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United States Index : Biotech

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Year-to-Date
12.57%
Aug Performance
0.90%
37.06%
Annualized Vol
0.55
Sharpe (RFR=1%)
17.05%
CAROR
-68.51
Worst DD
0.44
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

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
-68.51 31 - 2/1/2000 9/1/2002
-25.46 11 2 9/1/1997 8/1/1998
-18.82 2 6 5/1/1996 7/1/1996
-17.72 2 5 2/1/1997 4/1/1997
-8.77 1 2 3/1/1999 4/1/1999
-6.20 1 2 8/1/1999 9/1/1999
-5.86 1 1 1/1/1999 2/1/1999
-5.80 1 1 2/1/1996 3/1/1996
-5.21 3 1 10/1/1995 1/1/1996
-4.49 1 1 4/1/1995 5/1/1995
-1.96 1 1 7/1/1995 8/1/1995
-1.87 1 1 1/1/1995 2/1/1995
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Consecutive Gains

Run-up Length (Mos.) Start End
150.47 5 10/1/1999 2/1/2000
104.51 2 4/1/1996 5/1/1996
89.05 5 9/1/1998 1/1/1999
42.45 3 3/1/2003 5/1/2003
38.23 4 5/1/1999 8/1/1999
32.20 3 4/1/2001 6/1/2001
31.38 1 6/1/2000 6/1/2000
27.40 2 10/1/2001 11/1/2001
24.32 6 11/1/2009 4/1/2010
21.68 2 6/1/1995 7/1/1995
21.36 5 5/1/2005 9/1/2005
21.31 1 8/1/2000 8/1/2000
20.24 3 5/1/2009 7/1/2009
20.00 2 10/1/2002 11/1/2002
15.70 2 3/1/1995 4/1/1995
15.67 1 7/1/2008 7/1/2008
15.65 3 12/1/1996 2/1/1997
14.74 1 5/1/1997 5/1/1997
14.71 2 8/1/1996 9/1/1996
14.22 2 9/1/2010 10/1/2010
13.92 4 11/1/2005 2/1/2006
13.72 3 8/1/2007 10/1/2007
12.16 3 12/1/2003 2/1/2004
12.06 2 2/1/1998 3/1/1998
10.55 2 11/1/2004 12/1/2004
10.21 2 7/1/2003 8/1/2003
10.02 1 9/1/1997 9/1/1997
9.80 1 3/1/1999 3/1/1999
9.02 2 10/1/2006 11/1/2006
8.79 1 2/1/1996 2/1/1996
8.33 1 4/1/2007 4/1/2007
8.25 1 12/1/2008 12/1/2008
7.39 2 9/1/1995 10/1/1995
5.37 1 3/1/2009 3/1/2009
4.74 2 4/1/2008 5/1/2008
4.51 1 7/1/2010 7/1/2010
4.22 1 1/1/1995 1/1/1995
3.99 2 8/1/2004 9/1/2004
3.84 1 9/1/2009 9/1/2009
3.72 1 3/1/2002 3/1/2002
3.40 1 12/1/2000 12/1/2000
3.34 1 7/1/1997 7/1/1997
3.03 1 7/1/1998 7/1/1998
2.96 1 8/1/2006 8/1/2006
2.47 1 1/1/2007 1/1/2007
1.03 1 8/1/2001 8/1/2001
0.65 1 7/1/2002 7/1/2002
0.47 1 4/1/2004 4/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-37.27 3 3/1/2000 5/1/2000
-34.01 3 4/1/2002 6/1/2002
-29.32 3 1/1/2001 3/1/2001
-26.57 4 8/1/2008 11/1/2008
-23.05 3 9/1/2000 11/1/2000
-21.98 1 8/1/1998 8/1/1998
-21.25 3 12/1/2001 2/1/2002
-18.82 2 6/1/1996 7/1/1996
-17.72 2 3/1/1997 4/1/1997
-15.85 4 1/1/2005 4/1/2005
-15.41 1 9/1/2001 9/1/2001
-14.97 2 5/1/2010 6/1/2010
-14.79 5 3/1/2006 7/1/2006
-14.24 1 7/1/2001 7/1/2001
-14.08 3 12/1/2002 2/1/2003
-12.44 5 11/1/2007 3/1/2008
-12.10 3 5/1/2004 7/1/2004
-11.69 4 10/1/1997 1/1/1998
-11.18 2 1/1/2009 2/1/2009
-9.87 1 10/1/2009 10/1/2009
-9.43 2 8/1/2002 9/1/2002
-8.77 1 4/1/1999 4/1/1999
-7.66 1 7/1/2000 7/1/2000
-6.82 3 5/1/2007 7/1/2007
-6.29 3 4/1/1998 6/1/1998
-6.20 1 9/1/1999 9/1/1999
-6.14 3 9/1/2003 11/1/2003
-5.86 1 2/1/1999 2/1/1999
-5.80 1 3/1/1996 3/1/1996
-5.21 3 11/1/1995 1/1/1996
-5.03 2 2/1/2007 3/1/2007
-4.49 1 5/1/1995 5/1/1995
-4.14 2 10/1/1996 11/1/1996
-3.83 1 10/1/2005 10/1/2005
-3.56 1 6/1/1997 6/1/1997
-2.99 1 6/1/2008 6/1/2008
-2.91 1 12/1/2006 12/1/2006
-2.86 1 8/1/2010 8/1/2010
-2.72 1 10/1/2004 10/1/2004
-2.70 1 8/1/1997 8/1/1997
-2.17 1 11/1/2010 11/1/2010
-1.96 1 8/1/1995 8/1/1995
-1.87 1 2/1/1995 2/1/1995
-1.57 1 6/1/2003 6/1/2003
-1.20 1 4/1/2009 4/1/2009
-0.32 1 8/1/2009 8/1/2009
-0.23 1 3/1/2004 3/1/2004
0.00 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods191.00189.00186.00180.00174.00168.00156.00144.00132.00
Percent Profitable50.7959.2660.7563.3366.6771.4369.8781.2577.27
Average Period Return1.634.969.2320.1631.2640.0756.8583.73117.65
Average Gain8.5115.1622.4941.5756.5865.3190.53108.84158.71
Average Loss-5.46-9.89-11.29-16.82-19.38-23.04-21.27-25.08-21.98
Best Period97.01118.08134.94225.32478.98434.53338.37764.541162.11
Worst Period-25.75-37.27-43.88-49.67-52.97-64.65-67.53-49.25-52.98
Standard Deviation11.4320.4226.5345.2367.1180.2192.30137.04218.19
Gain Standard Deviation11.6720.0925.3243.1668.4281.4091.18140.43232.81
Loss Standard Deviation5.128.1110.4214.2617.5919.6516.3813.0713.60
Sharpe Ratio (1%)0.140.230.330.420.440.470.580.580.52
Average Gain / Average Loss1.561.531.992.472.922.834.264.347.22
Profit / Loss Ratio1.612.233.084.275.847.099.8718.8024.56
Downside Deviation (10%)5.458.7610.7915.7718.6120.7722.5922.5025.72
Downside Deviation (5%)5.288.269.8213.7815.7116.9516.0413.8114.41
Downside Deviation (0%)5.248.149.5913.3115.0516.1214.6812.2012.26
Sortino Ratio (10%)0.220.430.630.961.271.441.822.763.50
Sortino Ratio (5%)0.290.570.891.391.892.253.365.777.81
Sortino Ratio (0%)0.310.610.961.512.082.493.876.869.59

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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