United States Index : NYSE Composite

Year-to-Date
6.23%
Aug Performance
4.66%
15.13%
Annualized Vol
0.51
Sharpe (RFR=1%)
7.78%
CAROR
-55.22
Worst DD
0.98
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 No

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
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

Composition

   

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
-55.22 16 - 10/1/2007 2/1/2009
-33.96 25 27 8/1/2000 9/1/2002
-29.69 3 20 8/1/1987 11/1/1987
-24.08 20 5 11/1/1980 7/1/1982
-16.96 2 4 6/1/1998 8/1/1998
-16.33 14 6 1/1/0001 2/1/1978
-15.62 5 4 5/1/1990 10/1/1990
-12.13 2 4 1/1/1980 3/1/1980
-11.45 2 8 8/1/1978 10/1/1978
-10.98 11 8 6/1/1983 5/1/1984
-8.87 2 6 12/1/1999 2/1/2000
-8.54 3 3 6/1/1999 9/1/1999
-8.21 5 9 1/1/1994 6/1/1994
-8.17 1 4 8/1/1986 9/1/1986
-7.52 2 3 8/1/1979 10/1/1979
-7.06 8 1 8/1/1989 4/1/1990
-5.61 1 1 6/1/1986 7/1/1986
-5.33 3 2 6/1/1985 9/1/1985
-4.86 1 1 7/1/1997 8/1/1997
-4.59 1 2 6/1/1996 7/1/1996
-4.47 1 2 5/1/1991 6/1/1991
-4.27 2 3 2/1/2005 4/1/2005
-4.25 2 2 5/1/2007 7/1/2007
-4.13 3 1 8/1/1991 11/1/1991
-4.08 1 1 2/1/1997 3/1/1997
-3.57 2 4 4/1/2006 6/1/2006
-3.24 1 1 9/1/1997 10/1/1997
-2.70 3 4 12/1/1991 3/1/1992
-2.62 1 1 9/1/2005 10/1/2005
-2.39 1 4 3/1/1993 4/1/1993
-2.33 1 1 1/1/1999 2/1/1999
-2.21 1 1 12/1/2004 1/1/2005
-2.20 1 3 7/1/1992 8/1/1992
-2.09 1 1 4/1/1998 5/1/1998
-1.90 1 1 4/1/1999 5/1/1999
-1.83 1 2 3/1/1987 4/1/1987
-1.77 1 2 10/1/1993 11/1/1993
-1.54 1 1 11/1/1996 12/1/1996
-1.41 1 1 3/1/1986 4/1/1986
-1.41 1 1 1/1/2007 2/1/2007
-1.17 1 1 9/1/1995 10/1/1995
-0.77 2 1 2/1/1985 4/1/1985
-0.64 1 1 8/1/1993 9/1/1993
-0.57 1 1 1/1/2006 2/1/2006
-0.20 1 1 4/1/1983 5/1/1983
-0.11 1 1 12/1/1997 1/1/1998
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Consecutive Gains

Run-up Length (Mos.) Start End
53.26 9 8/1/1982 4/1/1983
40.54 8 4/1/1980 11/1/1980
30.90 6 10/1/1985 3/1/1986
30.04 3 3/1/2009 5/1/2009
28.18 7 11/1/1990 5/1/1991
26.11 10 12/1/1994 9/1/1995
24.94 5 9/1/1998 1/1/1999
24.07 4 4/1/1997 7/1/1997
20.02 6 3/1/2003 8/1/2003
19.71 3 1/1/1987 3/1/1987
18.57 5 10/1/2003 2/1/2004
17.03 3 7/1/2009 9/1/2009
16.26 4 8/1/1996 11/1/1996
16.02 8 11/1/1995 6/1/1996
16.01 3 12/1/1987 2/1/1988
13.69 3 11/1/1979 1/1/1980
13.29 7 7/1/2006 1/1/2007
13.26 4 5/1/1987 8/1/1987
13.23 5 8/1/2004 12/1/2004
13.07 3 2/1/1998 4/1/1998
12.57 3 3/1/1978 5/1/1978
12.07 2 9/1/2010 10/1/2010
11.45 3 6/1/1979 8/1/1979
11.27 3 12/1/1984 2/1/1985
11.19 2 10/1/2002 11/1/2002
10.53 1 8/1/1984 8/1/1984
10.44 1 12/1/1991 12/1/1991
10.07 3 3/1/1989 5/1/1989
9.76 2 7/1/1989 8/1/1989
9.70 3 10/1/1999 12/1/1999
9.51 2 10/1/1981 11/1/1981
9.38 7 9/1/1992 3/1/1993
9.36 3 3/1/2007 5/1/2007
9.29 1 3/1/2000 3/1/2000
9.06 3 11/1/2005 1/1/2006
8.91 5 5/1/2005 9/1/2005
8.74 2 7/1/1978 8/1/1978
8.58 3 2/1/2010 4/1/2010
8.51 1 5/1/1990 5/1/1990
8.45 3 10/1/2001 12/1/2001
8.36 3 11/1/1978 1/1/1979
8.27 2 12/1/1988 1/1/1989
8.18 1 7/1/2010 7/1/2010
8.16 2 3/1/1999 4/1/1999
7.92 3 8/1/2007 10/1/2007
7.72 2 4/1/2001 5/1/2001
6.94 1 8/1/1986 8/1/1986
6.86 2 7/1/1994 8/1/1994
6.86 2 4/1/2008 5/1/2008
6.84 2 10/1/1986 11/1/1986
6.71 2 5/1/1985 6/1/1985
6.61 2 11/1/2009 12/1/2009
6.50 2 7/1/1991 8/1/1991
6.36 2 3/1/1979 4/1/1979
6.25 2 11/1/1997 12/1/1997
6.06 2 5/1/1986 6/1/1986
5.92 2 1/1/1997 2/1/1997
5.83 2 9/1/1988 10/1/1988
5.69 1 9/1/1997 9/1/1997
5.39 2 2/1/1981 3/1/1981
5.38 2 12/1/2000 1/1/2001
5.37 3 4/1/1988 6/1/1988
5.29 1 8/1/2000 8/1/2000
5.10 2 3/1/2006 4/1/2006
4.83 2 12/1/1993 1/1/1994
4.83 1 6/1/1977 6/1/1977
4.16 1 6/1/1999 6/1/1999
3.97 1 4/1/1982 4/1/1982
3.93 1 7/1/1992 7/1/1992
3.79 2 2/1/2002 3/1/2002
3.65 2 11/1/1977 12/1/1977
3.61 2 11/1/1989 12/1/1989
3.54 1 6/1/1983 6/1/1983
3.38 1 8/1/1993 8/1/1993
3.26 1 2/1/2005 2/1/2005
2.95 2 2/1/1990 3/1/1990
2.82 1 12/1/2008 12/1/2008
2.54 2 5/1/2004 6/1/2004
2.52 2 4/1/1992 5/1/1992
2.38 1 6/1/1998 6/1/1998
2.32 2 5/1/1993 6/1/1993
2.10 2 4/1/1994 5/1/1994
2.09 2 8/1/1983 9/1/1983
2.02 1 11/1/1983 11/1/1983
1.93 1 6/1/1984 6/1/1984
1.70 2 3/1/1984 4/1/1984
1.63 1 10/1/1993 10/1/1993
1.50 1 10/1/1991 10/1/1991
1.24 1 10/1/1994 10/1/1994
0.89 1 2/1/1992 2/1/1992
0.85 1 8/1/2002 8/1/2002
0.45 1 10/1/2000 10/1/2000
0.24 1 4/1/1977 4/1/1977
0.23 1 5/1/1981 5/1/1981
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.44 6 6/1/2008 11/1/2008
-29.69 3 9/1/1987 11/1/1987
-19.80 2 1/1/2009 2/1/2009
-18.16 4 4/1/2002 7/1/2002
-16.96 2 7/1/1998 8/1/1998
-15.62 5 6/1/1990 10/1/1990
-15.25 4 6/1/2001 9/1/2001
-14.69 5 11/1/2007 3/1/2008
-13.44 2 5/1/2010 6/1/2010
-12.98 4 6/1/1981 9/1/1981
-12.13 2 2/1/1980 3/1/1980
-12.06 4 12/1/1981 3/1/1982
-11.45 2 9/1/1978 10/1/1978
-10.24 2 2/1/2001 3/1/2001
-10.11 1 9/1/2002 9/1/2002
-9.94 3 12/1/2002 2/1/2003
-8.87 2 1/1/2000 2/1/2000
-8.54 3 7/1/1999 9/1/1999
-8.33 2 12/1/1980 1/1/1981
-8.30 3 5/1/1982 7/1/1982
-8.17 1 9/1/1986 9/1/1986
-8.08 4 7/1/1977 10/1/1977
-7.75 2 1/1/1978 2/1/1978
-7.52 3 1/1/1977 3/1/1977
-7.52 2 9/1/1979 10/1/1979
-7.50 2 2/1/1994 3/1/1994
-6.94 1 1/1/1990 1/1/1990
-5.98 3 12/1/1983 2/1/1984
-5.73 1 5/1/1984 5/1/1984
-5.61 1 7/1/1986 7/1/1986
-5.44 1 11/1/2000 11/1/2000
-5.33 3 7/1/1985 9/1/1985
-4.86 1 8/1/1997 8/1/1997
-4.59 1 7/1/1996 7/1/1996
-4.47 1 6/1/1991 6/1/1991
-4.27 2 3/1/2005 4/1/2005
-4.25 2 6/1/2007 7/1/2007
-4.21 1 8/1/2010 8/1/2010
-4.19 1 1/1/2010 1/1/2010
-4.08 1 3/1/1997 3/1/1997
-4.06 1 11/1/1991 11/1/1991
-4.00 2 7/1/1988 8/1/1988
-3.97 1 11/1/1994 11/1/1994
-3.78 2 3/1/2004 4/1/2004
-3.68 1 2/1/1979 2/1/1979
-3.60 2 9/1/1989 10/1/1989
-3.57 2 5/1/2006 6/1/2006
-3.24 1 10/1/1997 10/1/1997
-3.22 1 7/1/1983 7/1/1983
-3.03 1 7/1/2004 7/1/2004
-2.87 1 4/1/1990 4/1/1990
-2.81 1 6/1/1994 6/1/1994
-2.80 1 12/1/1986 12/1/1986
-2.62 1 10/1/2005 10/1/2005
-2.57 1 3/1/1988 3/1/1988
-2.48 1 2/1/1989 2/1/1989
-2.48 1 10/1/2009 10/1/2009
-2.47 1 9/1/1994 9/1/1994
-2.39 1 4/1/1993 4/1/1993
-2.39 1 5/1/1979 5/1/1979
-2.33 1 2/1/1999 2/1/1999
-2.21 1 1/1/2005 1/1/2005
-2.20 1 8/1/1992 8/1/1992
-2.17 1 3/1/1992 3/1/1992
-2.09 1 5/1/1998 5/1/1998
-2.05 1 5/1/1977 5/1/1977
-2.03 1 10/1/1983 10/1/1983
-1.98 1 6/1/1992 6/1/1992
-1.94 1 11/1/1988 11/1/1988
-1.92 1 1/1/2002 1/1/2002
-1.90 1 5/1/1999 5/1/1999
-1.87 1 7/1/1984 7/1/1984
-1.87 1 4/1/1981 4/1/1981
-1.83 1 4/1/1987 4/1/1987
-1.77 1 11/1/1993 11/1/1993
-1.70 1 9/1/2000 9/1/2000
-1.65 1 6/1/2009 6/1/2009
-1.63 3 9/1/1984 11/1/1984
-1.58 1 6/1/1978 6/1/1978
-1.55 1 9/1/1991 9/1/1991
-1.54 1 12/1/1996 12/1/1996
-1.41 1 1/1/1992 1/1/1992
-1.41 1 4/1/1986 4/1/1986
-1.41 1 2/1/2007 2/1/2007
-1.17 1 10/1/1995 10/1/1995
-1.10 1 11/1/2010 11/1/2010
-1.09 4 4/1/2000 7/1/2000
-0.77 2 3/1/1985 4/1/1985
-0.64 1 9/1/1993 9/1/1993
-0.57 1 2/1/2006 2/1/2006
-0.53 1 6/1/1989 6/1/1989
-0.28 1 9/1/2003 9/1/2003
-0.24 1 7/1/1993 7/1/1993
-0.20 1 5/1/1983 5/1/1983
-0.11 1 1/1/1998 1/1/1998
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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 Profitable60.6963.9569.4076.0179.4983.3384.4185.0090.23
Average Period Return0.712.214.479.3114.3119.0331.1644.9359.67
Average Gain3.396.6110.0816.3121.9626.6040.5555.3067.09
Average Loss-3.41-5.59-8.24-12.85-15.34-18.84-19.70-13.83-8.83
Best Period12.6530.0443.8954.5757.7171.35111.33137.43190.42
Worst Period-21.88-33.20-44.92-48.48-51.89-49.40-42.72-36.94-31.01
Standard Deviation4.397.9111.3816.4720.1423.3130.5936.9443.43
Gain Standard Deviation2.534.787.2710.6713.4816.4422.8329.6139.00
Loss Standard Deviation3.326.168.3811.1412.9113.6610.487.627.45
Sharpe Ratio (1%)0.140.250.350.500.640.730.921.111.26
Average Gain / Average Loss0.991.181.221.271.431.412.064.007.60
Profit / Loss Ratio1.532.102.774.025.557.0611.1422.6670.19
Downside Deviation (10%)3.175.517.5210.3312.0013.2314.7814.4113.70
Downside Deviation (5%)3.025.096.688.699.5910.159.877.524.96
Downside Deviation (0%)2.984.996.498.319.069.478.796.103.59
Sortino Ratio (10%)0.100.180.270.420.560.661.041.622.34
Sortino Ratio (5%)0.210.390.590.961.341.682.855.4310.99
Sortino Ratio (0%)0.240.440.691.121.582.013.547.3616.63

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.