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/ Europe Index / PSI 20

Europe Index : PSI 20

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Year-to-Date
N / A
Apr Performance
0.52%
19.19%
Annualized Vol
-0.21
Sharpe (RFR=1%)
-4.77%
CAROR
-67.78
Worst DD
0.55
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 Yes

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.

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
-67.78 196 - 2/1/2000 6/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
36.89 9 7/1/2013 3/1/2014
32.09 7 8/1/2003 2/1/2004
30.96 5 11/1/2005 3/1/2006
27.00 4 1/1/2015 4/1/2015
24.34 9 6/1/2006 2/1/2007
20.33 3 3/1/2009 5/1/2009
19.18 3 7/1/2009 9/1/2009
18.63 2 10/1/2002 11/1/2002
18.24 1 2/1/2000 2/1/2000
17.98 2 12/1/2012 1/1/2013
15.28 4 4/1/2007 7/1/2007
14.38 4 7/1/2010 10/1/2010
14.24 3 8/1/2012 10/1/2012
12.70 5 9/1/2004 1/1/2005
12.48 3 2/1/2017 4/1/2017
11.11 4 3/1/2003 6/1/2003
9.17 3 12/1/2010 2/1/2011
9.12 2 10/1/2007 11/1/2007
8.35 1 10/1/2015 10/1/2015
7.94 3 10/1/2001 12/1/2001
7.70 3 7/1/2005 9/1/2005
7.60 1 1/1/2001 1/1/2001
7.32 1 4/1/2013 4/1/2013
7.18 1 3/1/2010 3/1/2010
6.60 1 7/1/2016 7/1/2016
5.98 2 3/1/2016 4/1/2016
5.04 1 12/1/2016 12/1/2016
4.82 1 3/1/2002 3/1/2002
4.80 1 2/1/2012 2/1/2012
4.09 1 6/1/2012 6/1/2012
4.02 1 4/1/2008 4/1/2008
2.95 1 7/1/2015 7/1/2015
2.54 1 12/1/2009 12/1/2009
2.32 1 3/1/2005 3/1/2005
2.27 1 6/1/2004 6/1/2004
2.19 2 12/1/2008 1/1/2009
1.22 1 8/1/2008 8/1/2008
1.19 1 10/1/2016 10/1/2016
0.62 2 6/1/2000 7/1/2000
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.92 9 4/1/2014 12/1/2014
-35.19 8 2/1/2001 9/1/2001
-34.60 6 4/1/2002 9/1/2002
-33.40 11 3/1/2011 1/1/2012
-26.74 3 9/1/2008 11/1/2008
-22.17 3 5/1/2008 7/1/2008
-20.00 4 12/1/2007 3/1/2008
-19.12 3 3/1/2012 5/1/2012
-18.99 3 3/1/2000 5/1/2000
-13.19 3 12/1/2002 2/1/2003
-12.85 5 8/1/2000 12/1/2000
-12.83 4 11/1/2015 2/1/2016
-12.79 3 4/1/2010 6/1/2010
-11.85 2 5/1/2016 6/1/2016
-11.69 2 8/1/2015 9/1/2015
-11.07 2 5/1/2013 6/1/2013
-10.69 2 1/1/2010 2/1/2010
-10.49 2 8/1/2007 9/1/2007
-8.91 2 5/1/2015 6/1/2015
-8.37 2 4/1/2006 5/1/2006
-7.05 3 4/1/2005 6/1/2005
-6.75 1 2/1/2009 2/1/2009
-6.12 2 2/1/2013 3/1/2013
-5.34 3 3/1/2004 5/1/2004
-4.89 2 1/1/2002 2/1/2002
-4.36 1 1/1/2017 1/1/2017
-4.24 1 11/1/2016 11/1/2016
-3.98 1 11/1/2010 11/1/2010
-3.70 2 7/1/2004 8/1/2004
-3.17 2 8/1/2016 9/1/2016
-3.12 1 10/1/2005 10/1/2005
-2.61 2 10/1/2009 11/1/2009
-1.86 1 11/1/2012 11/1/2012
-1.56 1 6/1/2009 6/1/2009
-1.50 1 2/1/2005 2/1/2005
-1.14 1 7/1/2003 7/1/2003
-0.34 1 3/1/2007 3/1/2007
-0.21 1 7/1/2012 7/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods207.00205.00202.00196.00190.00184.00172.00160.00148.00
Percent Profitable48.7946.3446.0446.4342.1139.6731.4031.2533.78
Average Period Return-0.25-0.83-1.42-2.43-2.86-2.83-3.03-1.44-3.27
Average Gain4.148.3112.7518.6025.5632.3942.4048.2744.34
Average Loss-4.43-8.72-13.51-20.65-23.54-26.00-23.82-24.03-27.55
Best Period18.2424.3737.2645.0963.3778.2193.44132.69138.81
Worst Period-20.82-26.74-41.74-51.98-52.77-56.65-64.09-55.29-63.92
Standard Deviation5.5410.3315.8322.8328.5832.7636.8043.6444.09
Gain Standard Deviation3.134.988.1410.9715.8918.2428.9945.4742.62
Loss Standard Deviation3.836.559.4612.2814.4514.2314.4914.1616.27
Sharpe Ratio (1%)-0.06-0.10-0.12-0.15-0.15-0.15-0.16-0.13-0.19
Average Gain / Average Loss0.930.950.940.901.091.251.782.011.61
Profit / Loss Ratio0.890.820.810.780.790.820.810.910.82
Downside Deviation (10%)4.418.7113.6320.8126.1230.2635.0439.9747.48
Downside Deviation (5%)4.238.1212.4018.2021.9724.3825.2526.0629.67
Downside Deviation (0%)4.197.9712.1017.5620.9923.0023.0723.1026.00
Sortino Ratio (10%)-0.15-0.24-0.29-0.36-0.40-0.43-0.54-0.58-0.65
Sortino Ratio (5%)-0.08-0.13-0.15-0.19-0.20-0.20-0.24-0.21-0.28
Sortino Ratio (0%)-0.06-0.10-0.12-0.14-0.14-0.12-0.13-0.06-0.13

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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