United States Index : Nasdaq 100

Year-to-Date
38.68%
Aug Performance
11.05%
25.73%
Annualized Vol
0.58
Sharpe (RFR=1%)
12.49%
CAROR
-81.07
Worst DD
0.83
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
-81.07 30 - 3/1/2000 9/1/2002
-34.57 3 18 8/1/1987 11/1/1987
-27.64 4 4 6/1/1990 10/1/1990
-17.20 1 2 7/1/1998 8/1/1998
-15.73 4 4 5/1/1986 9/1/1986
-13.51 2 2 1/1/1997 3/1/1997
-13.48 6 3 2/1/1992 8/1/1992
-12.97 5 8 1/1/1994 6/1/1994
-10.80 4 4 9/1/1989 1/1/1990
-10.50 5 2 7/1/1997 12/1/1997
-9.49 1 2 1/1/1999 2/1/1999
-8.89 1 2 5/1/1991 6/1/1991
-8.26 3 4 1/1/1993 4/1/1993
-8.14 2 2 5/1/1996 7/1/1996
-4.64 1 2 5/1/1989 6/1/1989
-4.49 1 1 4/1/1998 5/1/1998
-3.77 2 2 10/1/1995 12/1/1995
-3.72 1 1 12/1/1999 1/1/2000
-2.64 1 1 10/1/1991 11/1/1991
-2.19 1 1 4/1/1999 5/1/1999
-2.11 1 1 2/1/1996 3/1/1996
-1.52 1 1 11/1/1996 12/1/1996
-1.13 1 1 6/1/1999 7/1/1999
-1.08 1 1 10/1/1993 11/1/1993
-0.65 1 1 3/1/1987 4/1/1987
-0.47 1 1 3/1/1991 4/1/1991
-0.16 1 1 5/1/1997 6/1/1997
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Consecutive Gains

Run-up Length (Mos.) Start End
86.54 5 9/1/1998 1/1/1999
63.27 5 8/1/1999 12/1/1999
53.89 7 3/1/2009 9/1/2009
53.52 5 11/1/1990 3/1/1991
48.11 10 1/1/1995 10/1/1995
41.29 7 11/1/1985 5/1/1986
36.60 2 10/1/2001 11/1/2001
36.43 7 2/1/2003 8/1/2003
34.06 2 10/1/2002 11/1/2002
31.57 3 1/1/1987 3/1/1987
31.13 4 8/1/1996 11/1/1996
28.30 5 12/1/1987 4/1/1988
25.97 4 1/1/1998 4/1/1998
23.83 5 9/1/1992 1/1/1993
23.19 2 2/1/2000 3/1/2000
21.45 3 12/1/1991 2/1/1992
20.30 2 4/1/1997 5/1/1997
20.20 2 9/1/2010 10/1/2010
18.67 4 8/1/2006 11/1/2006
18.44 4 9/1/2004 12/1/2004
17.92 1 4/1/2001 4/1/2001
16.73 3 3/1/1989 5/1/1989
16.46 3 3/1/2008 5/1/2008
15.89 3 8/1/2007 10/1/2007
15.86 2 5/1/1990 6/1/1990
15.64 1 7/1/1997 7/1/1997
15.54 2 6/1/1998 7/1/1998
15.07 4 7/1/1991 10/1/1991
14.91 3 2/1/2010 4/1/2010
14.53 4 10/1/2003 1/1/2004
13.56 2 4/1/1996 5/1/1996
13.39 4 5/1/1987 8/1/1987
13.23 1 6/1/2000 6/1/2000
12.97 1 8/1/2000 8/1/2000
12.20 1 1/1/1997 1/1/1997
11.59 2 11/1/2009 12/1/2009
10.97 2 3/1/1999 4/1/1999
10.80 3 8/1/1993 10/1/1993
10.73 1 1/1/2001 1/1/2001
10.66 3 7/1/1989 9/1/1989
10.44 2 7/1/1994 8/1/1994
10.22 2 12/1/1988 1/1/1989
9.91 1 6/1/1999 6/1/1999
9.79 4 3/1/2007 6/1/2007
9.05 1 6/1/1988 6/1/1988
8.58 1 5/1/2005 5/1/2005
8.29 1 5/1/1993 5/1/1993
8.23 2 5/1/2004 6/1/2004
8.09 2 1/1/1996 2/1/1996
7.60 2 10/1/1986 11/1/1986
7.47 1 7/1/2005 7/1/2005
7.18 1 7/1/2010 7/1/2010
7.04 2 12/1/1993 1/1/1994
6.89 1 3/1/2002 3/1/2002
5.91 1 11/1/2005 11/1/2005
5.82 1 5/1/1991 5/1/1991
5.55 2 2/1/1990 3/1/1990
4.90 1 9/1/1988 9/1/1988
4.87 1 10/1/1994 10/1/1994
4.84 1 8/1/1986 8/1/1986
3.98 1 1/1/2006 1/1/2006
3.21 1 7/1/1992 7/1/1992
3.03 1 11/1/1997 11/1/1997
2.41 1 5/1/1992 5/1/1992
2.36 1 3/1/1993 3/1/1993
2.18 1 12/1/2008 12/1/2008
2.15 1 9/1/1997 9/1/1997
2.01 1 1/1/2007 1/1/2007
1.98 1 3/1/2006 3/1/2006
1.93 2 7/1/2008 8/1/2008
1.68 1 6/1/2001 6/1/2001
1.50 1 5/1/1994 5/1/1994
1.26 1 9/1/2005 9/1/2005
0.82 1 11/1/1989 11/1/1989
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Consecutive Losses

Run-up Length (Mos.) Start End
-42.70 6 4/1/2002 9/1/2002
-42.57 4 9/1/2000 12/1/2000
-39.33 2 2/1/2001 3/1/2001
-36.68 3 9/1/2008 11/1/2008
-36.16 3 7/1/2001 9/1/2001
-34.57 3 9/1/1987 11/1/1987
-27.64 4 7/1/1990 10/1/1990
-24.42 2 4/1/2000 5/1/2000
-22.05 4 11/1/2007 2/1/2008
-17.20 1 8/1/1998 8/1/1998
-14.84 3 12/1/2001 2/1/2002
-13.51 2 2/1/1997 3/1/1997
-13.07 2 5/1/2010 6/1/2010
-12.36 4 1/1/2005 4/1/2005
-11.92 2 12/1/2002 1/1/2003
-11.40 4 4/1/2006 7/1/2006
-11.31 2 6/1/1986 7/1/1986
-10.99 2 3/1/1992 4/1/1992
-10.02 2 12/1/1989 1/1/1990
-9.84 3 2/1/1994 4/1/1994
-9.76 2 7/1/2004 8/1/2004
-9.62 1 6/1/2008 6/1/2008
-9.54 2 7/1/1988 8/1/1988
-9.49 1 2/1/1999 2/1/1999
-9.37 1 9/1/1986 9/1/1986
-8.89 1 6/1/1991 6/1/1991
-8.14 2 6/1/1996 7/1/1996
-7.81 2 1/1/2009 2/1/2009
-7.07 1 10/1/1997 10/1/1997
-6.41 1 1/1/2010 1/1/2010
-6.14 3 2/1/2004 4/1/2004
-5.68 1 12/1/1997 12/1/1997
-5.68 2 10/1/1988 11/1/1988
-5.42 1 4/1/1993 4/1/1993
-5.24 1 2/1/1993 2/1/1993
-5.18 1 8/1/2010 8/1/2010
-4.90 1 6/1/1994 6/1/1994
-4.64 1 6/1/1989 6/1/1989
-4.49 1 5/1/1998 5/1/1998
-4.46 1 6/1/1992 6/1/1992
-4.42 1 12/1/1986 12/1/1986
-4.14 2 6/1/1993 7/1/1993
-4.10 1 7/1/2000 7/1/2000
-3.77 2 11/1/1995 12/1/1995
-3.74 1 8/1/1992 8/1/1992
-3.72 1 1/1/2000 1/1/2000
-3.44 1 4/1/1990 4/1/1990
-3.18 1 6/1/2005 6/1/2005
-3.02 1 10/1/2009 10/1/2009
-2.98 1 8/1/1997 8/1/1997
-2.98 1 5/1/2001 5/1/2001
-2.80 1 9/1/2003 9/1/2003
-2.64 1 11/1/1991 11/1/1991
-2.35 1 2/1/2006 2/1/2006
-2.19 1 5/1/1999 5/1/1999
-2.13 2 11/1/1994 12/1/1994
-2.11 1 3/1/1996 3/1/1996
-1.92 1 12/1/2006 12/1/2006
-1.71 1 2/1/2007 2/1/2007
-1.67 1 10/1/1989 10/1/1989
-1.64 1 12/1/2005 12/1/2005
-1.52 1 12/1/1996 12/1/1996
-1.47 1 5/1/1988 5/1/1988
-1.46 1 8/1/2005 8/1/2005
-1.44 1 2/1/1989 2/1/1989
-1.40 1 10/1/2005 10/1/2005
-1.13 1 7/1/1999 7/1/1999
-1.08 1 11/1/1993 11/1/1993
-1.02 1 9/1/1994 9/1/1994
-0.65 1 4/1/1987 4/1/1987
-0.47 1 4/1/1991 4/1/1991
-0.34 1 11/1/2010 11/1/2010
-0.16 1 6/1/1997 6/1/1997
-0.11 1 7/1/2007 7/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods301.00299.00296.00290.00284.00278.00266.00254.00242.00
Percent Profitable59.4765.2269.5976.9076.4179.1478.2081.1078.10
Average Period Return1.273.877.6816.2625.7234.7158.5187.89123.41
Average Gain6.0511.5017.7228.7342.3152.2883.58116.81165.71
Average Loss-5.74-10.44-15.30-25.24-28.01-31.94-31.42-36.23-27.42
Best Period24.9853.9982.64121.63274.18274.21451.76621.32886.58
Worst Period-26.97-38.53-55.94-67.28-73.43-76.89-76.84-67.29-66.29
Standard Deviation7.6814.1220.6432.1245.6858.0786.05125.55174.14
Gain Standard Deviation4.769.3014.4023.8437.6951.3380.04122.13174.78
Loss Standard Deviation5.459.8712.9018.2321.5223.4625.1319.9820.04
Sharpe Ratio (1%)0.150.260.350.480.530.560.640.670.68
Average Gain / Average Loss1.051.101.161.141.511.642.663.226.04
Profit / Loss Ratio1.552.072.653.794.896.219.5413.8421.55
Downside Deviation (10%)5.228.9912.0916.9520.1922.0525.0326.8527.80
Downside Deviation (5%)5.068.5611.2215.3217.6918.8019.8519.5117.84
Downside Deviation (0%)5.038.4511.0114.9317.1118.0518.7217.9415.84
Sortino Ratio (10%)0.170.290.430.660.901.111.712.473.45
Sortino Ratio (5%)0.230.420.641.001.371.742.794.306.63
Sortino Ratio (0%)0.250.460.701.091.501.923.124.907.79

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.