United States Index : NYSE Composite Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 4.40% Dec Performance 3.70% 15.13% Annualized Vol 0.51 Sharpe (RFR=1%) 7.78% CAROR -55.22 Worst DD 0.98 S&P Correlation Add Alert Add to Blender Add to Portfolio Add to Watchlist 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 Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel