United States Index : 5-Year Note

Year-to-Date
77.50%
Oct Performance
40.07%
30.57%
Annualized Vol
0.03
Sharpe (RFR=1%)
-3.96%
CAROR
-98.63
Worst DD
0.11
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
-92.75 349 - 9/1/1981 10/1/2010
-29.67 4 8 2/1/1980 6/1/1980
-7.32 2 2 10/1/1979 12/1/1979
-6.52 2 2 4/1/1979 6/1/1979
-4.01 4 1 2/1/1977 6/1/1977
-3.97 1 3 12/1/1978 1/1/1979
-3.18 1 2 4/1/1981 5/1/1981
-2.69 1 1 2/1/1981 3/1/1981
-2.40 1 1 10/1/1978 11/1/1978
-1.28 1 1 7/1/1977 8/1/1977
-1.08 1 1 10/1/1977 11/1/1977
-0.94 2 1 6/1/1978 8/1/1978
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Consecutive Gains

Run-up Length (Mos.) Start End
53.29 3 4/1/2009 6/1/2009
51.98 3 6/1/2003 8/1/2003
38.72 5 2/1/1994 6/1/1994
38.61 5 7/1/1980 11/1/1980
38.06 2 4/1/2008 5/1/2008
37.05 3 4/1/2004 6/1/2004
33.83 1 12/1/2009 12/1/2009
30.32 2 1/1/2009 2/1/2009
29.87 2 1/1/1980 2/1/1980
28.15 4 7/1/1979 10/1/1979
26.53 4 2/1/1996 5/1/1996
26.36 2 10/1/2002 11/1/2002
24.50 3 11/1/2001 1/1/2002
23.73 1 11/1/2010 11/1/2010
23.22 5 10/1/1998 2/1/1999
21.46 3 3/1/1987 5/1/1987
21.34 4 2/1/1984 5/1/1984
19.33 4 5/1/1983 8/1/1983
18.79 2 10/1/2003 11/1/2003
17.03 3 1/1/1992 3/1/1992
16.97 6 1/1/2006 6/1/2006
16.89 2 10/1/1992 11/1/1992
16.80 5 12/1/1989 4/1/1990
16.49 5 8/1/1994 12/1/1994
16.30 4 6/1/1981 9/1/1981
16.15 4 12/1/1996 3/1/1997
16.15 4 10/1/1999 1/1/2000
15.52 5 4/1/1999 8/1/1999
15.51 3 1/1/2005 3/1/2005
15.49 7 12/1/1977 6/1/1978
15.07 1 3/1/2002 3/1/2002
14.99 2 9/1/2005 10/1/2005
14.84 3 7/1/1987 9/1/1987
14.27 3 3/1/1988 5/1/1988
13.87 2 1/1/1977 2/1/1977
12.46 1 11/1/2004 11/1/2004
12.28 1 3/1/2010 3/1/2010
11.34 2 12/1/1981 1/1/1982
10.75 1 7/1/2005 7/1/2005
10.58 2 8/1/1989 9/1/1989
9.29 2 1/1/1981 2/1/1981
9.29 2 5/1/2007 6/1/2007
9.20 2 11/1/1988 12/1/1988
9.07 1 5/1/1986 5/1/1986
9.06 1 9/1/1986 9/1/1986
8.81 2 4/1/2001 5/1/2001
8.79 2 9/1/1978 10/1/1978
8.56 3 10/1/1993 12/1/1993
8.56 2 12/1/2006 1/1/2007
8.42 1 1/1/2003 1/1/2003
7.92 1 4/1/1981 4/1/1981
7.24 1 2/1/1985 2/1/1985
7.20 2 9/1/1977 10/1/1977
6.47 1 6/1/1982 6/1/1982
6.42 2 7/1/1988 8/1/1988
5.43 1 8/1/1997 8/1/1997
4.96 2 2/1/1989 3/1/1989
4.93 1 7/1/1977 7/1/1977
4.65 2 2/1/1998 3/1/1998
4.55 1 8/1/1990 8/1/1990
4.48 1 3/1/1983 3/1/1983
4.47 1 5/1/1993 5/1/1993
4.25 1 12/1/1978 12/1/1978
4.02 2 7/1/1996 8/1/1996
3.80 1 2/1/1979 2/1/1979
3.75 2 3/1/2003 4/1/2003
3.54 2 5/1/1991 6/1/1991
3.48 1 4/1/2000 4/1/2000
3.42 1 7/1/1985 7/1/1985
3.02 1 7/1/1995 7/1/1995
2.41 1 12/1/1986 12/1/1986
2.18 1 1/1/1983 1/1/1983
2.18 1 7/1/1993 7/1/1993
1.93 1 11/1/1997 11/1/1997
1.91 1 3/1/1982 3/1/1982
1.85 1 12/1/1983 12/1/1983
1.74 1 4/1/1979 4/1/1979
1.70 1 10/1/1983 10/1/1983
1.51 1 9/1/2004 9/1/2004
1.44 2 2/1/1991 3/1/1991
0.92 1 7/1/1998 7/1/1998
0.89 1 3/1/2007 3/1/2007
0.88 1 12/1/2007 12/1/2007
0.72 1 11/1/1987 11/1/1987
0.58 1 3/1/1993 3/1/1993
0.47 1 1/1/1986 1/1/1986
0.14 1 3/1/1995 3/1/1995
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Consecutive Losses

Run-up Length (Mos.) Start End
-54.55 7 6/1/2008 12/1/2008
-53.91 7 4/1/2010 10/1/2010
-46.36 6 4/1/2002 9/1/2002
-31.13 6 7/1/1982 12/1/1982
-30.77 5 7/1/2007 11/1/2007
-30.69 11 5/1/2000 3/1/2001
-29.67 4 3/1/1980 6/1/1980
-28.95 5 6/1/2001 10/1/2001
-28.41 3 1/1/2008 3/1/2008
-24.94 6 7/1/1991 12/1/1991
-23.27 2 8/1/1998 9/1/1998
-23.20 6 4/1/1992 9/1/1992
-21.73 8 6/1/1984 1/1/1985
-21.48 5 7/1/2009 11/1/2009
-21.39 2 10/1/1981 11/1/1981
-20.67 4 4/1/1989 7/1/1989
-18.26 1 9/1/2003 9/1/2003
-18.16 3 6/1/1986 8/1/1986
-18.05 1 5/1/2003 5/1/2003
-17.33 1 3/1/2009 3/1/2009
-17.01 4 12/1/2003 3/1/2004
-16.45 4 3/1/1985 6/1/1985
-16.37 3 12/1/1992 2/1/1993
-16.26 1 12/1/2002 12/1/2002
-15.94 3 2/1/1986 4/1/1986
-15.44 3 4/1/1995 6/1/1995
-15.24 2 1/1/2010 2/1/2010
-14.93 5 8/1/1985 12/1/1985
-14.80 6 8/1/1995 1/1/1996
-13.39 3 9/1/1996 11/1/1996
-12.94 5 7/1/2006 11/1/2006
-12.87 4 4/1/1997 7/1/1997
-12.86 2 7/1/2004 8/1/2004
-10.79 3 4/1/2005 6/1/2005
-10.35 5 9/1/1990 1/1/1991
-10.08 2 1/1/1995 2/1/1995
-10.07 3 5/1/1990 7/1/1990
-9.80 1 2/1/2003 2/1/2003
-9.37 3 12/1/1987 2/1/1988
-9.12 1 10/1/1987 10/1/1987
-8.05 2 9/1/1997 10/1/1997
-7.56 2 12/1/1997 1/1/1998
-7.42 2 10/1/1989 11/1/1989
-7.32 2 11/1/1979 12/1/1979
-7.17 2 8/1/1993 9/1/1993
-6.64 1 2/1/2007 2/1/2007
-6.52 2 5/1/1979 6/1/1979
-6.48 2 9/1/1988 10/1/1988
-6.07 1 8/1/2005 8/1/2005
-5.96 1 6/1/1993 6/1/1993
-5.38 2 2/1/2000 3/1/2000
-5.00 1 9/1/1983 9/1/1983
-4.73 2 10/1/1986 11/1/1986
-4.66 1 2/1/1983 2/1/1983
-4.38 2 4/1/1982 5/1/1982
-4.35 1 2/1/2002 2/1/2002
-4.19 1 12/1/1980 12/1/1980
-4.01 4 3/1/1977 6/1/1977
-3.97 1 1/1/1979 1/1/1979
-3.80 1 4/1/1983 4/1/1983
-3.67 1 6/1/1988 6/1/1988
-3.65 1 1/1/1994 1/1/1994
-3.20 3 4/1/1998 6/1/1998
-3.18 1 5/1/1981 5/1/1981
-3.17 1 7/1/1994 7/1/1994
-2.69 1 3/1/1981 3/1/1981
-2.56 1 6/1/1996 6/1/1996
-2.43 1 12/1/2004 12/1/2004
-2.40 1 11/1/1978 11/1/1978
-2.37 1 10/1/2004 10/1/2004
-2.12 1 3/1/1999 3/1/1999
-2.04 1 9/1/1999 9/1/1999
-2.02 2 11/1/2005 12/1/2005
-1.99 1 1/1/1984 1/1/1984
-1.91 1 4/1/1993 4/1/1993
-1.60 1 6/1/1987 6/1/1987
-1.47 2 1/1/1987 2/1/1987
-1.29 1 4/1/1991 4/1/1991
-1.28 1 8/1/1977 8/1/1977
-1.08 1 3/1/1979 3/1/1979
-1.08 1 11/1/1977 11/1/1977
-0.94 2 7/1/1978 8/1/1978
-0.84 1 2/1/1982 2/1/1982
-0.66 1 1/1/1989 1/1/1989
-0.44 1 4/1/2007 4/1/2007
-0.26 1 11/1/1983 11/1/1983
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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 Profitable45.9552.5947.2646.9744.8741.6731.4531.6724.43
Average Period Return-0.08-0.36-0.74-1.29-2.07-3.32-5.39-8.21-13.50
Average Gain5.638.6413.3918.5422.9526.2437.1135.3428.68
Average Loss-5.00-10.36-13.47-18.94-22.44-24.43-24.89-28.40-27.14
Best Period35.9553.2965.1673.5563.0073.02121.59132.13127.90
Worst Period-31.21-48.16-53.59-55.07-68.62-67.02-71.70-74.18-73.48
Standard Deviation7.4512.7317.0922.8026.4729.9135.6737.7331.70
Gain Standard Deviation5.908.4510.2814.4814.5417.6127.5034.3431.07
Loss Standard Deviation4.698.5410.9111.6813.1715.5017.2915.8216.05
Sharpe Ratio (1%)-0.02-0.05-0.07-0.10-0.13-0.18-0.24-0.33-0.59
Average Gain / Average Loss1.130.830.990.981.021.071.491.241.06
Profit / Loss Ratio0.970.930.900.870.830.770.680.580.34
Downside Deviation (10%)5.229.9013.9819.3624.3629.0636.6743.6050.17
Downside Deviation (5%)5.049.3612.8316.7820.2823.4027.1729.8431.30
Downside Deviation (0%)5.009.2312.5416.1519.3022.0925.0726.8627.40
Sortino Ratio (10%)-0.09-0.16-0.23-0.32-0.40-0.47-0.58-0.68-0.82
Sortino Ratio (5%)-0.03-0.07-0.10-0.14-0.18-0.23-0.31-0.41-0.59
Sortino Ratio (0%)-0.02-0.04-0.06-0.08-0.11-0.15-0.21-0.31-0.49

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.