United States Index : 20 Transportation

Year-to-Date
2.61%
Aug Performance
11.91%
21.63%
Annualized Vol
0.49
Sharpe (RFR=1%)
9.09%
CAROR
-54.04
Worst DD
0.79
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
-54.04 9 - 5/1/2008 2/1/2009
-45.52 14 28 8/1/1989 10/1/1990
-43.82 46 21 4/1/1999 2/1/2003
-35.44 4 17 7/1/1987 11/1/1987
-29.45 16 4 3/1/1981 7/1/1982
-26.07 6 7 3/1/1998 9/1/1998
-22.86 6 8 11/1/1983 5/1/1984
-22.34 10 8 1/1/1994 11/1/1994
-16.99 6 5 8/1/1978 2/1/1979
-16.42 2 3 2/1/1980 4/1/1980
-15.66 8 5 6/1/1977 2/1/1978
-14.02 9 3 5/1/2007 2/1/2008
-13.81 4 3 3/1/1986 7/1/1986
-13.11 2 8 6/1/2006 8/1/2006
-12.94 2 3 8/1/1979 10/1/1979
-9.88 2 4 5/1/1996 7/1/1996
-9.78 4 3 12/1/2004 4/1/2005
-9.07 2 1 2/1/1985 4/1/1985
-7.83 3 1 11/1/1980 2/1/1981
-7.55 2 3 7/1/1985 9/1/1985
-6.38 2 4 1/1/0001 2/1/1977
-6.37 2 3 6/1/1983 8/1/1983
-5.97 2 2 11/1/1995 1/1/1996
-4.58 1 1 11/1/1986 12/1/1986
-4.08 1 1 7/1/1997 8/1/1997
-3.13 1 2 7/1/2005 8/1/2005
-2.70 2 1 4/1/1993 6/1/1993
-2.30 2 1 2/1/1987 4/1/1987
-2.25 1 1 8/1/1993 9/1/1993
-1.53 1 1 11/1/1996 12/1/1996
-1.52 1 1 9/1/1997 10/1/1997
-0.93 1 1 9/1/1995 10/1/1995
-0.31 1 1 5/1/1989 6/1/1989
-0.31 1 1 1/1/1997 2/1/1997
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Consecutive Gains

Run-up Length (Mos.) Start End
75.96 7 5/1/1980 11/1/1980
62.55 9 10/1/1982 6/1/1983
52.05 7 3/1/2009 9/1/2009
37.91 7 10/1/1998 4/1/1999
37.56 4 11/1/1990 2/1/1991
33.91 10 9/1/2005 6/1/2006
32.96 6 10/1/2001 3/1/2002
31.39 2 7/1/1989 8/1/1989
30.43 8 9/1/1992 4/1/1993
29.70 6 10/1/1985 3/1/1986
29.43 6 3/1/1979 8/1/1979
29.14 5 3/1/1997 7/1/1997
26.56 5 9/1/1988 1/1/1989
24.80 4 11/1/1979 2/1/1980
24.16 4 12/1/1987 3/1/1988
23.24 4 10/1/2000 1/1/2001
22.30 4 9/1/2004 12/1/2004
21.34 3 3/1/2003 5/1/2003
20.82 3 12/1/1984 2/1/1985
20.76 3 5/1/1985 7/1/1985
19.91 3 2/1/2010 4/1/2010
19.49 3 3/1/2008 5/1/2008
19.30 2 3/1/2000 4/1/2000
18.12 4 8/1/1986 11/1/1986
17.78 3 9/1/2010 11/1/2010
17.78 3 5/1/1987 7/1/1987
17.51 4 6/1/1995 9/1/1995
16.83 5 12/1/1994 4/1/1995
16.80 1 8/1/1982 8/1/1982
15.92 2 1/1/1987 2/1/1987
15.84 1 12/1/1991 12/1/1991
14.45 4 2/1/1996 5/1/1996
14.23 5 11/1/1997 3/1/1998
14.18 4 10/1/1993 1/1/1994
14.09 4 8/1/1996 11/1/1996
13.46 2 11/1/2009 12/1/2009
13.13 2 2/1/1990 3/1/1990
12.90 2 10/1/1981 11/1/1981
12.77 2 7/1/1978 8/1/1978
12.46 3 10/1/2003 12/1/2003
11.54 1 3/1/1981 3/1/1981
11.51 2 3/1/1978 4/1/1978
11.21 2 7/1/2003 8/1/2003
11.01 2 5/1/2004 6/1/2004
10.79 1 9/1/1997 9/1/1997
10.77 2 4/1/1991 5/1/1991
10.38 3 9/1/2006 11/1/2006
10.37 3 9/1/1983 11/1/1983
10.36 1 7/1/2010 7/1/2010
10.02 2 4/1/2007 5/1/2007
9.91 1 8/1/1984 8/1/1984
9.90 1 6/1/1988 6/1/1988
9.74 2 10/1/2002 11/1/2002
9.60 3 3/1/1989 5/1/1989
8.95 1 7/1/2005 7/1/2005
8.04 1 7/1/2000 7/1/2000
7.82 1 1/1/2007 1/1/2007
7.61 4 3/1/1977 6/1/1977
7.56 1 10/1/1991 10/1/1991
7.46 2 7/1/1993 8/1/1993
6.93 1 11/1/1995 11/1/1995
6.30 2 4/1/2001 5/1/2001
6.00 1 7/1/1991 7/1/1991
5.46 1 2/1/1992 2/1/1992
5.39 2 11/1/1977 12/1/1977
5.15 1 10/1/1999 10/1/1999
5.05 1 5/1/2005 5/1/2005
3.97 1 1/1/2008 1/1/2008
3.87 1 1/1/1979 1/1/1979
3.85 1 6/1/1998 6/1/1998
3.68 1 5/1/1990 5/1/1990
3.56 1 2/1/2005 2/1/2005
3.46 1 8/1/1994 8/1/1994
3.14 2 7/1/2008 8/1/2008
3.03 1 1/1/1997 1/1/1997
3.02 1 4/1/1982 4/1/1982
2.69 1 7/1/2001 7/1/2001
2.37 1 10/1/1994 10/1/1994
2.32 1 10/1/1984 10/1/1984
2.32 1 12/1/1999 12/1/1999
2.21 1 5/1/1981 5/1/1981
1.75 1 11/1/1978 11/1/1978
1.65 1 5/1/2002 5/1/2002
1.52 1 4/1/1994 4/1/1994
1.52 1 6/1/1984 6/1/1984
1.48 1 10/1/2007 10/1/2007
1.41 1 5/1/1986 5/1/1986
1.04 1 1/1/1981 1/1/1981
0.71 1 12/1/2008 12/1/2008
0.61 1 12/1/1989 12/1/1989
0.56 1 2/1/2004 2/1/2004
0.14 1 7/1/1992 7/1/1992
0.14 1 6/1/1982 6/1/1982
0.12 1 9/1/1977 9/1/1977
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Consecutive Losses

Run-up Length (Mos.) Start End
-35.44 4 8/1/1987 11/1/1987
-31.18 3 9/1/2008 11/1/2008
-29.81 5 6/1/1990 10/1/1990
-29.35 2 1/1/2009 2/1/2009
-24.48 2 8/1/2001 9/1/2001
-23.90 3 7/1/1998 9/1/1998
-22.86 6 12/1/1983 5/1/1984
-22.44 3 9/1/1989 11/1/1989
-21.76 4 6/1/2002 9/1/2002
-20.24 5 5/1/1999 9/1/1999
-19.76 2 1/1/2000 2/1/2000
-19.68 4 6/1/1981 9/1/1981
-16.42 2 3/1/1980 4/1/1980
-15.82 2 9/1/1978 10/1/1978
-15.72 4 12/1/1981 3/1/1982
-14.20 2 5/1/2010 6/1/2010
-13.20 3 12/1/2002 2/1/2003
-13.11 2 7/1/2006 8/1/2006
-12.94 2 9/1/1979 10/1/1979
-12.04 2 2/1/1994 3/1/1994
-11.77 2 8/1/2000 9/1/2000
-11.20 1 1/1/1990 1/1/1990
-10.86 2 6/1/1986 7/1/1986
-10.82 2 2/1/2001 3/1/2001
-9.88 2 6/1/1996 7/1/1996
-9.87 2 7/1/1977 8/1/1977
-9.17 1 9/1/1994 9/1/1994
-9.07 2 3/1/1985 4/1/1985
-9.00 1 6/1/2008 6/1/2008
-8.64 1 11/1/1991 11/1/1991
-8.62 4 6/1/2007 9/1/2007
-8.06 2 3/1/2005 4/1/2005
-7.88 4 3/1/1992 6/1/1992
-7.55 2 8/1/1985 9/1/1985
-7.31 1 8/1/1992 8/1/1992
-7.31 1 4/1/2002 4/1/2002
-7.27 2 1/1/1978 2/1/1978
-7.18 2 5/1/2000 6/1/2000
-6.87 2 11/1/2007 12/1/2007
-6.79 1 8/1/2010 8/1/2010
-6.78 2 7/1/1988 8/1/1988
-6.70 1 5/1/1982 5/1/1982
-6.48 1 12/1/1980 12/1/1980
-6.44 2 4/1/1998 5/1/1998
-6.38 2 1/1/1977 2/1/1977
-6.37 2 7/1/1983 8/1/1983
-6.31 1 6/1/1991 6/1/1991
-5.97 2 12/1/1995 1/1/1996
-5.47 1 11/1/1994 11/1/1994
-5.25 1 1/1/2005 1/1/2005
-4.98 1 1/1/2010 1/1/2010
-4.91 1 10/1/2009 10/1/2009
-4.88 1 11/1/1999 11/1/1999
-4.65 1 4/1/1986 4/1/1986
-4.58 1 12/1/1986 12/1/1986
-4.49 1 4/1/1990 4/1/1990
-4.37 3 5/1/1994 7/1/1994
-4.36 1 10/1/1977 10/1/1977
-4.26 2 4/1/1988 5/1/1988
-4.24 1 2/1/2008 2/1/2008
-4.08 1 8/1/1997 8/1/1997
-4.07 1 2/1/1979 2/1/1979
-4.03 1 1/1/2004 1/1/2004
-3.94 1 6/1/2001 6/1/2001
-3.69 1 7/1/1982 7/1/1982
-3.54 1 12/1/2006 12/1/2006
-3.13 1 8/1/2005 8/1/2005
-3.11 1 6/1/2005 6/1/2005
-3.08 2 7/1/2004 8/1/2004
-2.96 1 6/1/2003 6/1/2003
-2.73 1 12/1/1978 12/1/1978
-2.70 2 5/1/1993 6/1/1993
-2.57 1 4/1/1981 4/1/1981
-2.46 1 2/1/1981 2/1/1981
-2.30 2 3/1/1987 4/1/1987
-2.27 2 8/1/1991 9/1/1991
-2.25 1 9/1/1993 9/1/1993
-2.16 2 2/1/2007 3/1/2007
-2.10 2 5/1/1978 6/1/1978
-1.92 1 3/1/1991 3/1/1991
-1.87 1 2/1/1989 2/1/1989
-1.53 1 12/1/1996 12/1/1996
-1.52 1 10/1/1997 10/1/1997
-1.40 1 11/1/1984 11/1/1984
-1.38 1 5/1/1995 5/1/1995
-0.93 1 10/1/1995 10/1/1995
-0.56 1 9/1/1984 9/1/1984
-0.54 2 3/1/2004 4/1/2004
-0.35 1 9/1/2003 9/1/2003
-0.31 1 6/1/1989 6/1/1989
-0.31 1 2/1/1997 2/1/1997
-0.28 1 1/1/1992 1/1/1992
-0.13 1 7/1/1984 7/1/1984
-0.04 1 9/1/1982 9/1/1982
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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 Profitable58.7263.7065.9269.4471.7978.3981.7286.6792.82
Average Period Return0.942.925.8011.7317.4822.7337.5452.9069.46
Average Gain4.959.6514.8022.8529.6633.3049.6763.5476.35
Average Loss-4.75-8.89-11.60-13.54-13.52-15.63-16.70-16.25-19.53
Best Period18.1336.0958.1182.7689.12100.45127.34150.94248.72
Worst Period-27.72-34.47-51.03-45.08-48.78-48.62-43.67-36.12-40.42
Standard Deviation6.2611.3316.1222.7326.5428.0137.5842.1850.92
Gain Standard Deviation3.796.7210.5317.0220.2221.2530.0734.4346.06
Loss Standard Deviation4.397.469.3910.5610.7710.718.9110.7211.72
Sharpe Ratio (1%)0.140.240.330.470.600.740.921.161.26
Average Gain / Average Loss1.041.091.281.692.192.132.973.913.91
Profit / Loss Ratio1.481.902.473.845.587.7313.2925.4250.52
Downside Deviation (10%)4.357.579.8711.8112.6613.1814.6614.9614.35
Downside Deviation (5%)4.197.108.939.929.809.589.258.387.31
Downside Deviation (0%)4.156.988.709.479.178.798.087.096.07
Sortino Ratio (10%)0.120.220.340.570.780.951.492.102.91
Sortino Ratio (5%)0.210.380.591.081.632.163.735.838.81
Sortino Ratio (0%)0.230.420.671.241.912.594.657.4711.44

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.