United States Index : 15 Utilities

Year-to-Date
2.43%
Oct Performance
5.29%
14.36%
Annualized Vol
0.33
Sharpe (RFR=1%)
4.29%
CAROR
-51.97
Worst DD
0.47
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 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.

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
-51.97 26 31 12/1/2000 2/1/2003
-39.44 16 - 10/1/2007 2/1/2009
-30.92 10 41 8/1/1993 6/1/1994
-24.07 15 19 1/1/1987 4/1/1988
-16.64 8 30 12/1/1989 8/1/1990
-16.36 15 25 7/1/1977 10/1/1978
-14.48 6 9 5/1/1999 11/1/1999
-12.80 7 5 10/1/1983 5/1/1984
-12.60 10 13 11/1/1980 9/1/1981
-10.03 6 4 9/1/2005 3/1/2006
-8.87 1 4 8/1/1986 9/1/1986
-8.83 3 3 6/1/1985 9/1/1985
-8.13 2 3 5/1/2007 7/1/2007
-7.28 1 2 3/1/1986 4/1/1986
-6.41 3 2 12/1/1998 3/1/1999
-5.33 2 1 6/1/1998 8/1/1998
-3.68 1 3 1/1/1977 2/1/1977
-3.58 1 2 12/1/1997 1/1/1998
-3.20 1 1 8/1/2006 9/1/2006
-2.60 1 1 10/1/1982 11/1/1982
-2.35 2 1 9/1/2000 11/1/2000
-1.72 1 2 9/1/1998 10/1/1998
-1.60 1 1 5/1/1983 6/1/1983
-1.30 2 1 3/1/1993 5/1/1993
-0.79 1 2 12/1/1984 1/1/1985
-0.51 1 2 3/1/1998 4/1/1998
-0.49 1 1 12/1/2006 1/1/2007
-0.41 1 1 2/1/1983 3/1/1983
-0.18 1 1 7/1/1983 8/1/1983
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
35.77 12 5/1/2004 4/1/2005
29.75 3 7/1/2000 9/1/2000
28.90 6 10/1/1985 3/1/1986
26.79 4 3/1/2003 6/1/2003
22.00 4 5/1/1986 8/1/1986
21.53 5 8/1/1984 12/1/1984
20.93 5 3/1/1989 7/1/1989
18.42 4 6/1/2005 9/1/2005
17.82 4 9/1/1997 12/1/1997
16.44 7 3/1/2009 9/1/2009
15.47 3 8/1/1982 10/1/1982
14.89 4 8/1/1996 11/1/1996
14.87 6 7/1/1991 12/1/1991
14.80 4 2/1/2007 5/1/2007
14.08 5 9/1/1995 1/1/1996
13.88 3 3/1/2000 5/1/2000
13.76 5 4/1/2006 8/1/2006
13.67 3 4/1/1980 6/1/1980
13.17 4 7/1/2010 10/1/2010
12.63 2 4/1/1999 5/1/1999
12.25 4 12/1/2003 3/1/2004
11.94 2 12/1/1999 1/1/2000
11.60 3 8/1/2007 10/1/2007
11.14 2 10/1/1981 11/1/1981
11.13 5 2/1/1985 6/1/1985
10.52 5 3/1/1977 7/1/1977
10.42 4 12/1/1992 3/1/1993
10.25 1 9/1/1998 9/1/1998
10.01 2 4/1/1995 5/1/1995
9.63 2 11/1/2009 12/1/2009
9.37 2 3/1/2002 4/1/2002
9.25 3 3/1/2008 5/1/2008
9.08 1 1/1/1987 1/1/1987
8.86 3 5/1/1997 7/1/1997
8.86 2 9/1/1990 10/1/1990
8.73 3 10/1/1989 12/1/1989
8.62 2 9/1/1983 10/1/1983
8.60 2 2/1/1998 3/1/1998
8.54 2 11/1/2002 12/1/2002
8.53 1 1/1/1988 1/1/1988
8.46 2 10/1/1980 11/1/1980
8.00 3 12/1/1994 2/1/1995
7.74 3 5/1/1979 7/1/1979
7.72 3 12/1/1982 2/1/1983
7.59 3 6/1/1993 8/1/1993
7.58 1 11/1/1979 11/1/1979
7.16 3 5/1/1988 7/1/1988
7.11 3 8/1/2003 10/1/2003
6.79 1 1/1/1979 1/1/1979
6.77 2 7/1/1994 8/1/1994
6.76 1 7/1/1992 7/1/1992
6.70 2 10/1/1986 11/1/1986
6.62 3 10/1/2006 12/1/2006
5.99 1 12/1/2000 12/1/2000
5.84 2 3/1/1982 4/1/1982
5.60 2 3/1/2010 4/1/2010
5.05 2 2/1/1991 3/1/1991
4.92 1 6/1/1996 6/1/1996
4.77 2 9/1/1988 10/1/1988
4.59 1 12/1/2001 12/1/2001
4.59 1 6/1/1987 6/1/1987
4.15 2 4/1/1983 5/1/1983
4.13 4 5/1/1981 8/1/1981
4.09 1 5/1/1990 5/1/1990
3.87 1 4/1/2001 4/1/2001
3.81 2 4/1/1992 5/1/1992
3.73 1 2/1/2001 2/1/2001
3.60 2 11/1/1998 12/1/1998
3.42 2 12/1/2005 1/1/2006
3.33 1 1/1/1980 1/1/1980
3.30 2 5/1/1998 6/1/1998
3.01 2 3/1/1978 4/1/1978
2.88 2 12/1/1988 1/1/1989
2.85 1 8/1/1987 8/1/1987
2.80 1 10/1/1999 10/1/1999
2.71 1 11/1/1977 11/1/1977
2.43 1 3/1/1981 3/1/1981
2.29 1 11/1/1978 11/1/1978
2.24 1 8/1/2002 8/1/2002
2.14 1 9/1/1977 9/1/1977
1.85 1 3/1/1979 3/1/1979
1.75 1 12/1/1993 12/1/1993
1.68 1 7/1/1983 7/1/1983
1.66 1 8/1/1985 8/1/1985
1.64 1 7/1/1978 7/1/1978
1.58 1 4/1/1994 4/1/1994
1.30 1 6/1/1984 6/1/1984
1.01 1 11/1/2008 11/1/2008
0.95 1 7/1/1995 7/1/1995
0.86 1 1/1/1977 1/1/1977
0.84 1 5/1/1991 5/1/1991
0.71 1 9/1/1992 9/1/1992
0.70 1 1/1/1984 1/1/1984
0.38 1 8/1/1999 8/1/1999
0.05 1 12/1/2007 12/1/2007
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-29.06 7 5/1/2001 11/1/2001
-27.46 5 6/1/2008 10/1/2008
-22.44 3 5/1/2002 7/1/2002
-18.25 2 9/1/2002 10/1/2002
-15.60 4 9/1/1987 12/1/1987
-15.24 3 12/1/2008 2/1/2009
-14.40 3 1/1/1994 3/1/1994
-13.59 4 1/1/1990 4/1/1990
-12.40 4 2/1/1987 5/1/1987
-12.13 3 9/1/1993 11/1/1993
-11.14 2 5/1/1994 6/1/1994
-10.33 2 1/1/2008 2/1/2008
-10.20 3 2/1/1988 4/1/1988
-9.67 1 1/1/2001 1/1/2001
-9.49 2 2/1/1980 3/1/1980
-9.08 3 1/1/1992 3/1/1992
-9.05 3 5/1/1982 7/1/1982
-9.05 4 2/1/1996 5/1/1996
-8.99 3 12/1/1980 2/1/1981
-8.87 1 9/1/1986 9/1/1986
-8.75 3 8/1/1978 10/1/1978
-8.46 1 2/1/2000 2/1/2000
-8.18 5 12/1/1996 4/1/1997
-8.18 1 11/1/1999 11/1/1999
-8.13 2 6/1/2007 7/1/2007
-8.06 3 8/1/1979 10/1/1979
-8.00 2 1/1/2003 2/1/2003
-7.81 3 12/1/1977 2/1/1978
-7.79 2 5/1/2010 6/1/2010
-7.69 2 1/1/2010 2/1/2010
-7.59 4 2/1/1984 5/1/1984
-7.45 2 10/1/2005 11/1/2005
-7.31 3 6/1/1990 8/1/1990
-7.28 1 4/1/1986 4/1/1986
-7.04 1 6/1/1991 6/1/1991
-6.92 1 9/1/1981 9/1/1981
-6.88 1 7/1/1996 7/1/1996
-6.58 1 6/1/2000 6/1/2000
-6.41 3 1/1/1999 3/1/1999
-6.30 2 11/1/1983 12/1/1983
-6.00 1 7/1/2003 7/1/2003
-6.00 2 2/1/2006 3/1/2006
-5.87 1 9/1/1985 9/1/1985
-5.61 3 12/1/1981 2/1/1982
-5.57 1 9/1/1999 9/1/1999
-5.33 2 7/1/1998 8/1/1998
-5.09 3 9/1/1994 11/1/1994
-4.86 2 1/1/2002 2/1/2002
-4.86 3 7/1/1980 9/1/1980
-4.73 1 7/1/1985 7/1/1985
-4.72 1 8/1/1977 8/1/1977
-4.42 2 6/1/1999 7/1/1999
-4.22 1 2/1/1989 2/1/1989
-3.76 1 10/1/2009 10/1/2009
-3.72 1 10/1/1977 10/1/1977
-3.68 1 2/1/1977 2/1/1977
-3.58 1 1/1/1998 1/1/1998
-3.32 1 11/1/2010 11/1/2010
-3.32 1 12/1/1986 12/1/1986
-3.30 1 4/1/1991 4/1/1991
-3.27 1 4/1/1981 4/1/1981
-3.23 1 3/1/1995 3/1/1995
-3.20 1 9/1/2006 9/1/2006
-3.08 1 4/1/1979 4/1/1979
-3.07 3 11/1/1990 1/1/1991
-2.83 1 8/1/1992 8/1/1992
-2.66 1 4/1/2004 4/1/2004
-2.60 1 11/1/1982 11/1/1982
-2.49 1 2/1/1979 2/1/1979
-2.35 2 10/1/2000 11/1/2000
-2.27 2 8/1/1989 9/1/1989
-2.27 1 8/1/1988 8/1/1988
-2.11 1 6/1/1995 6/1/1995
-2.04 1 7/1/1987 7/1/1987
-1.72 1 10/1/1998 10/1/1998
-1.71 1 5/1/2005 5/1/2005
-1.61 1 8/1/1997 8/1/1997
-1.60 1 6/1/1983 6/1/1983
-1.34 2 5/1/1978 6/1/1978
-1.33 1 12/1/1978 12/1/1978
-1.30 2 4/1/1993 5/1/1993
-1.24 1 3/1/2001 3/1/2001
-1.09 1 6/1/1992 6/1/1992
-1.01 1 7/1/1984 7/1/1984
-0.94 1 12/1/1979 12/1/1979
-0.91 1 11/1/2003 11/1/2003
-0.85 1 11/1/1988 11/1/1988
-0.85 2 10/1/1992 11/1/1992
-0.80 1 8/1/1995 8/1/1995
-0.79 1 1/1/1985 1/1/1985
-0.51 1 4/1/1998 4/1/1998
-0.50 1 11/1/2007 11/1/2007
-0.49 1 1/1/2007 1/1/2007
-0.41 1 3/1/1983 3/1/1983
-0.18 1 8/1/1983 8/1/1983
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 Profitable56.5160.9965.4265.6668.7268.4970.4370.2883.33
Average Period Return0.411.252.515.177.9710.7417.3924.5730.96
Average Gain3.305.818.3714.1318.6822.8930.7839.3939.30
Average Loss-3.44-5.89-8.58-11.98-15.70-15.67-14.53-10.47-10.74
Best Period11.7629.7536.4846.4153.8278.26108.55142.06169.84
Worst Period-13.39-22.44-35.18-34.63-49.96-49.61-37.07-34.23-27.26
Standard Deviation4.227.3610.6416.1920.2323.9429.9334.9435.46
Gain Standard Deviation2.434.426.4310.2112.8717.2024.8631.1132.87
Loss Standard Deviation2.844.967.8210.7811.6912.5510.478.327.26
Sharpe Ratio (1%)0.080.140.190.260.320.360.480.590.73
Average Gain / Average Loss0.960.990.981.181.191.462.123.763.66
Profit / Loss Ratio1.281.541.852.262.643.185.058.9018.29
Downside Deviation (10%)3.125.427.9611.8314.6316.3618.0819.2119.11
Downside Deviation (5%)2.954.927.039.8711.5712.1611.119.147.16
Downside Deviation (0%)2.914.806.819.4310.8911.259.727.275.28
Sortino Ratio (10%)0.000.000.000.010.030.030.090.160.17
Sortino Ratio (5%)0.110.200.290.420.560.721.292.243.61
Sortino Ratio (0%)0.140.260.370.550.730.951.793.385.86

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.