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United States Index : S&P 400 MidCap Index

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Year-to-Date
16.64%
May Performance
-1.27%
17.17%
Annualized Vol
0.31
Sharpe (RFR=1%)
10.38%
CAROR
-50.95
Worst DD
0.90
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

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
-50.95 21 - 5/1/2007 2/1/2009
-25.14 30 8 8/1/2000 2/1/2003
-25.12 4 4 4/1/1998 8/1/1998
-10.20 5 10 1/1/1994 6/1/1994
-9.13 2 2 12/1/1998 2/1/1999
-8.67 3 2 6/1/1999 9/1/1999
-8.37 2 2 5/1/1996 7/1/1996
-7.50 3 4 4/1/2006 7/1/2006
-7.40 4 5 2/1/1992 6/1/1992
-5.30 2 2 1/1/1997 3/1/1997
-5.11 2 3 6/1/2004 8/1/2004
-5.11 2 1 2/1/2005 4/1/2005
-4.91 2 3 3/1/2000 5/1/2000
-4.45 1 2 9/1/1997 10/1/1997
-3.58 1 1 10/1/1991 11/1/1991
-3.36 1 2 3/1/2004 4/1/2004
-2.90 1 1 12/1/1999 1/1/2000
-2.78 3 1 7/1/2005 10/1/2005
-2.76 1 1 3/1/1993 4/1/1993
-2.69 1 1 9/1/1995 10/1/1995
-2.61 1 1 12/1/2004 1/1/2005
-2.40 1 1 10/1/1993 11/1/1993
-2.00 1 1 12/1/1997 1/1/1998
-1.59 1 1 1/1/1993 2/1/1993
-0.95 1 1 1/1/2006 2/1/2006
-0.60 1 1 11/1/2006 12/1/2006
-0.49 1 1 1/1/0001 9/1/1991
-0.39 1 1 11/1/1995 12/1/1995
-0.34 1 1 6/1/1993 7/1/1993
-0.22 1 1 7/1/1997 8/1/1997
-0.01 1 1 11/1/1996 12/1/1996
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Consecutive Gains

Run-up Length (Mos.) Start End
53.75 7 3/1/2009 9/1/2009
39.56 4 9/1/1998 12/1/1998
28.26 10 12/1/1994 9/1/1995
27.64 6 3/1/2003 8/1/2003
25.45 4 4/1/1997 7/1/1997
18.25 6 10/1/2003 3/1/2004
18.15 3 9/1/2010 11/1/2010
17.66 3 10/1/2001 12/1/2001
17.11 3 2/1/2010 4/1/2010
16.89 4 3/1/1999 6/1/1999
16.84 3 10/1/1999 12/1/1999
16.29 4 8/1/1996 11/1/1996
15.73 2 2/1/2000 3/1/2000
15.03 4 9/1/2004 12/1/2004
14.99 3 12/1/1991 2/1/1992
14.90 3 2/1/1998 4/1/1998
14.25 3 6/1/2000 8/1/2000
13.92 5 1/1/2007 5/1/2007
13.85 3 5/1/2005 7/1/2005
13.76 5 9/1/1992 1/1/1993
13.41 2 4/1/2001 5/1/2001
13.14 2 4/1/2008 5/1/2008
11.51 3 11/1/2005 1/1/2006
10.24 2 11/1/2009 12/1/2009
10.13 2 10/1/2002 11/1/2002
10.12 5 1/1/1996 5/1/1996
9.89 2 12/1/2000 1/1/2001
8.98 4 8/1/2006 11/1/2006
8.40 2 7/1/1994 8/1/1994
7.09 2 2/1/2002 3/1/2002
6.82 1 7/1/2010 7/1/2010
6.77 2 12/1/1993 1/1/1994
6.00 3 8/1/2007 10/1/2007
5.63 1 9/1/1997 9/1/1997
5.20 2 11/1/1997 12/1/1997
5.06 3 8/1/1993 10/1/1993
4.78 1 7/1/1992 7/1/1992
4.71 2 5/1/1993 6/1/1993
4.61 1 12/1/2008 12/1/2008
4.19 1 11/1/1995 11/1/1995
4.18 2 5/1/2004 6/1/2004
3.76 2 3/1/2006 4/1/2006
3.75 1 10/1/1991 10/1/1991
3.64 1 1/1/1997 1/1/1997
3.28 1 3/1/1993 3/1/1993
3.23 1 2/1/2005 2/1/2005
1.57 1 8/1/2008 8/1/2008
0.94 1 10/1/1994 10/1/1994
0.73 1 5/1/1992 5/1/1992
0.68 1 9/1/2005 9/1/2005
0.59 1 4/1/1994 4/1/1994
0.54 1 6/1/1998 6/1/1998
0.39 1 8/1/2002 8/1/2002
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.91 3 9/1/2008 11/1/2008
-21.93 2 7/1/1998 8/1/1998
-18.37 4 4/1/2002 7/1/2002
-17.17 4 6/1/2001 9/1/2001
-16.50 2 1/1/2009 2/1/2009
-14.12 5 11/1/2007 3/1/2008
-13.53 2 5/1/2010 6/1/2010
-12.88 2 2/1/2001 3/1/2001
-11.52 3 9/1/2000 11/1/2000
-9.41 3 12/1/2002 2/1/2003
-9.13 2 1/1/1999 2/1/1999
-8.95 2 6/1/2008 7/1/2008
-8.67 3 7/1/1999 9/1/1999
-8.37 2 6/1/1996 7/1/1996
-8.13 1 9/1/2002 9/1/2002
-7.50 3 5/1/2006 7/1/2006
-6.54 2 6/1/2007 7/1/2007
-6.32 2 2/1/1994 3/1/1994
-5.30 2 2/1/1997 3/1/1997
-5.22 2 3/1/1992 4/1/1992
-5.11 2 7/1/2004 8/1/2004
-5.11 2 3/1/2005 4/1/2005
-5.08 1 8/1/2010 8/1/2010
-4.91 2 4/1/2000 5/1/2000
-4.71 1 11/1/1994 11/1/1994
-4.70 2 5/1/1994 6/1/1994
-4.61 1 10/1/2009 10/1/2009
-4.59 1 5/1/1998 5/1/1998
-4.45 1 10/1/1997 10/1/1997
-3.58 1 11/1/1991 11/1/1991
-3.36 1 4/1/2004 4/1/2004
-3.28 1 1/1/2010 1/1/2010
-3.01 1 6/1/1992 6/1/1992
-2.90 1 1/1/2000 1/1/2000
-2.76 1 4/1/1993 4/1/1993
-2.69 1 10/1/1995 10/1/1995
-2.61 1 1/1/2005 1/1/2005
-2.61 1 8/1/1992 8/1/1992
-2.40 1 11/1/1993 11/1/1993
-2.23 1 10/1/2005 10/1/2005
-2.01 1 9/1/1994 9/1/1994
-2.00 1 1/1/1998 1/1/1998
-1.61 1 9/1/2003 9/1/2003
-1.59 1 2/1/1993 2/1/1993
-1.23 1 8/1/2005 8/1/2005
-0.95 1 2/1/2006 2/1/2006
-0.60 1 12/1/2006 12/1/2006
-0.59 1 1/1/2002 1/1/2002
-0.49 1 9/1/1991 9/1/1991
-0.39 1 12/1/1995 12/1/1995
-0.34 1 7/1/1993 7/1/1993
-0.22 1 8/1/1997 8/1/1997
-0.01 1 12/1/1996 12/1/1996
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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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