Europe Index : CAC 40

Year-to-Date: 21.46%
May Performance: 2.70%

19.29%

Annualized Vol

0.23

Sharpe (RFR=%)

3.21%

CAROR

-60.48

Worst DD

0.73

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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	248.00	246.00	243.00	237.00	231.00	225.00	213.00	201.00	189.00
Percent Profitable	57.66	60.57	61.32	63.29	63.64	60.00	63.38	65.67	62.96
Average Period Return	0.41	1.26	2.70	6.46	10.33	13.93	24.47	35.23	45.28
Average Gain	4.29	7.62	12.24	20.83	29.29	38.94	54.67	67.13	81.78
Average Loss	-4.92	-8.50	-12.41	-18.54	-22.85	-23.58	-27.80	-25.80	-16.77
Best Period	13.41	29.77	41.68	56.40	96.56	109.29	157.30	236.21	252.68
Worst Period	-17.49	-28.75	-40.75	-44.15	-52.28	-55.68	-58.34	-45.75	-39.07
Standard Deviation	5.68	10.17	15.29	22.94	30.71	37.81	53.55	67.09	73.52
Gain Standard Deviation	3.18	5.98	9.51	13.34	19.21	25.24	43.31	61.79	70.15
Loss Standard Deviation	3.71	7.07	9.36	12.34	14.61	16.36	16.25	11.27	10.50
Sharpe Ratio (1%)	0.06	0.10	0.14	0.24	0.29	0.32	0.40	0.46	0.55
Average Gain / Average Loss	0.87	0.90	0.99	1.12	1.28	1.65	1.97	2.60	4.88
Profit / Loss Ratio	1.20	1.38	1.56	1.96	2.24	2.48	3.40	4.98	8.29
Downside Deviation (10%)	4.20	7.54	10.93	16.00	20.36	23.79	28.38	29.12	28.46
Downside Deviation (5%)	4.03	7.05	9.90	13.90	17.10	19.18	21.06	18.69	14.75
Downside Deviation (0%)	3.99	6.93	9.65	13.39	16.33	18.12	19.46	16.48	12.02
Sortino Ratio (10%)	0.00	0.00	0.02	0.09	0.13	0.15	0.31	0.47	0.62
Sortino Ratio (5%)	0.08	0.14	0.22	0.39	0.52	0.62	1.02	1.67	2.72
Sortino Ratio (0%)	0.10	0.18	0.28	0.48	0.63	0.77	1.26	2.14	3.77

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.

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Europe Index : CAC 40

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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