United States Index : 30-Years Bond Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 32.56% Feb Performance 17.44% 16.92% Annualized Vol -0.11 Sharpe (RFR=1%) -2.03% CAROR -91.98 Worst DD 0.06 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 -82.29 327 - 9/1/1981 12/1/2008 -18.85 3 5 3/1/1980 6/1/1980 -4.32 1 2 4/1/1981 5/1/1981 -4.23 2 3 4/1/1979 6/1/1979 -2.82 2 4 4/1/1977 6/1/1977 -2.76 1 2 11/1/1980 12/1/1980 -2.47 1 1 2/1/1981 3/1/1981 -1.86 2 2 6/1/1978 8/1/1978 -1.23 1 1 12/1/1978 1/1/1979 -0.98 1 2 10/1/1979 11/1/1979 -0.79 1 1 10/1/1978 11/1/1978 -0.66 1 1 2/1/1979 3/1/1979 -0.13 1 1 1/1/0001 3/1/1977 Show More Consecutive Gains Run-up Length (Mos.) Start End 38.29 2 1/1/2009 2/1/2009 24.08 2 6/1/2003 7/1/2003 23.32 5 7/1/1980 11/1/1980 22.35 5 2/1/1994 6/1/1994 22.00 4 12/1/1979 3/1/1980 21.91 2 4/1/2009 5/1/2009 20.32 8 12/1/1998 7/1/1999 17.49 4 2/1/1984 5/1/1984 17.48 5 1/1/1996 5/1/1996 16.31 4 6/1/1981 9/1/1981 16.15 3 9/1/2010 11/1/2010 15.78 3 3/1/2006 5/1/2006 15.64 3 3/1/1987 5/1/1987 15.40 4 7/1/1979 10/1/1979 15.22 4 5/1/1983 8/1/1983 15.04 3 7/1/1987 9/1/1987 13.92 5 12/1/1989 4/1/1990 12.53 2 11/1/2001 12/1/2001 11.92 2 4/1/2004 5/1/2004 11.74 2 9/1/2005 10/1/2005 10.85 3 3/1/1988 5/1/1988 10.74 1 12/1/2009 12/1/2009 10.09 7 12/1/1977 6/1/1978 9.28 2 4/1/2008 5/1/2008 8.77 4 1/1/1992 4/1/1992 8.37 2 10/1/2002 11/1/2002 8.26 2 1/1/1981 2/1/1981 8.24 3 3/1/2001 5/1/2001 8.13 4 8/1/1994 11/1/1994 8.11 2 12/1/2006 1/1/2007 7.91 1 4/1/1981 4/1/1981 7.75 2 12/1/1981 1/1/1982 7.58 1 3/1/2002 3/1/2002 7.10 4 10/1/1999 1/1/2000 7.09 2 12/1/1996 1/1/1997 6.90 2 7/1/1990 8/1/1990 6.43 2 5/1/2007 6/1/2007 6.20 2 11/1/1993 12/1/1993 6.16 1 2/1/1985 2/1/1985 5.92 1 7/1/2005 7/1/2005 5.55 2 9/1/1986 10/1/1986 5.37 1 1/1/1983 1/1/1983 5.33 1 10/1/2003 10/1/2003 4.96 2 7/1/1988 8/1/1988 4.93 1 8/1/1997 8/1/1997 4.85 2 9/1/1978 10/1/1978 4.69 1 10/1/2009 10/1/2009 4.66 2 2/1/2010 3/1/2010 4.59 1 11/1/2004 11/1/2004 4.57 1 3/1/1997 3/1/1997 4.04 2 8/1/1989 9/1/1989 4.03 2 4/1/1986 5/1/1986 3.92 2 2/1/2005 3/1/2005 3.88 1 6/1/1982 6/1/1982 3.85 1 3/1/2007 3/1/2007 3.78 1 11/1/1988 11/1/1988 3.63 1 7/1/1995 7/1/1995 3.53 1 9/1/2000 9/1/2000 3.42 1 3/1/2003 3/1/2003 3.39 1 2/1/1989 2/1/1989 3.39 1 10/1/1992 10/1/1992 3.21 1 10/1/1998 10/1/1998 3.04 2 7/1/1996 8/1/1996 3.04 1 7/1/1986 7/1/1986 3.03 2 9/1/1977 10/1/1977 2.97 1 10/1/1983 10/1/1983 2.91 2 4/1/2000 5/1/2000 2.86 1 1/1/2006 1/1/2006 2.68 2 5/1/1991 6/1/1991 2.60 1 2/1/1979 2/1/1979 2.59 3 2/1/1998 4/1/1998 2.22 1 4/1/1979 4/1/1979 2.20 1 7/1/1985 7/1/1985 1.85 1 7/1/1977 7/1/1977 1.82 1 12/1/1978 12/1/1978 1.79 1 7/1/2010 7/1/2010 1.78 1 7/1/1998 7/1/1998 1.71 1 12/1/1983 12/1/1983 1.71 1 3/1/1983 3/1/1983 1.63 1 10/1/2008 10/1/2008 1.61 1 2/1/2008 2/1/2008 1.55 1 7/1/2008 7/1/2008 1.53 2 10/1/1991 11/1/1991 1.47 1 1/1/2001 1/1/2001 1.46 1 1/1/2003 1/1/2003 1.36 1 12/1/2007 12/1/2007 1.16 3 3/1/1993 5/1/1993 1.08 1 12/1/1986 12/1/1986 0.86 1 9/1/1985 9/1/1985 0.78 1 11/1/1987 11/1/1987 0.76 1 1/1/1986 1/1/1986 0.74 1 9/1/2001 9/1/2001 0.61 1 3/1/1991 3/1/1991 0.36 1 5/1/2002 5/1/2002 0.13 1 4/1/1977 4/1/1977 Show More Consecutive Losses Run-up Length (Mos.) Start End -38.44 2 11/1/2008 12/1/2008 -25.02 6 7/1/1982 12/1/1982 -20.34 2 2/1/1986 3/1/1986 -19.00 8 6/1/1984 1/1/1985 -18.85 3 4/1/1980 6/1/1980 -17.16 3 4/1/2010 6/1/2010 -17.04 7 12/1/1994 6/1/1995 -16.93 4 6/1/2002 9/1/2002 -15.01 2 10/1/1981 11/1/1981 -14.47 5 6/1/1993 10/1/1993 -14.23 5 7/1/2007 11/1/2007 -13.35 5 3/1/1989 7/1/1989 -13.27 5 8/1/1995 12/1/1995 -12.94 2 8/1/1998 9/1/1998 -12.48 6 6/1/2006 11/1/2006 -12.30 3 10/1/1985 12/1/1985 -12.12 5 9/1/1997 1/1/1998 -12.02 4 3/1/1985 6/1/1985 -11.53 3 4/1/2005 6/1/2005 -11.41 4 4/1/1997 7/1/1997 -11.31 1 8/1/2010 8/1/2010 -10.69 3 9/1/1996 11/1/1996 -10.47 5 6/1/2004 10/1/2004 -9.98 1 10/1/2001 10/1/2001 -9.92 2 4/1/2003 5/1/2003 -9.86 2 2/1/2000 3/1/2000 -9.80 2 8/1/2003 9/1/2003 -9.57 4 11/1/1992 2/1/1993 -8.90 6 9/1/1990 2/1/1991 -8.44 5 5/1/1992 9/1/1992 -8.38 2 12/1/2004 1/1/2005 -7.80 3 12/1/1987 2/1/1988 -7.76 1 10/1/1987 10/1/1987 -7.13 3 7/1/1991 9/1/1991 -7.09 3 6/1/2001 8/1/2001 -7.00 5 11/1/2003 3/1/2004 -6.98 3 10/1/2000 12/1/2000 -6.68 4 6/1/2009 9/1/2009 -6.68 1 12/1/1991 12/1/1991 -6.56 2 5/1/1990 6/1/1990 -6.52 2 8/1/2008 9/1/2008 -6.46 1 6/1/1986 6/1/1986 -6.12 2 9/1/1988 10/1/1988 -5.81 3 6/1/2000 8/1/2000 -5.55 2 5/1/1998 6/1/1998 -5.35 1 12/1/2002 12/1/2002 -5.27 1 2/1/2007 2/1/2007 -4.70 1 8/1/2005 8/1/2005 -4.62 1 6/1/1988 6/1/1988 -4.41 2 11/1/2005 12/1/2005 -4.37 1 2/1/1983 2/1/1983 -4.35 1 9/1/1983 9/1/1983 -4.32 1 5/1/1981 5/1/1981 -4.30 1 3/1/2009 3/1/2009 -4.23 2 5/1/1979 6/1/1979 -4.13 2 10/1/1989 11/1/1989 -3.95 1 4/1/2002 4/1/2002 -3.85 1 2/1/2006 2/1/2006 -3.82 1 6/1/2008 6/1/2008 -3.74 4 2/1/1982 5/1/1982 -3.61 1 2/1/2001 2/1/2001 -3.51 1 2/1/2003 2/1/2003 -3.35 1 8/1/1986 8/1/1986 -3.02 1 7/1/1994 7/1/1994 -2.90 1 4/1/1983 4/1/1983 -2.82 2 5/1/1977 6/1/1977 -2.80 1 1/1/2010 1/1/2010 -2.76 1 12/1/1980 12/1/1980 -2.63 1 11/1/1986 11/1/1986 -2.54 2 12/1/1988 1/1/1989 -2.49 1 3/1/2008 3/1/2008 -2.47 1 3/1/1981 3/1/1981 -2.47 1 1/1/2008 1/1/2008 -2.06 1 8/1/1985 8/1/1985 -1.89 1 1/1/1994 1/1/1994 -1.86 2 7/1/1978 8/1/1978 -1.62 1 6/1/1987 6/1/1987 -1.55 1 8/1/1977 8/1/1977 -1.36 1 11/1/1998 11/1/1998 -1.29 1 6/1/1996 6/1/1996 -1.28 2 1/1/2002 2/1/2002 -1.23 1 1/1/1979 1/1/1979 -1.18 1 11/1/2009 11/1/2009 -0.98 1 11/1/1979 11/1/1979 -0.93 1 11/1/1983 11/1/1983 -0.79 1 11/1/1978 11/1/1978 -0.76 1 1/1/1984 1/1/1984 -0.66 1 3/1/1979 3/1/1979 -0.66 2 8/1/1999 9/1/1999 -0.62 1 4/1/2007 4/1/2007 -0.49 1 4/1/1991 4/1/1991 -0.15 1 2/1/1997 2/1/1997 -0.13 2 1/1/1987 2/1/1987 -0.13 1 3/1/1977 3/1/1977 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods405.00403.00400.00394.00388.00382.00370.00358.00346.00 Percent Profitable47.1649.3847.0042.8940.7232.7223.2421.2316.76 Average Period Return-0.05-0.21-0.46-0.85-1.62-2.83-4.91-7.37-11.04 Average Gain3.455.728.4312.3414.0816.2823.8627.2427.39 Average Loss-3.25-6.14-8.34-10.76-12.46-12.17-13.62-16.70-18.77 Best Period33.8332.3460.2272.4945.3564.2276.4297.7983.51 Worst Period-22.92-37.44-40.62-39.69-47.56-46.92-40.88-47.95-51.22 Standard Deviation4.667.7310.7814.4516.2217.5920.9023.3821.73 Gain Standard Deviation3.585.167.3810.0610.5114.8222.9026.8423.45 Loss Standard Deviation2.984.916.207.799.049.429.199.539.99 Sharpe Ratio (1%)-0.03-0.06-0.09-0.13-0.19-0.27-0.38-0.49-0.74 Average Gain / Average Loss1.060.931.011.151.131.341.751.631.46 Profit / Loss Ratio0.970.930.900.860.780.650.530.440.29 Downside Deviation (10%)3.396.229.0813.3116.9820.0727.2335.3343.72 Downside Deviation (5%)3.215.657.8610.6512.7813.9316.6620.2723.62 Downside Deviation (0%)3.175.527.5610.0311.8212.5914.3917.0619.39 Sortino Ratio (10%)-0.14-0.23-0.32-0.44-0.54-0.65-0.76-0.82-0.88 Sortino Ratio (5%)-0.04-0.08-0.12-0.17-0.24-0.35-0.48-0.56-0.68 Sortino Ratio (0%)-0.02-0.04-0.06-0.08-0.14-0.22-0.34-0.43-0.57 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