United States Index : S&P 400 MidCap Index Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 6.37% 17.17% Annualized Vol 0.31 Sharpe (RFR=1%) 10.38% CAROR -81.40 Worst DD 0.68 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods231.00229.00226.00220.00214.00208.00196.00184.00172.00 Percent Profitable61.9065.5073.4577.7382.2482.2182.1488.5995.35 Average Period Return0.942.855.5311.2916.7821.6335.6453.2472.21 Average Gain3.937.8510.9318.5424.2830.5146.6861.5176.27 Average Loss-3.92-6.65-9.43-14.04-17.96-19.39-15.11-10.97-10.89 Best Period14.7528.0545.6364.2864.1793.13102.34133.88174.00 Worst Period-21.83-36.91-44.89-43.00-47.92-46.37-41.90-32.60-25.28 Standard Deviation5.009.0912.4718.0921.5624.4732.4638.4245.32 Gain Standard Deviation2.915.407.6411.8214.4015.8423.9332.4742.38 Loss Standard Deviation3.686.8010.9412.4913.7012.4510.898.828.09 Sharpe Ratio (1%)0.170.290.400.570.710.801.001.281.48 Average Gain / Average Loss1.001.181.161.321.351.573.095.617.00 Profit / Loss Ratio1.632.243.214.616.267.2714.2143.54143.52 Downside Deviation (10%)3.506.108.3010.7412.2713.6113.9811.9410.32 Downside Deviation (5%)3.355.677.589.199.9910.418.915.853.83 Downside Deviation (0%)3.315.577.418.839.479.687.834.712.86 Sortino Ratio (10%)0.150.270.370.590.750.841.422.664.32 Sortino Ratio (5%)0.260.460.661.121.531.893.668.4017.53 Sortino Ratio (0%)0.280.510.751.281.772.234.5511.3025.24 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