United States Index : 20 Transportation Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 6.59% Feb Performance 10.29% 21.63% Annualized Vol 0.49 Sharpe (RFR=1%) 9.09% CAROR -54.04 Worst DD 0.79 S&P Correlation Add Alert Add to Blender Add to Portfolio Add to Watchlist 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: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -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 Show More 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 Show More 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 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 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. x {{title}} x {{title}} Add Cancel