United States Index : 30-Years Bond

Year-to-Date
31.35%
Oct Performance
13.03%
16.92%
Annualized Vol
-0.11
Sharpe (RFR=1%)
-2.03%
CAROR
-91.98
Worst DD
0.06
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
-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
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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
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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
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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.