United States Index : 13-Week Bill

Year-to-Date
94.48%
Oct Performance
-2.35%
166.96%
Annualized Vol
0.28
Sharpe (RFR=1%)
-100.00%
CAROR
-99.98
Worst DD
0.09
S&P Correlation

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.

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
-99.98 398 - 8/1/1981 10/1/2014
-45.58 2 6 3/1/1980 5/1/1980
-14.60 2 1 1/1/1981 3/1/1981
-6.48 1 2 5/1/1979 6/1/1979
-5.43 1 2 5/1/1981 6/1/1981
-5.20 1 3 10/1/1979 11/1/1979
-3.81 2 2 1/1/0001 3/1/1977
-3.57 1 1 6/1/1978 7/1/1978
-2.27 1 2 10/1/1977 11/1/1977
-1.85 1 1 3/1/1978 4/1/1978
-1.24 1 1 11/1/1980 12/1/1980
-0.99 1 1 5/1/1977 6/1/1977
-0.11 1 1 2/1/1979 3/1/1979
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Consecutive Gains

Run-up Length (Mos.) Start End
3,300.00 2 10/1/2015 11/1/2015
1,833.33 2 6/1/2015 7/1/2015
1,400.00 2 1/1/2012 2/1/2012
1,160.00 3 10/1/2013 12/1/2013
1,150.00 3 12/1/2008 2/1/2009
1,133.33 2 11/1/2014 12/1/2014
500.00 1 7/1/2011 7/1/2011
400.00 2 2/1/2015 3/1/2015
330.00 1 2/1/2014 2/1/2014
305.00 10 10/1/2016 7/1/2017
210.00 4 1/1/2010 4/1/2010
200.00 1 11/1/2011 11/1/2011
185.71 2 1/1/2013 2/1/2013
136.40 8 4/1/2004 11/1/2004
135.99 15 9/1/2017 11/1/2018
126.17 19 1/1/2005 7/1/2006
108.11 2 1/1/2016 2/1/2016
86.84 6 6/1/1980 11/1/1980
66.67 2 6/1/2012 7/1/2012
50.00 1 5/1/2014 5/1/2014
46.63 1 5/1/2016 5/1/2016
45.45 1 11/1/2010 11/1/2010
45.10 2 4/1/2008 5/1/2008
44.00 2 5/1/2009 6/1/2009
40.40 4 2/1/1994 5/1/1994
39.79 7 8/1/1978 2/1/1979
38.46 1 4/1/2012 4/1/2012
35.42 4 7/1/1979 10/1/1979
34.06 5 7/1/1994 11/1/1994
33.33 1 8/1/2016 8/1/2016
29.89 6 3/1/1988 8/1/1988
26.09 1 1/1/2011 1/1/2011
24.10 4 7/1/1977 10/1/1977
23.53 2 9/1/2012 10/1/2012
22.76 6 10/1/1988 3/1/1989
21.56 2 10/1/1992 11/1/1992
21.44 6 10/1/1999 3/1/2000
21.19 2 4/1/1981 5/1/1981
20.73 2 12/1/1981 1/1/1982
19.53 5 5/1/1987 9/1/1987
18.67 2 2/1/1980 3/1/1980
14.81 1 9/1/2010 9/1/2010
14.60 4 5/1/1983 8/1/1983
14.56 2 7/1/2003 8/1/2003
13.33 1 6/1/2010 6/1/2010
11.29 3 6/1/2000 8/1/2000
11.11 1 11/1/2009 11/1/2009
10.96 1 6/1/1982 6/1/1982
10.79 2 4/1/1977 5/1/1977
10.39 2 5/1/1978 6/1/1978
9.36 4 5/1/1984 8/1/1984
9.34 2 2/1/1984 3/1/1984
9.04 2 11/1/1986 12/1/1986
9.02 1 12/1/1987 12/1/1987
8.95 1 3/1/1983 3/1/1983
8.68 2 7/1/1981 8/1/1981
8.66 2 10/1/1982 11/1/1982
8.28 2 1/1/1985 2/1/1985
7.53 2 10/1/1993 11/1/1993
7.11 3 4/1/1999 6/1/1999
6.59 1 3/1/1982 3/1/1982
6.59 1 7/1/1985 7/1/1985
6.29 2 12/1/1977 1/1/1978
5.88 2 4/1/1993 5/1/1993
5.81 2 6/1/1997 7/1/1997
5.61 1 1/1/1995 1/1/1995
5.47 2 2/1/1992 3/1/1992
5.41 2 11/1/1983 12/1/1983
4.99 1 11/1/1998 11/1/1998
4.98 1 8/1/1999 8/1/1999
4.79 2 6/1/2007 7/1/2007
4.79 1 12/1/1979 12/1/1979
4.60 2 1/1/1999 2/1/1999
3.78 1 10/1/2006 10/1/2006
3.61 2 1/1/2019 2/1/2019
3.36 1 8/1/2008 8/1/2008
3.34 1 2/1/2004 2/1/2004
3.31 3 1/1/1990 3/1/1990
3.28 1 5/1/1986 5/1/1986
3.28 3 3/1/1996 5/1/1996
3.24 1 10/1/2007 10/1/2007
3.19 2 2/1/1997 3/1/1997
2.99 1 1/1/2002 1/1/2002
2.98 1 7/1/1996 7/1/1996
2.94 1 3/1/1987 3/1/1987
2.80 1 11/1/2019 11/1/2019
2.78 1 2/1/1998 2/1/1998
2.77 1 12/1/1997 12/1/1997
2.47 2 5/1/1998 6/1/1998
2.38 1 5/1/1989 5/1/1989
2.35 1 2/1/2003 2/1/2003
2.28 1 12/1/2007 12/1/2007
2.27 1 1/1/1983 1/1/1983
2.25 2 1/1/2007 2/1/2007
2.13 1 10/1/1985 10/1/1985
2.04 1 10/1/1996 10/1/1996
2.03 1 1/1/1981 1/1/1981
1.99 1 10/1/2000 10/1/2000
1.81 1 10/1/1997 10/1/1997
1.72 1 2/1/1993 2/1/1993
1.72 1 4/1/2019 4/1/2019
1.53 2 10/1/1995 11/1/1995
1.41 2 8/1/1989 9/1/1989
1.38 2 4/1/1979 5/1/1979
1.20 1 12/1/1996 12/1/1996
1.16 1 3/1/2002 3/1/2002
1.01 1 4/1/2003 4/1/2003
0.78 1 3/1/1978 3/1/1978
0.72 1 2/1/1986 2/1/1986
0.65 1 10/1/2003 10/1/2003
0.58 1 9/1/1986 9/1/1986
0.56 1 6/1/2001 6/1/2001
0.54 2 5/1/1991 6/1/1991
0.36 1 7/1/2002 7/1/2002
0.33 1 1/1/2020 1/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-98.82 3 9/1/2008 11/1/2008
-98.01 2 2/1/2020 3/1/2020
-95.00 7 3/1/2013 9/1/2013
-94.44 3 8/1/2011 10/1/2011
-91.38 2 8/1/2015 9/1/2015
-90.00 5 6/1/2014 10/1/2014
-89.66 5 2/1/2011 6/1/2011
-88.00 2 4/1/2015 5/1/2015
-86.49 1 1/1/2015 1/1/2015
-84.13 1 1/1/2014 1/1/2014
-75.00 4 7/1/2009 10/1/2009
-66.67 1 12/1/2011 12/1/2011
-66.67 2 11/1/2012 12/1/2012
-59.39 3 1/1/2008 3/1/2008
-53.49 2 3/1/2014 4/1/2014
-53.09 6 7/1/2001 12/1/2001
-50.00 2 3/1/2009 4/1/2009
-45.58 2 4/1/1980 5/1/1980
-42.44 7 11/1/2000 5/1/2001
-40.28 3 7/1/1982 9/1/1982
-37.34 2 3/1/2016 4/1/2016
-36.74 6 5/1/2019 10/1/2019
-33.58 6 4/1/1992 9/1/1992
-33.33 1 5/1/2012 5/1/2012
-33.18 3 9/1/1981 11/1/1981
-31.05 6 8/1/2002 1/1/2003
-30.69 7 7/1/1991 1/1/1992
-29.36 13 4/1/1990 4/1/1991
-29.03 1 10/1/2010 10/1/2010
-28.12 1 12/1/2010 12/1/2010
-26.15 4 9/1/1984 12/1/1984
-23.89 2 5/1/2003 6/1/2003
-23.08 2 8/1/2007 9/1/2007
-21.18 2 10/1/1987 11/1/1987
-20.59 2 7/1/2010 8/1/2010
-19.65 4 3/1/1985 6/1/1985
-19.63 1 11/1/2007 11/1/2007
-18.75 1 9/1/2016 9/1/2016
-17.94 3 6/1/1986 8/1/1986
-15.29 4 7/1/1998 10/1/1998
-15.19 2 6/1/2016 7/1/2016
-15.00 1 8/1/2012 8/1/2012
-14.60 2 2/1/1981 3/1/1981
-13.33 1 3/1/2012 3/1/2012
-13.27 2 4/1/1982 5/1/1982
-13.11 2 3/1/1986 4/1/1986
-12.94 1 12/1/2015 12/1/2015
-11.62 2 6/1/2008 7/1/2008
-11.31 2 12/1/1992 1/1/1993
-10.27 8 2/1/1995 9/1/1995
-9.41 2 6/1/1989 7/1/1989
-8.27 3 12/1/1995 2/1/1996
-8.11 3 3/1/2007 5/1/2007
-8.10 2 9/1/1983 10/1/1983
-7.23 1 3/1/2003 3/1/2003
-7.12 1 8/1/2017 8/1/2017
-6.77 2 4/1/1997 5/1/1997
-6.48 1 4/1/1983 4/1/1983
-6.48 1 6/1/1979 6/1/1979
-6.37 2 3/1/1998 4/1/1998
-5.51 1 4/1/1989 4/1/1989
-5.43 1 6/1/1981 6/1/1981
-5.41 2 12/1/1993 1/1/1994
-5.21 2 8/1/1996 9/1/1996
-5.20 1 11/1/1979 11/1/1979
-4.66 3 4/1/2002 6/1/2002
-4.58 4 6/1/1993 9/1/1993
-4.55 3 10/1/1989 12/1/1989
-4.35 1 12/1/1982 12/1/1982
-4.18 1 3/1/1999 3/1/1999
-4.02 2 4/1/2000 5/1/2000
-3.88 2 1/1/1987 2/1/1987
-3.81 2 2/1/1977 3/1/1977
-3.76 3 11/1/2003 1/1/2004
-3.57 1 7/1/1978 7/1/1978
-3.55 2 8/1/2006 9/1/2006
-3.54 1 9/1/2003 9/1/2003
-3.30 2 8/1/1985 9/1/1985
-3.23 1 5/1/2010 5/1/2010
-3.08 1 1/1/1998 1/1/1998
-3.06 3 11/1/1985 1/1/1986
-2.89 1 9/1/1999 9/1/1999
-2.55 2 8/1/1997 9/1/1997
-2.31 1 3/1/2019 3/1/2019
-2.27 1 12/1/2019 12/1/2019
-2.27 1 11/1/1977 11/1/1977
-2.10 1 2/1/1983 2/1/1983
-2.03 1 3/1/1993 3/1/1993
-1.85 1 4/1/1978 4/1/1978
-1.58 1 12/1/1998 12/1/1998
-1.43 1 4/1/1987 4/1/1987
-1.31 1 9/1/2000 9/1/2000
-1.24 1 12/1/1980 12/1/1980
-1.11 2 11/1/2006 12/1/2006
-1.07 1 7/1/1999 7/1/1999
-1.06 2 1/1/1988 2/1/1988
-0.99 1 6/1/1977 6/1/1977
-0.89 1 1/1/1984 1/1/1984
-0.79 1 1/1/1997 1/1/1997
-0.72 1 6/1/1994 6/1/1994
-0.68 1 9/1/1988 9/1/1988
-0.64 1 2/1/1982 2/1/1982
-0.43 1 3/1/2004 3/1/2004
-0.40 1 11/1/1996 11/1/1996
-0.36 1 12/1/1994 12/1/1994
-0.35 1 12/1/2018 12/1/2018
-0.33 1 1/1/1980 1/1/1980
-0.20 1 6/1/1996 6/1/1996
-0.11 1 3/1/1979 3/1/1979
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods518.00516.00513.00507.00501.00495.00483.00471.00459.00
Percent Profitable51.3552.9149.7148.3246.5144.6544.1042.0435.29
Average Period Return10.4321.6640.6291.99164.76297.99734.571156.17784.25
Average Gain31.3957.46107.38226.78399.93721.561729.922825.262318.38
Average Loss-12.37-19.04-25.57-34.32-39.70-43.97-50.64-54.38-52.54
Best Period1260.002860.005566.679333.3315500.0031566.6762233.3376333.3349833.33
Worst Period-97.56-98.82-98.92-99.35-99.56-99.59-99.48-99.87-99.90
Standard Deviation92.63184.01332.83631.741117.252050.584689.476788.104178.31
Gain Standard Deviation124.46246.91462.40889.701607.933019.146943.8410251.876782.48
Loss Standard Deviation19.3921.6124.0626.5828.1029.1529.5230.7332.38
Sharpe Ratio (1%)0.110.120.120.140.150.140.160.170.19
Average Gain / Average Loss2.543.024.206.6110.0716.4134.1651.9544.12
Profit / Loss Ratio2.833.484.186.238.7613.3326.9537.6824.07
Downside Deviation (10%)15.7220.0526.0833.9840.2245.6454.3662.4769.74
Downside Deviation (5%)15.6019.6125.0431.6336.4540.3445.7850.2553.16
Downside Deviation (0%)15.5719.4924.7831.0635.5539.0943.8147.5349.62
Sortino Ratio (10%)0.641.021.462.563.916.3013.2218.1610.85
Sortino Ratio (5%)0.661.091.602.884.487.3415.9822.9314.66
Sortino Ratio (0%)0.671.111.642.964.637.6216.7724.3215.80

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.