United States Index : 30 Industrials Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 12.82% May Performance 1.93% 15.22% Annualized Vol 0.53 Sharpe (RFR=1%) 7.45% CAROR -49.30 Worst DD 0.95 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 -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 Show More 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 Show More 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 Show More 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