.15
Loss Standard Deviation3.717.079.3612.3414.6116.3616.2511.2710.50
Sharpe Ratio (1%)0.060.100.140.240.290.320.400.460.55
Average Gain / Average Loss0.870.900.991.121.281.651.972.604.88
Profit / Loss Ratio1.201.381.561.962.242.483.404.988.29
Downside Deviation (10%)4.207.5410.9316.0020.3623.7928.3829.1228.46
Downside Deviation (5%)4.037.059.9013.9017.1019.1821.0618.6914.75
Downside Deviation (0%)3.996.939.6513.3916.3318.1219.4616.4812.02
Sortino Ratio (10%)0.000.000.020.090.130.150.310.470.62
Sortino Ratio (5%)0.080.140.220.390.520.621.021.672.72
Sortino Ratio (0%)0.100.180.280.480.630.771.262.143.77

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.