United States Index : 10-Year Note Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 59.21% Feb Performance 33.58% 21.60% Annualized Vol -0.05 Sharpe (RFR=1%) -2.57% CAROR -96.54 Worst DD 0.10 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 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: {{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 -85.86 327 - 9/1/1981 12/1/2008 -20.68 4 5 2/1/1980 6/1/1980 -5.78 2 3 4/1/1979 6/1/1979 -4.32 1 2 4/1/1981 5/1/1981 -3.64 2 1 10/1/1979 12/1/1979 -3.36 2 4 4/1/1977 6/1/1977 -2.67 2 2 6/1/1978 8/1/1978 -2.28 1 2 11/1/1980 12/1/1980 -2.23 1 1 2/1/1981 3/1/1981 -2.19 1 1 12/1/1978 1/1/1979 -1.12 1 1 10/1/1978 11/1/1978 -0.92 1 1 10/1/1977 11/1/1977 -0.65 1 1 2/1/1979 3/1/1979 -0.40 1 1 2/1/1977 3/1/1977 Show More Consecutive Gains Run-up Length (Mos.) Start End 35.71 2 1/1/2009 2/1/2009 33.43 2 6/1/2003 7/1/2003 31.34 3 4/1/2009 6/1/2009 29.96 5 2/1/1994 6/1/1994 26.07 5 7/1/1980 11/1/1980 23.14 2 1/1/1980 2/1/1980 22.80 5 1/1/1996 5/1/1996 21.68 4 7/1/1979 10/1/1979 21.35 2 4/1/2004 5/1/2004 20.00 1 12/1/2009 12/1/2009 19.19 4 2/1/1984 5/1/1984 18.25 4 2/1/1987 5/1/1987 18.08 2 4/1/2008 5/1/2008 18.08 2 11/1/2001 12/1/2001 17.33 4 6/1/1981 9/1/1981 17.08 6 1/1/2006 6/1/2006 16.65 4 5/1/1983 8/1/1983 16.62 2 10/1/2002 11/1/2002 15.31 5 12/1/1989 4/1/1990 14.92 3 7/1/1987 9/1/1987 14.40 4 12/1/1996 3/1/1997 14.34 5 4/1/1999 8/1/1999 14.17 7 12/1/1977 6/1/1978 13.58 2 1/1/1999 2/1/1999 13.43 2 9/1/2005 10/1/2005 13.24 4 10/1/1999 1/1/2000 12.90 3 9/1/2010 11/1/2010 12.75 3 3/1/1988 5/1/1988 11.32 1 3/1/2002 3/1/2002 11.28 4 8/1/1994 11/1/1994 10.18 2 4/1/2001 5/1/2001 9.64 2 10/1/2003 11/1/2003 9.40 2 1/1/1977 2/1/1977 9.11 2 10/1/1992 11/1/1992 9.08 1 5/1/1986 5/1/1986 8.96 2 2/1/2005 3/1/2005 8.94 1 1/1/1992 1/1/1992 8.88 1 7/1/2005 7/1/2005 8.64 2 5/1/2007 6/1/2007 8.30 2 12/1/2006 1/1/2007 8.19 1 11/1/2004 11/1/2004 8.05 2 1/1/1981 2/1/1981 7.69 2 12/1/1981 1/1/1982 7.61 1 11/1/1993 11/1/1993 7.46 1 4/1/1981 4/1/1981 7.26 2 10/1/1998 11/1/1998 7.19 1 9/1/1986 9/1/1986 6.79 2 9/1/1978 10/1/1978 6.62 1 2/1/1985 2/1/1985 6.39 1 3/1/2010 3/1/2010 6.27 2 8/1/1989 9/1/1989 5.98 1 8/1/1990 8/1/1990 5.66 2 11/1/1988 12/1/1988 5.50 1 8/1/1997 8/1/1997 5.32 1 6/1/1982 6/1/1982 4.88 2 7/1/1988 8/1/1988 4.68 2 3/1/1992 4/1/1992 4.67 2 9/1/1977 10/1/1977 4.32 2 3/1/2003 4/1/2003 4.32 2 4/1/2000 5/1/2000 4.25 1 1/1/1983 1/1/1983 4.20 2 9/1/2008 10/1/2008 3.93 1 1/1/2003 1/1/2003 3.71 1 7/1/1995 7/1/1995 3.44 1 2/1/1989 2/1/1989 3.43 2 7/1/1996 8/1/1996 3.41 1 3/1/1983 3/1/1983 3.27 1 12/1/1978 12/1/1978 3.12 1 7/1/1985 7/1/1985 3.06 1 7/1/1977 7/1/1977 2.90 3 2/1/1998 4/1/1998 2.74 2 5/1/1991 6/1/1991 2.63 1 4/1/1979 4/1/1979 2.62 1 10/1/1983 10/1/1983 2.46 1 2/1/1979 2/1/1979 2.42 1 10/1/2009 10/1/2009 2.20 1 3/1/2007 3/1/2007 2.16 2 4/1/1993 5/1/1993 1.63 1 12/1/1983 12/1/1983 1.51 1 12/1/2007 12/1/2007 1.37 1 1/1/2001 1/1/2001 1.24 1 11/1/1987 11/1/1987 1.12 1 12/1/1986 12/1/1986 1.10 1 7/1/1998 7/1/1998 1.07 1 3/1/1982 3/1/1982 0.89 1 1/1/1986 1/1/1986 0.88 1 9/1/2007 9/1/2007 0.87 1 9/1/2000 9/1/2000 0.75 1 11/1/1982 11/1/1982 0.52 1 7/1/1993 7/1/1993 0.52 1 11/1/1997 11/1/1997 0.40 1 4/1/1977 4/1/1977 0.37 1 3/1/1991 3/1/1991 0.29 1 9/1/1985 9/1/1985 0.17 1 7/1/2000 7/1/2000 Show More Consecutive Losses Run-up Length (Mos.) Start End -43.58 2 11/1/2008 12/1/2008 -35.25 5 4/1/2010 8/1/2010 -33.27 6 4/1/2002 9/1/2002 -25.83 4 7/1/1982 10/1/1982 -21.42 7 12/1/1994 6/1/1995 -21.26 5 6/1/2001 10/1/2001 -20.68 4 3/1/1980 6/1/1980 -19.70 8 6/1/1984 1/1/1985 -19.67 2 8/1/1998 9/1/1998 -18.72 3 2/1/1986 4/1/1986 -18.57 6 7/1/1991 12/1/1991 -17.11 2 10/1/1981 11/1/1981 -16.29 5 5/1/1992 9/1/1992 -16.09 5 3/1/1989 7/1/1989 -14.89 3 1/1/2008 3/1/2008 -13.94 4 3/1/1985 6/1/1985 -13.66 3 6/1/1986 8/1/1986 -13.52 5 6/1/2004 10/1/2004 -13.37 5 8/1/1995 12/1/1995 -13.32 2 10/1/2007 11/1/2007 -13.24 4 12/1/1992 3/1/1993 -13.23 5 7/1/2006 11/1/2006 -13.21 1 5/1/2003 5/1/2003 -13.17 4 4/1/1997 7/1/1997 -12.97 3 9/1/1996 11/1/1996 -12.71 3 10/1/1985 12/1/1985 -12.44 3 4/1/2005 6/1/2005 -11.86 2 8/1/2003 9/1/2003 -11.84 1 3/1/2009 3/1/2009 -11.59 3 10/1/2000 12/1/2000 -11.11 4 12/1/2003 3/1/2004 -9.75 2 2/1/2000 3/1/2000 -9.74 2 7/1/2007 8/1/2007 -9.48 6 9/1/1990 2/1/1991 -9.26 1 12/1/2002 12/1/2002 -9.23 3 12/1/1987 2/1/1988 -8.06 2 9/1/1997 10/1/1997 -7.79 1 10/1/1987 10/1/1987 -7.55 3 8/1/1993 10/1/1993 -7.52 3 5/1/1990 7/1/1990 -6.80 1 2/1/2003 2/1/2003 -6.49 2 9/1/1988 10/1/1988 -6.29 1 8/1/2005 8/1/2005 -6.25 2 1/1/2010 2/1/2010 -5.97 3 7/1/2009 9/1/2009 -5.93 3 6/1/2008 8/1/2008 -5.84 1 6/1/1993 6/1/1993 -5.81 2 12/1/1997 1/1/1998 -5.80 1 2/1/2007 2/1/2007 -5.78 2 5/1/1979 6/1/1979 -5.66 2 10/1/1989 11/1/1989 -5.60 1 11/1/2009 11/1/2009 -5.28 2 12/1/2004 1/1/2005 -5.21 2 2/1/2001 3/1/2001 -4.98 1 8/1/2000 8/1/2000 -4.91 1 2/1/1983 2/1/1983 -4.51 1 9/1/1983 9/1/1983 -4.32 1 5/1/1981 5/1/1981 -4.23 2 5/1/1998 6/1/1998 -4.14 1 6/1/2000 6/1/2000 -4.13 1 6/1/1988 6/1/1988 -4.03 2 10/1/1986 11/1/1986 -3.99 1 12/1/1982 12/1/1982 -3.73 2 11/1/2005 12/1/2005 -3.64 2 11/1/1979 12/1/1979 -3.38 2 1/1/2002 2/1/2002 -3.36 2 5/1/1977 6/1/1977 -3.31 2 4/1/1982 5/1/1982 -3.30 1 4/1/1983 4/1/1983 -3.27 1 7/1/1994 7/1/1994 -2.76 2 12/1/1993 1/1/1994 -2.74 1 8/1/1985 8/1/1985 -2.67 2 7/1/1978 8/1/1978 -2.28 1 12/1/1980 12/1/1980 -2.23 1 3/1/1981 3/1/1981 -2.19 1 1/1/1979 1/1/1979 -1.90 1 12/1/1998 12/1/1998 -1.90 1 6/1/1996 6/1/1996 -1.89 1 8/1/1977 8/1/1977 -1.51 1 9/1/1999 9/1/1999 -1.42 1 1/1/1989 1/1/1989 -1.30 1 6/1/1987 6/1/1987 -1.27 1 1/1/1984 1/1/1984 -1.12 1 11/1/1978 11/1/1978 -0.94 1 11/1/1983 11/1/1983 -0.92 1 11/1/1977 11/1/1977 -0.78 1 2/1/1982 2/1/1982 -0.76 1 3/1/1999 3/1/1999 -0.69 1 1/1/1987 1/1/1987 -0.65 1 3/1/1979 3/1/1979 -0.55 1 2/1/1992 2/1/1992 -0.43 1 4/1/2007 4/1/2007 -0.40 1 3/1/1977 3/1/1977 -0.37 1 4/1/1991 4/1/1991 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods407.00405.00402.00396.00390.00384.00372.00360.00348.00 Percent Profitable46.9349.8847.2645.4543.0839.5830.9126.3918.39 Average Period Return-0.06-0.28-0.60-1.02-1.87-3.20-5.41-7.92-11.97 Average Gain4.327.0310.4214.8117.3818.6724.7129.5030.30 Average Loss-4.02-7.67-10.47-14.29-16.43-17.60-18.89-21.33-21.50 Best Period26.7932.8457.1471.4351.6167.8085.05113.77105.29 Worst Period-25.44-41.51-43.72-44.42-55.47-52.44-48.97-49.10-54.90 Standard Deviation5.699.4913.1517.6119.8821.8225.9328.6525.96 Gain Standard Deviation4.155.918.2611.5111.4114.7023.7529.3528.94 Loss Standard Deviation3.726.207.758.5910.1411.2511.5611.1712.02 Sharpe Ratio (1%)-0.02-0.06-0.08-0.11-0.17-0.24-0.33-0.42-0.66 Average Gain / Average Loss1.070.921.001.041.061.061.311.381.41 Profit / Loss Ratio0.970.930.890.870.800.700.590.500.32 Downside Deviation (10%)4.167.6210.9515.5819.7123.4030.6238.3146.12 Downside Deviation (5%)3.987.069.7512.9115.5417.5320.5923.7926.37 Downside Deviation (0%)3.946.929.4512.2714.5616.1918.3920.6522.24 Sortino Ratio (10%)-0.11-0.20-0.28-0.39-0.48-0.57-0.69-0.77-0.86 Sortino Ratio (5%)-0.04-0.08-0.11-0.16-0.22-0.30-0.41-0.50-0.65 Sortino Ratio (0%)-0.01-0.04-0.06-0.08-0.13-0.20-0.29-0.38-0.54 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