Europe Index : PSI 20 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Apr Performance 0.52% 186,958.85% Annualized Vol 0.26 Sharpe (RFR=1%) 108.79% CAROR -67.78 Worst DD 0.55 S&P Correlation Add Alert Add to Blender Add to Portfolio Add to Watchlist 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 Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel