United States Index : 10-Year Note

Year-to-Date: 63.89%
Aug Performance: 29.29%

21.60%

Annualized Vol

-0.05

Sharpe (RFR=1%)

-2.57%

CAROR

-96.54

Worst DD

0.10

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

Compare to:

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Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	407.00	405.00	402.00	396.00	390.00	384.00	372.00	360.00	348.00
Percent Profitable	46.93	49.88	47.26	45.45	43.08	39.58	30.91	26.39	18.39
Average Period Return	-0.06	-0.28	-0.60	-1.02	-1.87	-3.20	-5.41	-7.92	-11.97
Average Gain	4.32	7.03	10.42	14.81	17.38	18.67	24.71	29.50	30.30
Average Loss	-4.02	-7.67	-10.47	-14.29	-16.43	-17.60	-18.89	-21.33	-21.50
Best Period	26.79	32.84	57.14	71.43	51.61	67.80	85.05	113.77	105.29
Worst Period	-25.44	-41.51	-43.72	-44.42	-55.47	-52.44	-48.97	-49.10	-54.90
Standard Deviation	5.69	9.49	13.15	17.61	19.88	21.82	25.93	28.65	25.96
Gain Standard Deviation	4.15	5.91	8.26	11.51	11.41	14.70	23.75	29.35	28.94
Loss Standard Deviation	3.72	6.20	7.75	8.59	10.14	11.25	11.56	11.17	12.02
Sharpe Ratio (1%)	-0.02	-0.06	-0.08	-0.11	-0.17	-0.24	-0.33	-0.42	-0.66
Average Gain / Average Loss	1.07	0.92	1.00	1.04	1.06	1.06	1.31	1.38	1.41
Profit / Loss Ratio	0.97	0.93	0.89	0.87	0.80	0.70	0.59	0.50	0.32
Downside Deviation (10%)	4.16	7.62	10.95	15.58	19.71	23.40	30.62	38.31	46.12
Downside Deviation (5%)	3.98	7.06	9.75	12.91	15.54	17.53	20.59	23.79	26.37
Downside Deviation (0%)	3.94	6.92	9.45	12.27	14.56	16.19	18.39	20.65	22.24
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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United States Index : 10-Year Note

Growth of 1,000 - VAMI

Monthly Performance

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United States Index : 10-Year Note

Growth of 1,000 - VAMI

Monthly Performance

Strategy Description

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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