United States Index : 30 Industrials

Year-to-Date
0.38%
Aug Performance
7.57%
15.22%
Annualized Vol
0.53
Sharpe (RFR=1%)
7.45%
CAROR
-49.30
Worst DD
0.95
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
-49.30 16 - 10/1/2007 2/1/2009
-33.97 33 48 12/1/1999 9/1/2002
-31.15 3 21 8/1/1987 11/1/1987
-26.13 14 57 1/1/0001 2/1/1978
-16.82 4 3 4/1/1998 8/1/1998
-15.93 3 5 7/1/1990 10/1/1990
-13.41 6 8 11/1/1983 5/1/1984
-9.49 3 4 7/1/1997 10/1/1997
-8.88 5 8 1/1/1994 6/1/1994
-6.89 1 2 8/1/1986 9/1/1986
-6.20 1 1 6/1/1986 7/1/1986
-5.91 1 4 12/1/1989 1/1/1990
-5.78 3 3 6/1/1999 9/1/1999
-5.68 1 1 10/1/1991 11/1/1991
-5.02 5 5 5/1/1992 10/1/1992
-4.28 1 1 2/1/1997 3/1/1997
-3.99 1 2 5/1/1991 6/1/1991
-3.37 2 2 8/1/1989 10/1/1989
-3.05 2 2 5/1/2007 7/1/2007
-2.80 1 2 1/1/2007 2/1/2007
-2.63 1 1 8/1/1993 9/1/1993
-2.23 3 1 1/1/1985 4/1/1985
-2.22 1 2 6/1/1996 7/1/1996
-2.20 3 2 4/1/1983 7/1/1983
-2.13 1 1 4/1/1999 5/1/1999
-2.08 1 1 7/1/1995 8/1/1995
-1.90 1 1 3/1/1986 4/1/1986
-1.40 2 1 7/1/1985 9/1/1985
-1.13 1 1 11/1/1996 12/1/1996
-0.99 1 1 2/1/1992 3/1/1992
-0.95 1 1 11/1/1986 12/1/1986
-0.89 1 1 3/1/1991 4/1/1991
-0.88 1 1 8/1/1991 9/1/1991
-0.80 1 2 3/1/1987 4/1/1987
-0.70 1 1 9/1/1995 10/1/1995
-0.64 1 1 9/1/1983 10/1/1983
-0.56 1 1 1/1/1999 2/1/1999
-0.32 1 1 3/1/1996 4/1/1996
-0.32 1 1 5/1/1993 6/1/1993
-0.22 1 1 3/1/1993 4/1/1993
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Consecutive Gains

Run-up Length (Mos.) Start End
36.88 6 10/1/1985 3/1/1986
36.81 7 10/1/1982 4/1/1983
25.92 8 12/1/1994 7/1/1995
24.90 4 4/1/1997 7/1/1997
24.14 5 9/1/1998 1/1/1999
23.45 6 7/1/2009 12/1/2009
21.56 3 1/1/1987 3/1/1987
20.35 3 3/1/2009 5/1/2009
19.32 6 3/1/2003 8/1/2003
19.31 5 11/1/1990 3/1/1991
19.04 4 4/1/1980 7/1/1980
17.96 4 8/1/1996 11/1/1996
17.49 5 11/1/1995 3/1/1996
17.18 2 10/1/2002 11/1/2002
16.47 4 5/1/1987 8/1/1987
15.93 2 3/1/1999 4/1/1999
14.63 3 2/1/1998 4/1/1998
13.27 3 3/1/1978 5/1/1978
13.27 3 10/1/2001 12/1/2001
13.20 7 7/1/2006 1/1/2007
12.98 3 12/1/1987 2/1/1988
12.89 3 12/1/1991 2/1/1992
12.18 2 7/1/1989 8/1/1989
11.91 4 10/1/1993 1/1/1994
11.47 1 8/1/1982 8/1/1982
11.22 3 10/1/1999 12/1/1999
11.08 3 3/1/2007 5/1/2007
11.02 2 9/1/2010 10/1/2010
10.77 2 12/1/1988 1/1/1989
10.46 2 4/1/2001 5/1/2001
9.82 3 3/1/1989 5/1/1989
9.78 1 8/1/1984 8/1/1984
9.35 3 5/1/1990 7/1/1990
9.35 3 2/1/2010 4/1/2010
8.30 2 10/1/1986 11/1/1986
8.23 2 12/1/1984 1/1/1985
8.19 3 12/1/2003 2/1/2004
7.96 2 7/1/1994 8/1/1994
7.94 3 6/1/1979 8/1/1979
7.84 1 3/1/2000 3/1/2000
7.53 2 11/1/2004 12/1/2004
7.45 1 11/1/1980 11/1/1980
7.37 3 11/1/1979 1/1/1980
7.34 2 7/1/2000 8/1/2000
7.11 3 5/1/1985 7/1/1985
7.08 1 7/1/2010 7/1/2010
7.07 2 7/1/1978 8/1/1978
6.93 1 8/1/1986 8/1/1986
6.66 2 1/1/1997 2/1/1997
6.60 1 3/1/1979 3/1/1979
6.26 2 11/1/1997 12/1/1997
6.10 2 5/1/1986 6/1/1986
6.06 4 1/1/2006 4/1/2006
5.98 2 2/1/1981 3/1/1981
5.90 3 11/1/1978 1/1/1979
5.76 2 9/1/1988 10/1/1988
5.67 1 10/1/2003 10/1/2003
5.44 1 6/1/1988 6/1/1988
5.43 3 8/1/2007 10/1/2007
4.99 2 4/1/1992 5/1/1992
4.88 2 2/1/2002 3/1/2002
4.84 1 5/1/1991 5/1/1991
4.71 2 7/1/1991 8/1/1991
4.59 2 10/1/1981 11/1/1981
4.54 1 4/1/2008 4/1/2008
4.54 2 12/1/2000 1/1/2001
4.50 2 2/1/1990 3/1/1990
4.24 1 9/1/1997 9/1/1997
4.15 1 11/1/1983 11/1/1983
4.09 2 11/1/1989 12/1/1989
4.06 3 1/1/1993 3/1/1993
3.89 1 6/1/1999 6/1/1999
3.87 1 9/1/1995 9/1/1995
3.84 2 7/1/1993 8/1/1993
3.56 1 7/1/2005 7/1/2005
3.50 1 11/1/2005 11/1/2005
3.37 2 4/1/1994 5/1/1994
3.11 1 4/1/1982 4/1/1982
3.01 1 10/1/2000 10/1/2000
2.91 1 5/1/1993 5/1/1993
2.83 2 8/1/1983 9/1/1983
2.70 1 5/1/2005 5/1/2005
2.63 1 2/1/2005 2/1/2005
2.49 1 6/1/1984 6/1/1984
2.44 1 11/1/1992 11/1/1992
2.42 1 6/1/2004 6/1/2004
2.27 1 7/1/1992 7/1/1992
2.23 1 4/1/1988 4/1/1988
1.96 1 6/1/1977 6/1/1977
1.83 1 6/1/1983 6/1/1983
1.73 1 10/1/1991 10/1/1991
1.71 2 7/1/2008 8/1/2008
1.69 1 10/1/1994 10/1/1994
1.63 1 8/1/1999 8/1/1999
1.57 2 11/1/1977 12/1/1977
1.54 2 5/1/1996 6/1/1996
1.40 2 3/1/1984 4/1/1984
0.85 1 4/1/1977 4/1/1977
0.83 1 9/1/2005 9/1/2005
0.59 1 6/1/1998 6/1/1998
0.44 1 9/1/1992 9/1/1992
0.34 1 8/1/2004 8/1/2004
0.19 1 7/1/2001 7/1/2001
0.06 1 10/1/1984 10/1/1984
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Consecutive Losses

Run-up Length (Mos.) Start End
-38.81 6 9/1/2008 2/1/2009
-31.15 3 9/1/1987 11/1/1987
-27.03 6 4/1/2002 9/1/2002
-15.93 3 8/1/1990 10/1/1990
-15.92 2 8/1/2001 9/1/2001
-15.78 2 7/1/1998 8/1/1998
-15.33 6 4/1/1981 9/1/1981
-11.97 5 11/1/2007 3/1/2008
-11.91 2 1/1/2000 2/1/2000
-11.47 2 5/1/2008 6/1/2008
-11.30 3 12/1/2002 2/1/2003
-11.21 2 5/1/2010 6/1/2010
-10.71 2 1/1/1978 2/1/1978
-10.69 4 7/1/1977 10/1/1977
-10.29 2 2/1/1980 3/1/1980
-9.62 2 9/1/1978 10/1/1978
-9.51 3 12/1/1983 2/1/1984
-9.26 2 2/1/2001 3/1/2001
-8.61 2 2/1/1994 3/1/1994
-8.51 3 1/1/1977 3/1/1977
-8.10 2 9/1/1979 10/1/1979
-7.45 4 12/1/1981 3/1/1982
-7.30 1 8/1/1997 8/1/1997
-6.89 1 9/1/1986 9/1/1986
-6.33 1 10/1/1997 10/1/1997
-6.20 1 7/1/1986 7/1/1986
-5.91 1 1/1/1990 1/1/1990
-5.68 1 11/1/1991 11/1/1991
-5.63 1 5/1/1984 5/1/1984
-5.33 2 3/1/2005 4/1/2005
-5.14 2 7/1/1988 8/1/1988
-5.07 1 11/1/2000 11/1/2000
-5.03 1 9/1/2000 9/1/2000
-4.69 3 5/1/1982 7/1/1982
-4.64 2 12/1/1980 1/1/1981
-4.62 2 4/1/1979 5/1/1979
-4.55 1 9/1/1999 9/1/1999
-4.34 3 4/1/2000 6/1/2000
-4.32 1 11/1/1994 11/1/1994
-4.31 1 8/1/2010 8/1/2010
-4.28 1 3/1/1997 3/1/1997
-4.03 1 3/1/1988 3/1/1988
-4.02 1 8/1/1992 8/1/1992
-3.99 1 6/1/1991 6/1/1991
-3.75 1 6/1/2001 6/1/2001
-3.74 3 3/1/2004 5/1/2004
-3.62 1 2/1/1979 2/1/1979
-3.58 1 2/1/1989 2/1/1989
-3.55 1 6/1/1994 6/1/1994
-3.46 1 1/1/2010 1/1/2010
-3.37 2 9/1/1989 10/1/1989
-3.05 2 6/1/2007 7/1/2007
-3.05 1 5/1/1977 5/1/1977
-2.88 1 7/1/1999 7/1/1999
-2.83 1 7/1/2004 7/1/2004
-2.80 1 2/1/2007 2/1/2007
-2.72 1 1/1/2005 1/1/2005
-2.63 1 9/1/1993 9/1/1993
-2.58 1 6/1/1978 6/1/1978
-2.31 1 6/1/1992 6/1/1992
-2.23 3 2/1/1985 4/1/1985
-2.22 1 7/1/1996 7/1/1996
-2.14 1 5/1/1983 5/1/1983
-2.13 1 5/1/1999 5/1/1999
-2.08 1 8/1/1995 8/1/1995
-1.91 2 5/1/2006 6/1/2006
-1.90 1 4/1/1986 4/1/1986
-1.86 1 4/1/1990 4/1/1990
-1.86 1 7/1/1983 7/1/1983
-1.84 1 6/1/2005 6/1/2005
-1.80 1 5/1/1998 5/1/1998
-1.79 1 9/1/1994 9/1/1994
-1.62 1 6/1/1989 6/1/1989
-1.59 1 11/1/1988 11/1/1988
-1.53 1 11/1/1984 11/1/1984
-1.51 1 7/1/1984 7/1/1984
-1.50 1 8/1/2005 8/1/2005
-1.49 1 9/1/2003 9/1/2003
-1.44 1 9/1/1984 9/1/1984
-1.44 2 9/1/2004 10/1/2004
-1.40 2 8/1/1985 9/1/1985
-1.39 1 10/1/1992 10/1/1992
-1.22 1 10/1/2005 10/1/2005
-1.16 3 8/1/1980 10/1/1980
-1.13 1 12/1/1996 12/1/1996
-1.01 1 1/1/2002 1/1/2002
-1.01 1 11/1/2010 11/1/2010
-0.99 1 3/1/1992 3/1/1992
-0.95 1 12/1/1986 12/1/1986
-0.89 1 4/1/1991 4/1/1991
-0.88 1 9/1/1991 9/1/1991
-0.82 1 12/1/2005 12/1/2005
-0.80 1 4/1/1987 4/1/1987
-0.70 1 10/1/1995 10/1/1995
-0.64 1 10/1/1983 10/1/1983
-0.63 1 6/1/2009 6/1/2009
-0.56 1 9/1/1982 9/1/1982
-0.56 1 2/1/1999 2/1/1999
-0.32 1 4/1/1996 4/1/1996
-0.32 1 6/1/1993 6/1/1993
-0.22 1 4/1/1993 4/1/1993
-0.19 1 11/1/2003 11/1/2003
-0.12 1 12/1/1992 12/1/1992
-0.06 1 5/1/1988 5/1/1988
-0.02 1 1/1/1998 1/1/1998
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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 Profitable58.2364.4467.9173.2375.9080.2181.9982.7884.77
Average Period Return0.692.124.319.0814.0718.9131.3046.3163.30
Average Gain3.496.5110.1816.6022.4927.1441.4757.8776.04
Average Loss-3.22-5.82-8.12-11.50-12.43-14.48-14.97-9.24-7.58
Best Period13.8222.6536.8850.5073.4699.62130.62149.67218.09
Worst Period-23.22-31.15-38.81-42.42-47.12-42.43-35.75-34.40-33.27
Standard Deviation4.427.7811.3116.7921.1024.8533.1142.5954.06
Gain Standard Deviation2.674.697.4911.8715.9919.8827.3137.4748.71
Loss Standard Deviation3.265.687.239.4310.7511.338.737.146.83
Sharpe Ratio (1%)0.140.240.340.480.600.680.850.991.08
Average Gain / Average Loss1.091.121.251.441.811.872.776.2710.04
Profit / Loss Ratio1.512.032.653.955.707.6012.6130.1155.87
Downside Deviation (10%)3.155.397.279.8711.2512.2713.9014.0015.38
Downside Deviation (5%)2.994.956.368.098.628.888.486.265.63
Downside Deviation (0%)2.954.846.157.688.058.167.344.833.96
Sortino Ratio (10%)0.090.170.250.410.580.711.121.772.32
Sortino Ratio (5%)0.200.380.601.001.461.903.336.7410.34
Sortino Ratio (0%)0.230.440.701.181.752.324.269.5915.97

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.