Europe Index : FTSE 100

Year-to-Date
21.80%
Jul Performance
-4.41%
15.78%
Annualized Vol
0.38
Sharpe (RFR=1%)
6.08%
CAROR
-48.52
Worst DD
0.77
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
-48.52 37 - 12/1/1999 1/1/2003
-33.22 2 21 9/1/1987 11/1/1987
-17.85 9 6 12/1/1989 9/1/1990
-16.40 5 15 1/1/1994 6/1/1994
-14.63 6 5 3/1/1998 9/1/1998
-14.59 3 3 5/1/1992 8/1/1992
-11.32 3 2 1/1/0001 7/1/1984
-10.27 2 2 8/1/1989 10/1/1989
-8.52 3 5 8/1/1991 11/1/1991
-7.97 5 2 4/1/1999 9/1/1999
-7.86 2 2 9/1/1997 11/1/1997
-6.77 6 3 3/1/1986 9/1/1986
-5.95 1 2 5/1/1985 6/1/1985
-4.71 1 1 7/1/1987 8/1/1987
-3.81 1 1 8/1/1985 9/1/1985
-3.39 1 1 5/1/1991 6/1/1991
-3.00 3 1 4/1/1996 7/1/1996
-2.28 1 2 3/1/1993 4/1/1993
-2.02 1 1 8/1/1993 9/1/1993
-1.84 1 2 11/1/1985 12/1/1985
-1.83 1 1 7/1/1997 8/1/1997
-1.59 2 1 1/1/1996 3/1/1996
-1.52 1 2 1/1/1985 2/1/1985
-1.38 1 1 12/1/1992 1/1/1993
-0.36 1 1 5/1/1997 6/1/1997
-0.13 1 1 10/1/1993 11/1/1993
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Consecutive Gains

Run-up Length (Mos.) Start End
51.75 10 10/1/1986 7/1/1987
29.38 7 10/1/1998 4/1/1999
26.83 6 8/1/1984 1/1/1985
24.79 10 8/1/1996 5/1/1997
23.09 4 9/1/1992 12/1/1992
22.77 4 12/1/1997 3/1/1998
20.82 3 7/1/2009 9/1/2009
18.14 3 1/1/1986 3/1/1986
16.61 5 1/1/1991 5/1/1991
15.35 3 3/1/2009 5/1/2009
14.93 3 10/1/1999 12/1/1999
14.49 2 12/1/1988 1/1/1989
14.08 5 5/1/2005 9/1/2005
13.42 7 7/1/1995 1/1/1996
13.35 2 12/1/1987 1/1/1988
13.27 6 11/1/2005 4/1/2006
13.07 2 11/1/1989 12/1/1989
12.94 3 6/1/1989 8/1/1989
12.89 2 5/1/1990 6/1/1990
12.59 7 8/1/2004 2/1/2005
12.03 2 4/1/2003 5/1/2003
12.03 2 10/1/2002 11/1/2002
11.56 2 10/1/1985 11/1/1985
11.38 2 7/1/1994 8/1/1994
10.96 2 4/1/1992 5/1/1992
10.96 4 2/1/1995 5/1/1995
10.26 2 12/1/1993 1/1/1994
10.20 4 5/1/1993 8/1/1993
9.56 2 7/1/1991 8/1/1991
9.47 2 2/1/2010 3/1/2010
9.42 3 10/1/2003 12/1/2003
8.86 1 9/1/1997 9/1/1997
8.61 2 9/1/2010 10/1/2010
8.60 2 7/1/1985 8/1/1985
8.00 2 10/1/1990 11/1/1990
7.30 2 11/1/2009 12/1/2009
7.29 3 3/1/2007 5/1/2007
6.94 1 7/1/2010 7/1/2010
6.76 1 4/1/2008 4/1/2008
6.64 2 9/1/2007 10/1/2007
6.62 1 8/1/1986 8/1/1986
6.58 1 7/1/1997 7/1/1997
6.40 3 10/1/2001 12/1/2001
6.24 2 12/1/1991 1/1/1992
5.91 1 4/1/2001 4/1/2001
5.77 2 3/1/1989 4/1/1989
5.70 2 7/1/2000 8/1/2000
5.63 2 9/1/1988 10/1/1988
5.17 1 9/1/1987 9/1/1987
4.94 1 3/1/2000 3/1/2000
4.40 1 10/1/1993 10/1/1993
4.15 1 8/1/2008 8/1/2008
4.14 3 3/1/1985 5/1/1985
4.10 1 6/1/1988 6/1/1988
3.78 2 9/1/2006 10/1/2006
3.57 2 6/1/2006 7/1/2006
3.43 1 4/1/1988 4/1/1988
3.41 1 12/1/2008 12/1/2008
3.35 1 3/1/2002 3/1/2002
3.22 2 7/1/2003 8/1/2003
3.19 1 4/1/1996 4/1/1996
2.93 1 6/1/1986 6/1/1986
2.84 1 12/1/2006 12/1/2006
2.55 2 2/1/1993 3/1/1993
2.53 2 12/1/2000 1/1/2001
2.47 1 2/1/2003 2/1/2003
2.37 1 4/1/2004 4/1/2004
2.35 1 10/1/1994 10/1/1994
2.31 1 2/1/2004 2/1/2004
2.29 1 10/1/2000 10/1/2000
2.22 1 6/1/1984 6/1/1984
1.48 1 6/1/1999 6/1/1999
1.26 1 4/1/1994 4/1/1994
0.75 1 6/1/2004 6/1/2004
0.50 1 5/1/2000 5/1/2000
0.38 1 12/1/2007 12/1/2007
0.23 1 8/1/1999 8/1/1999
0.08 1 7/1/1998 7/1/1998
0.08 1 2/1/2008 2/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.22 2 10/1/1987 11/1/1987
-29.40 6 4/1/2002 9/1/2002
-23.93 3 9/1/2008 11/1/2008
-17.82 5 5/1/2001 9/1/2001
-16.19 3 7/1/1990 9/1/1990
-14.59 3 6/1/1992 8/1/1992
-14.44 2 12/1/2002 1/1/2003
-13.62 2 1/1/2009 2/1/2009
-13.43 3 4/1/2010 6/1/2010
-13.24 2 8/1/1998 9/1/1998
-13.18 4 1/1/1990 4/1/1990
-11.61 2 2/1/1994 3/1/1994
-11.10 3 5/1/2008 7/1/2008
-10.69 1 5/1/1984 5/1/1984
-10.54 2 2/1/2001 3/1/2001
-10.27 2 9/1/1989 10/1/1989
-10.07 2 1/1/2000 2/1/2000
-8.94 1 1/1/2008 1/1/2008
-8.52 3 9/1/1991 11/1/1991
-7.86 2 10/1/1997 11/1/1997
-6.92 1 9/1/1994 9/1/1994
-6.59 2 5/1/1994 6/1/1994
-6.34 1 9/1/1986 9/1/1986
-5.95 1 6/1/1985 6/1/1985
-5.67 1 9/1/2000 9/1/2000
-5.60 2 7/1/1988 8/1/1988
-5.56 1 7/1/1986 7/1/1986
-5.10 2 2/1/1992 3/1/1992
-4.98 1 5/1/1999 5/1/1999
-4.97 1 5/1/2006 5/1/2006
-4.80 3 6/1/2007 8/1/2007
-4.71 1 8/1/1987 8/1/1987
-4.60 1 11/1/2000 11/1/2000
-4.30 1 11/1/2007 11/1/2007
-4.15 1 1/1/2010 1/1/2010
-3.95 2 4/1/1986 5/1/1986
-3.82 1 6/1/2009 6/1/2009
-3.81 1 9/1/1985 9/1/1985
-3.47 1 9/1/1999 9/1/1999
-3.42 3 11/1/1994 1/1/1995
-3.39 1 6/1/1991 6/1/1991
-3.36 2 3/1/2005 4/1/2005
-3.25 1 4/1/2000 4/1/2000
-3.24 1 11/1/1988 11/1/1988
-3.10 1 3/1/2008 3/1/2008
-3.00 3 5/1/1996 7/1/1996
-2.93 1 10/1/2005 10/1/2005
-2.87 1 7/1/1984 7/1/1984
-2.70 2 2/1/1988 3/1/1988
-2.59 1 11/1/2010 11/1/2010
-2.42 1 2/1/1989 2/1/1989
-2.37 1 3/1/2004 3/1/2004
-2.28 1 4/1/1993 4/1/1993
-2.23 2 1/1/2002 2/1/2002
-2.02 1 9/1/1993 9/1/1993
-1.93 1 1/1/2004 1/1/2004
-1.84 1 12/1/1985 12/1/1985
-1.83 1 8/1/1997 8/1/1997
-1.74 1 10/1/2009 10/1/2009
-1.68 3 4/1/1998 6/1/1998
-1.68 1 9/1/2003 9/1/2003
-1.59 2 2/1/1996 3/1/1996
-1.52 1 2/1/1985 2/1/1985
-1.38 1 1/1/1993 1/1/1993
-1.37 1 7/1/1999 7/1/1999
-1.31 1 5/1/2004 5/1/2004
-1.31 1 11/1/2006 11/1/2006
-1.16 1 3/1/2003 3/1/2003
-1.14 1 7/1/2004 7/1/2004
-0.99 1 5/1/1988 5/1/1988
-0.79 2 1/1/2007 2/1/2007
-0.73 1 6/1/2000 6/1/2000
-0.62 1 8/1/2010 8/1/2010
-0.42 1 6/1/2003 6/1/2003
-0.37 1 8/1/2006 8/1/2006
-0.36 1 6/1/1997 6/1/1997
-0.27 1 12/1/1990 12/1/1990
-0.17 1 5/1/1989 5/1/1989
-0.14 1 6/1/1995 6/1/1995
-0.13 1 11/1/1993 11/1/1993
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods319.00317.00314.00308.00302.00296.00284.00272.00260.00
Percent Profitable59.2567.1967.2073.0572.5275.3471.8373.9078.46
Average Period Return0.611.913.797.5411.2814.5722.6730.7040.19
Average Gain3.546.179.9615.6821.5825.7539.4148.4156.50
Average Loss-3.65-6.80-8.85-14.51-15.91-19.61-20.01-19.42-19.22
Best Period14.4420.9336.0452.0864.5287.12133.89105.20127.56
Worst Period-26.04-29.77-32.05-34.91-39.29-43.35-44.75-42.60-39.09
Standard Deviation4.658.0211.5616.4020.8024.7333.0336.1142.06
Gain Standard Deviation2.574.607.249.4412.6016.1221.6122.6531.37
Loss Standard Deviation3.576.297.909.4811.6311.5011.8111.5310.84
Sharpe Ratio (1%)0.110.210.280.400.470.510.590.740.83
Average Gain / Average Loss0.970.911.131.081.361.311.972.492.94
Profit / Loss Ratio1.411.862.312.933.584.015.027.0510.71
Downside Deviation (10%)3.455.837.9011.2713.7815.9720.1121.9923.35
Downside Deviation (5%)3.295.407.009.4210.9612.1413.7213.3512.35
Downside Deviation (0%)3.265.296.788.9810.3111.2712.3111.5210.22
Sortino Ratio (10%)0.060.120.170.230.270.270.340.420.54
Sortino Ratio (5%)0.160.310.470.690.891.031.432.002.84
Sortino Ratio (0%)0.190.360.560.841.091.291.842.663.93

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.