Europe Index : DAX

Year-to-Date
12.55%
May Performance
6.68%
21.16%
Annualized Vol
0.45
Sharpe (RFR=%)
8.13%
CAROR
-68.29
Worst DD
0.74
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
-68.29 37 50 2/1/2000 3/1/2003
-52.35 14 - 12/1/2007 2/1/2009
-24.13 3 15 6/1/1998 9/1/1998
-18.68 4 10 5/1/1992 9/1/1992
-15.18 15 10 12/1/1993 3/1/1995
-14.80 3 3 7/1/1997 10/1/1997
-8.07 6 3 5/1/1991 11/1/1991
-5.28 1 3 6/1/2007 7/1/2007
-3.44 1 2 6/1/1996 7/1/1996
-2.98 1 2 1/1/0001 12/1/1990
-1.85 1 1 10/1/2007 11/1/2007
-1.76 1 1 12/1/1999 1/1/2000
-1.56 1 2 2/1/1992 3/1/1992
-1.50 1 1 8/1/1993 9/1/1993
-1.25 1 1 2/1/1991 3/1/1991
-0.54 1 1 10/1/1993 11/1/1993
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Consecutive Gains

Run-up Length (Mos.) Start End
78.12 12 8/1/1996 7/1/1997
57.11 8 11/1/1997 6/1/1998
43.90 4 4/1/2003 7/1/2003
35.11 3 10/1/1999 12/1/1999
28.54 3 3/1/2009 5/1/2009
24.62 4 10/1/2003 1/1/2004
21.93 6 11/1/2005 4/1/2006
19.91 2 10/1/2002 11/1/2002
19.78 3 10/1/2001 12/1/2001
19.52 4 5/1/1993 8/1/1993
19.49 6 8/1/2006 1/1/2007
19.24 4 3/1/2007 6/1/2007
18.15 8 11/1/1995 6/1/1996
18.02 3 7/1/2009 9/1/2009
16.77 3 5/1/2005 7/1/2005
14.87 5 10/1/1992 2/1/1993
12.88 3 9/1/2010 11/1/2010
12.44 4 9/1/2004 12/1/2004
12.25 2 10/1/1998 11/1/1998
11.91 2 4/1/1991 5/1/1991
11.83 1 2/1/2000 2/1/2000
11.39 3 12/1/1991 2/1/1992
10.42 1 4/1/1999 4/1/1999
10.29 2 1/1/1991 2/1/1991
10.15 1 12/1/1993 12/1/1993
10.02 2 11/1/2009 12/1/2009
9.92 1 3/1/2010 3/1/2010
9.26 2 7/1/1994 8/1/1994
8.82 2 4/1/1995 5/1/1995
8.60 2 4/1/2008 5/1/2008
8.00 1 10/1/1993 10/1/1993
7.45 1 4/1/2001 4/1/2001
7.41 2 7/1/1995 8/1/1995
7.38 2 3/1/1994 4/1/1994
7.11 1 3/1/2002 3/1/2002
6.64 2 12/1/2000 1/1/2001
6.09 1 6/1/1999 6/1/1999
6.00 1 9/1/1997 9/1/1997
5.74 3 8/1/2007 10/1/2007
5.26 2 7/1/2000 8/1/2000
4.97 2 4/1/1992 5/1/1992
4.44 1 9/1/2005 9/1/2005
4.11 1 10/1/2000 10/1/2000
4.00 1 2/1/1995 2/1/1995
3.35 1 6/1/2004 6/1/2004
3.33 1 4/1/2004 4/1/2004
3.31 1 8/1/1999 8/1/1999
3.15 1 1/1/1999 1/1/1999
3.08 2 6/1/2010 7/1/2010
3.01 1 12/1/2008 12/1/2008
2.97 1 10/1/1994 10/1/1994
2.85 1 12/1/1994 12/1/1994
2.50 1 12/1/2007 12/1/2007
2.25 1 2/1/2005 2/1/2005
1.74 2 7/1/1991 8/1/1991
0.95 1 7/1/2008 7/1/2008
0.35 1 8/1/2002 8/1/2002
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.44 4 4/1/2002 7/1/2002
-31.23 5 5/1/2001 9/1/2001
-27.94 4 8/1/2008 11/1/2008
-27.00 4 12/1/2002 3/1/2003
-25.42 1 9/1/2002 9/1/2002
-24.13 3 7/1/1998 9/1/1998
-20.09 2 1/1/2009 2/1/2009
-18.99 3 1/1/2008 3/1/2008
-18.68 4 6/1/1992 9/1/1992
-14.20 2 2/1/2001 3/1/2001
-11.02 1 8/1/1997 8/1/1997
-9.97 4 3/1/2000 6/1/2000
-9.96 1 11/1/2000 11/1/2000
-9.83 2 5/1/1994 6/1/1994
-9.66 1 10/1/1997 10/1/1997
-9.56 1 6/1/2008 6/1/2008
-9.09 1 9/1/1994 9/1/1994
-8.54 1 3/1/1995 3/1/1995
-7.72 2 1/1/1994 2/1/1994
-6.63 2 8/1/2003 9/1/2003
-6.60 2 7/1/2004 8/1/2004
-6.17 1 9/1/2000 9/1/2000
-6.03 2 1/1/2010 2/1/2010
-5.99 1 5/1/1999 5/1/1999
-5.46 3 5/1/2006 7/1/2006
-5.34 2 2/1/1999 3/1/1999
-5.28 1 7/1/2007 7/1/2007
-5.14 1 7/1/1999 7/1/1999
-5.08 3 9/1/1991 11/1/1991
-4.97 2 2/1/2004 3/1/2004
-4.81 1 6/1/1991 6/1/1991
-4.58 1 10/1/2009 10/1/2009
-4.05 1 1/1/1995 1/1/1995
-3.81 2 3/1/2005 4/1/2005
-3.62 1 8/1/2010 8/1/2010
-3.44 1 7/1/1996 7/1/1996
-3.40 2 3/1/1993 4/1/1993
-3.15 2 9/1/1995 10/1/1995
-3.07 2 4/1/2010 5/1/2010
-2.98 1 12/1/1990 12/1/1990
-2.68 1 6/1/2009 6/1/2009
-2.35 2 1/1/2002 2/1/2002
-2.29 1 9/1/1999 9/1/1999
-2.28 1 10/1/2005 10/1/2005
-1.85 1 11/1/2007 11/1/2007
-1.76 1 1/1/2000 1/1/2000
-1.60 1 5/1/2004 5/1/2004
-1.56 1 3/1/1992 3/1/1992
-1.50 1 9/1/1993 9/1/1993
-1.25 1 3/1/1991 3/1/1991
-1.16 1 8/1/2005 8/1/2005
-1.12 1 11/1/1994 11/1/1994
-1.09 1 2/1/2007 2/1/2007
-0.54 1 11/1/1993 11/1/1993
-0.40 1 12/1/1998 12/1/1998
-0.40 1 6/1/1995 6/1/1995
-0.03 1 1/1/2005 1/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods240.00238.00235.00229.00223.00217.00205.00193.00181.00
Percent Profitable59.1763.8765.9667.6972.6571.8966.8376.6872.93
Average Period Return0.842.585.1810.6816.4021.9737.4453.9370.79
Average Gain4.718.9614.5525.0332.7141.8868.8980.31106.93
Average Loss-4.78-8.71-12.97-19.37-26.91-28.96-25.91-32.82-26.57
Best Period21.3835.1147.5778.12104.16137.48183.00209.05295.27
Worst Period-25.42-36.82-48.70-55.09-53.12-59.56-68.10-50.37-52.45
Standard Deviation6.2011.1916.8525.5233.1040.0256.4971.5085.17
Gain Standard Deviation3.696.7610.5814.9920.8826.6740.3160.1371.03
Loss Standard Deviation4.608.1210.8314.4016.0416.1018.0213.9112.78
Sharpe Ratio (1%)0.120.210.280.380.450.500.610.700.77
Average Gain / Average Loss0.991.031.121.291.221.452.662.454.02
Profit / Loss Ratio1.431.822.172.713.233.705.368.0510.84
Downside Deviation (10%)4.427.7010.9916.0819.9122.4726.2127.6829.16
Downside Deviation (5%)4.277.2510.0614.1517.0318.4719.5919.0117.74
Downside Deviation (0%)4.237.149.8313.6916.3517.5318.1317.1915.31
Sortino Ratio (10%)0.100.180.250.350.440.520.831.171.48
Sortino Ratio (5%)0.180.320.470.680.871.081.762.623.70
Sortino Ratio (0%)0.200.360.530.781.001.252.063.144.62

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.