United States Index : Russell 2000

Year-to-Date
6.39%
Aug Performance
5.50%
19.96%
Annualized Vol
0.42
Sharpe (RFR=1%)
7.33%
CAROR
-54.08
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
-54.08 21 - 5/1/2007 2/1/2009
-37.59 36 11 2/1/2000 2/1/2003
-34.61 2 18 1/1/0001 11/1/1987
-33.32 13 7 9/1/1989 10/1/1990
-30.02 4 16 4/1/1998 8/1/1998
-12.67 2 5 5/1/1996 7/1/1996
-11.08 4 3 12/1/2004 4/1/2005
-10.69 4 5 2/1/1992 6/1/1992
-9.84 5 11 1/1/1994 6/1/1994
-8.44 4 3 3/1/2006 7/1/2006
-7.37 2 3 6/1/2004 8/1/2004
-7.28 2 2 1/1/1997 3/1/1997
-6.02 1 2 5/1/1991 6/1/1991
-5.27 2 3 9/1/1997 11/1/1997
-5.17 1 2 3/1/2004 4/1/2004
-4.88 3 3 7/1/2005 10/1/2005
-4.66 1 1 10/1/1991 11/1/1991
-4.55 1 2 9/1/1995 10/1/1995
-3.38 1 2 10/1/1993 11/1/1993
-2.85 1 1 3/1/1993 4/1/1993
-2.49 1 1 1/1/1993 2/1/1993
-2.40 1 1 5/1/1989 6/1/1989
-1.69 1 1 12/1/1999 1/1/2000
-0.88 1 1 1/1/2007 2/1/2007
-0.35 1 1 1/1/2006 2/1/2006
-0.19 1 1 12/1/1995 1/1/1996
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Consecutive Gains

Run-up Length (Mos.) Start End
55.33 7 3/1/2009 9/1/2009
43.91 5 11/1/1990 3/1/1991
37.97 6 3/1/2003 8/1/2003
32.48 6 4/1/1997 9/1/1997
29.82 5 12/1/1987 4/1/1988
26.42 5 9/1/1998 1/1/1999
25.74 8 2/1/1995 9/1/1995
21.04 6 10/1/2003 3/1/2004
20.82 5 9/1/1992 1/1/1993
20.79 6 12/1/1988 5/1/1989
20.75 3 9/1/2010 11/1/2010
20.66 3 10/1/2001 12/1/2001
19.72 3 12/1/1991 2/1/1992
19.03 3 2/1/2010 4/1/2010
18.91 4 9/1/2004 12/1/2004
18.13 3 10/1/1999 12/1/1999
17.32 3 5/1/2005 7/1/2005
16.68 4 3/1/1999 6/1/1999
16.42 1 2/1/2000 2/1/2000
16.39 6 5/1/1993 10/1/1993
14.73 4 2/1/1996 5/1/1996
14.24 6 8/1/2006 1/1/2007
13.99 2 12/1/2000 1/1/2001
13.79 3 4/1/2001 6/1/2001
12.29 3 2/1/1998 4/1/1998
12.17 2 10/1/2002 11/1/2002
11.13 2 11/1/2009 12/1/2009
10.38 4 7/1/1991 10/1/1991
9.62 2 8/1/1996 9/1/1996
9.05 3 3/1/2008 5/1/2008
8.91 1 1/1/2006 1/1/2006
8.80 2 3/1/2002 4/1/2002
8.62 1 6/1/2000 6/1/2000
8.48 3 11/1/1996 1/1/1997
7.44 1 8/1/2000 8/1/2000
7.23 2 7/1/2008 8/1/2008
7.09 2 7/1/1994 8/1/1994
7.02 1 6/1/1988 6/1/1988
6.98 2 5/1/1990 6/1/1990
6.79 1 7/1/2010 7/1/2010
6.79 3 3/1/2007 5/1/2007
6.76 2 2/1/1990 3/1/1990
6.69 3 8/1/2007 10/1/2007
6.66 2 11/1/1995 12/1/1995
6.44 3 7/1/1989 9/1/1989
6.43 2 12/1/1993 1/1/1994
5.67 2 5/1/2004 6/1/2004
5.56 1 12/1/2008 12/1/2008
4.74 1 11/1/2005 11/1/2005
4.72 1 3/1/2006 3/1/2006
4.53 1 5/1/1991 5/1/1991
3.27 1 7/1/1992 7/1/1992
3.06 1 3/1/1993 3/1/1993
2.50 1 12/1/1994 12/1/1994
2.30 1 9/1/1988 9/1/1988
1.65 1 12/1/1997 12/1/1997
1.61 1 2/1/2005 2/1/2005
1.15 1 5/1/1992 5/1/1992
0.59 1 4/1/1994 4/1/1994
0.51 1 6/1/2006 6/1/2006
0.50 2 11/1/1989 12/1/1989
0.19 1 9/1/2005 9/1/2005
0.17 1 6/1/1998 6/1/1998
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.02 3 9/1/2008 11/1/2008
-34.61 2 10/1/1987 11/1/1987
-29.74 4 7/1/1990 10/1/1990
-29.06 5 5/1/2002 9/1/2002
-26.11 2 7/1/1998 8/1/1998
-22.11 2 1/1/2009 2/1/2009
-21.02 3 7/1/2001 9/1/2001
-17.57 3 3/1/2000 5/1/2000
-17.13 4 11/1/2007 2/1/2008
-17.09 3 9/1/2000 11/1/2000
-14.95 2 5/1/2010 6/1/2010
-12.67 2 6/1/1996 7/1/1996
-11.37 2 2/1/2001 3/1/2001
-11.28 3 12/1/2002 2/1/2003
-8.94 1 1/1/1990 1/1/1990
-8.62 2 3/1/2005 4/1/2005
-8.39 2 6/1/2007 7/1/2007
-8.18 1 2/1/1999 2/1/1999
-7.83 1 6/1/2008 6/1/2008
-7.50 1 8/1/2010 8/1/2010
-7.37 2 7/1/2004 8/1/2004
-7.28 2 2/1/1997 3/1/1997
-7.05 2 3/1/1992 4/1/1992
-6.87 1 10/1/2009 10/1/2009
-6.64 3 7/1/1999 9/1/1999
-6.03 1 10/1/1989 10/1/1989
-6.02 1 6/1/1991 6/1/1991
-5.80 2 2/1/1994 3/1/1994
-5.77 2 4/1/2006 5/1/2006
-5.44 1 5/1/1998 5/1/1998
-5.27 2 10/1/1997 11/1/1997
-5.17 1 4/1/2004 4/1/2004
-5.08 3 9/1/1994 11/1/1994
-5.01 1 6/1/1992 6/1/1992
-4.85 2 5/1/1994 6/1/1994
-4.75 2 10/1/1988 11/1/1988
-4.66 1 11/1/1991 11/1/1991
-4.55 1 10/1/1995 10/1/1995
-4.23 1 1/1/2005 1/1/2005
-3.92 2 1/1/2002 2/1/2002
-3.73 1 1/1/2010 1/1/2010
-3.67 2 7/1/1988 8/1/1988
-3.39 1 4/1/1990 4/1/1990
-3.38 1 11/1/1993 11/1/1993
-3.33 1 7/1/2006 7/1/2006
-3.21 1 7/1/2000 7/1/2000
-3.17 1 10/1/2005 10/1/2005
-3.06 1 8/1/1992 8/1/1992
-2.85 1 4/1/1993 4/1/1993
-2.51 1 5/1/1988 5/1/1988
-2.49 1 2/1/1993 2/1/1993
-2.40 1 6/1/1989 6/1/1989
-1.96 1 9/1/2003 9/1/2003
-1.95 1 8/1/2005 8/1/2005
-1.69 1 1/1/2000 1/1/2000
-1.68 1 10/1/1996 10/1/1996
-1.59 1 1/1/1998 1/1/1998
-1.40 1 1/1/1995 1/1/1995
-0.88 1 2/1/2007 2/1/2007
-0.60 1 12/1/2005 12/1/2005
-0.35 1 2/1/2006 2/1/2006
-0.23 1 4/1/1991 4/1/1991
-0.19 1 1/1/1996 1/1/1996
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods278.00276.00273.00267.00261.00255.00243.00231.00219.00
Percent Profitable62.2362.3266.6771.1673.9577.2582.3083.9887.21
Average Period Return0.702.404.669.1013.2516.4426.7839.5453.28
Average Gain4.228.5611.9618.5423.4726.3937.0449.5362.84
Average Loss-5.10-7.78-9.95-14.22-15.75-17.33-20.95-12.84-11.94
Best Period16.4229.3647.0562.4270.9575.87118.11120.04149.31
Worst Period-30.77-36.02-47.39-43.31-50.93-50.96-46.76-38.65-33.56
Standard Deviation5.8510.4914.0819.3922.6624.0631.1433.6039.13
Gain Standard Deviation3.026.359.3112.9915.4116.1323.6226.5632.06
Loss Standard Deviation4.627.6510.0711.0712.5413.5210.578.568.54
Sharpe Ratio (1%)0.110.210.300.420.520.600.761.061.23
Average Gain / Average Loss0.831.101.201.301.491.521.773.865.26
Profit / Loss Ratio1.361.822.403.224.235.178.2220.2335.90
Downside Deviation (10%)4.417.249.2211.9113.5614.8016.3114.9315.38
Downside Deviation (5%)4.266.798.3610.0810.8611.2211.017.576.81
Downside Deviation (0%)4.226.688.159.6510.2510.459.856.155.22
Sortino Ratio (10%)0.070.160.240.340.420.420.681.201.67
Sortino Ratio (5%)0.140.320.500.801.081.292.164.697.08
Sortino Ratio (0%)0.170.360.570.941.291.572.726.4310.21

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.