United States Index : 30 Industrials

Year-to-Date: 7.25%
Dec Performance: 3.27%

15.22%

Annualized Vol

0.53

Sharpe (RFR=1%)

7.45%

CAROR

-49.30

Worst DD

0.95

S&P Correlation

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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:

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Index: Chart Type:

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:

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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	407.00	405.00	402.00	396.00	390.00	384.00	372.00	360.00	348.00
Percent Profitable	58.23	64.44	67.91	73.23	75.90	80.21	81.99	82.78	84.77
Average Period Return	0.69	2.12	4.31	9.08	14.07	18.91	31.30	46.31	63.30
Average Gain	3.49	6.51	10.18	16.60	22.49	27.14	41.47	57.87	76.04
Average Loss	-3.22	-5.82	-8.12	-11.50	-12.43	-14.48	-14.97	-9.24	-7.58
Best Period	13.82	22.65	36.88	50.50	73.46	99.62	130.62	149.67	218.09
Worst Period	-23.22	-31.15	-38.81	-42.42	-47.12	-42.43	-35.75	-34.40	-33.27
Standard Deviation	4.42	7.78	11.31	16.79	21.10	24.85	33.11	42.59	54.06
Gain Standard Deviation	2.67	4.69	7.49	11.87	15.99	19.88	27.31	37.47	48.71
Loss Standard Deviation	3.26	5.68	7.23	9.43	10.75	11.33	8.73	7.14	6.83
Sharpe Ratio (1%)	0.14	0.24	0.34	0.48	0.60	0.68	0.85	0.99	1.08
Average Gain / Average Loss	1.09	1.12	1.25	1.44	1.81	1.87	2.77	6.27	10.04
Profit / Loss Ratio	1.51	2.03	2.65	3.95	5.70	7.60	12.61	30.11	55.87
Downside Deviation (10%)	3.15	5.39	7.27	9.87	11.25	12.27	13.90	14.00	15.38
Downside Deviation (5%)	2.99	4.95	6.36	8.09	8.62	8.88	8.48	6.26	5.63
Downside Deviation (0%)	2.95	4.84	6.15	7.68	8.05	8.16	7.34	4.83	3.96
Sortino Ratio (10%)	0.09	0.17	0.25	0.41	0.58	0.71	1.12	1.77	2.32
Sortino Ratio (5%)	0.20	0.38	0.60	1.00	1.46	1.90	3.33	6.74	10.34
Sortino Ratio (0%)	0.23	0.44	0.70	1.18	1.75	2.32	4.26	9.59	15.97

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.

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United States Index : 30 Industrials

Growth of 1,000 - VAMI

Monthly Performance

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Time Windows Analysis

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United States Index : 30 Industrials

Growth of 1,000 - VAMI

Monthly Performance

Strategy Description

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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