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United States Index : 10-Year Note

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Year-to-Date
56.02%
Nov Performance
-1.86%
21.60%
Annualized Vol
-0.05
Sharpe (RFR=1%)
-2.57%
CAROR
-96.54
Worst DD
0.09
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 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.

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
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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
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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
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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.

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