United States Index : NYSE Composite

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

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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	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:

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Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	407.00	405.00	402.00	396.00	390.00	384.00	372.00	360.00	348.00
Percent Profitable	60.69	63.95	69.40	76.01	79.49	83.33	84.41	85.00	90.23
Average Period Return	0.71	2.21	4.47	9.31	14.31	19.03	31.16	44.93	59.67
Average Gain	3.39	6.61	10.08	16.31	21.96	26.60	40.55	55.30	67.09
Average Loss	-3.41	-5.59	-8.24	-12.85	-15.34	-18.84	-19.70	-13.83	-8.83
Best Period	12.65	30.04	43.89	54.57	57.71	71.35	111.33	137.43	190.42
Worst Period	-21.88	-33.20	-44.92	-48.48	-51.89	-49.40	-42.72	-36.94	-31.01
Standard Deviation	4.39	7.91	11.38	16.47	20.14	23.31	30.59	36.94	43.43
Gain Standard Deviation	2.53	4.78	7.27	10.67	13.48	16.44	22.83	29.61	39.00
Loss Standard Deviation	3.32	6.16	8.38	11.14	12.91	13.66	10.48	7.62	7.45
Sharpe Ratio (1%)	0.14	0.25	0.35	0.50	0.64	0.73	0.92	1.11	1.26
Average Gain / Average Loss	0.99	1.18	1.22	1.27	1.43	1.41	2.06	4.00	7.60
Profit / Loss Ratio	1.53	2.10	2.77	4.02	5.55	7.06	11.14	22.66	70.19
Downside Deviation (10%)	3.17	5.51	7.52	10.33	12.00	13.23	14.78	14.41	13.70
Downside Deviation (5%)	3.02	5.09	6.68	8.69	9.59	10.15	9.87	7.52	4.96
Downside Deviation (0%)	2.98	4.99	6.49	8.31	9.06	9.47	8.79	6.10	3.59
Sortino Ratio (10%)	0.10	0.18	0.27	0.42	0.56	0.66	1.04	1.62	2.34
Sortino Ratio (5%)	0.21	0.39	0.59	0.96	1.34	1.68	2.85	5.43	10.99
Sortino Ratio (0%)	0.24	0.44	0.69	1.12	1.58	2.01	3.54	7.36	16.63

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.

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United States Index : NYSE Composite

Growth of 1,000 - VAMI

Monthly Performance

Strategy Description

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

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United States Index : NYSE Composite

Growth of 1,000 - VAMI

Monthly Performance

Strategy Description

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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