United States Index : S&P 500 Index

Year-to-Date: 16.26%
Dec Performance: 3.71%

14.73%

Annualized Vol

0.53

Sharpe (RFR=1%)

7.92%

CAROR

-52.56

Worst DD

1.00

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	$0
Available to US Investors	Yes

Subscriptions

High Water Mark
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

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
-52.56	16	49	10/1/2007	2/1/2009
-46.28	25	56	8/1/2000	9/1/2002
-30.17	3	20	8/1/1987	11/1/1987
-23.79	20	5	11/1/1980	7/1/1982
-19.00	14	18	1/1/0001	2/1/1978
-15.84	5	4	5/1/1990	10/1/1990
-15.57	2	3	6/1/1998	8/1/1998
-13.97	3	4	9/1/2018	12/1/2018
-10.57	2	3	1/1/1980	3/1/1980
-10.19	11	8	6/1/1983	5/1/1984
-8.89	4	10	5/1/2015	9/1/2015
-8.56	2	-	12/1/2019	2/1/2020
-8.54	1	4	8/1/1986	9/1/1986
-7.75	5	8	1/1/1994	6/1/1994
-7.00	2	1	12/1/1999	2/1/2000
-6.88	1	4	12/1/1989	1/1/1990
-6.86	1	3	9/1/1979	10/1/1979
-6.58	1	2	4/1/2019	5/1/2019
-6.56	3	2	6/1/1999	9/1/1999
-6.48	2	5	1/1/2018	3/1/2018
-5.87	1	1	6/1/1986	7/1/1986
-5.75	1	3	7/1/1997	8/1/1997
-5.20	2	3	3/1/2000	5/1/2000
-5.11	3	1	8/1/1991	11/1/1991
-5.09	3	2	6/1/1985	9/1/1985
-4.92	2	3	5/1/2007	7/1/2007
-4.79	1	2	5/1/1991	6/1/1991
-4.57	1	2	6/1/1996	7/1/1996
-4.26	1	1	2/1/1997	3/1/1997
-3.56	1	1	12/1/2013	1/1/2014
-3.51	2	1	11/1/2014	1/1/2015
-3.23	1	1	1/1/1999	2/1/1999
-3.21	3	4	12/1/1991	3/1/1992
-3.16	2	2	8/1/1989	10/1/1989
-3.13	1	2	7/1/2013	8/1/2013
-2.54	1	4	3/1/1993	4/1/1993
-2.50	1	1	4/1/1999	5/1/1999
-2.40	1	3	7/1/1992	8/1/1992
-2.18	3	1	7/1/2016	10/1/2016
-2.15	1	1	11/1/1996	12/1/1996
-1.88	1	1	4/1/1998	5/1/1998
-1.81	1	2	7/1/2019	8/1/2019
-1.74	1	2	2/1/2015	3/1/2015
-1.55	1	1	8/1/2014	9/1/2014
-1.51	1	1	6/1/2014	7/1/2014
-1.50	1	1	5/1/2013	6/1/2013
-1.41	1	1	3/1/1986	4/1/1986
-1.29	1	2	10/1/1993	11/1/1993
-1.24	1	1	4/1/1983	5/1/1983
-1.15	1	2	3/1/1987	4/1/1987
-1.00	1	1	8/1/1993	9/1/1993
-0.75	2	1	2/1/1985	4/1/1985
-0.50	1	1	9/1/1995	10/1/1995
-0.04	1	1	2/1/2017	3/1/2017
-0.03	1	1	7/1/1995	8/1/1995

Consecutive Gains

Run-up	Length (Mos.)	Start	End
53.54	9	8/1/1982	4/1/1983
43.80	7	3/1/2009	9/1/2009
37.64	8	4/1/1980	11/1/1980
33.67	5	9/1/1998	1/1/1999
31.21	6	10/1/1985	3/1/1986
28.23	7	11/1/1990	5/1/1991
26.04	4	4/1/1997	7/1/1997
23.89	8	12/1/1994	7/1/1995
21.55	6	11/1/1997	4/1/1998
20.45	3	1/1/1987	3/1/1987
19.84	6	3/1/2003	8/1/2003
18.31	10	4/1/2017	1/1/2018
18.29	4	8/1/1996	11/1/1996
17.51	4	1/1/2019	4/1/2019
16.29	3	12/1/1987	2/1/1988
15.48	7	11/1/2012	5/1/2013
15.33	8	11/1/1995	6/1/1996
14.96	5	10/1/2003	2/1/2004
14.85	2	10/1/2002	11/1/2002
14.54	3	10/1/1999	12/1/1999
14.37	4	5/1/1987	8/1/1987
13.24	8	6/1/2006	1/1/2007
13.19	4	9/1/2013	12/1/2013
12.95	4	12/1/2011	3/1/2012
12.76	2	9/1/2010	10/1/2010
12.49	5	3/1/2016	7/1/2016
12.42	3	12/1/2010	2/1/2011
12.12	3	11/1/1979	1/1/1980
11.72	3	3/1/1978	5/1/1978
11.17	4	11/1/2016	2/1/2017
11.16	1	12/1/1991	12/1/1991
10.96	3	3/1/1989	5/1/1989
10.77	1	10/1/2011	10/1/2011
10.76	3	12/1/1984	2/1/1985
10.63	1	8/1/1984	8/1/1984
10.53	2	7/1/1989	8/1/1989
10.51	3	2/1/2010	4/1/2010
10.40	4	9/1/2019	12/1/2019
10.34	6	4/1/2018	9/1/2018
10.34	3	6/1/1979	8/1/1979
10.29	3	10/1/2001	12/1/2001
10.00	5	8/1/2004	12/1/2004
9.97	5	2/1/2014	6/1/2014
9.95	4	6/1/2012	9/1/2012
9.67	1	3/1/2000	3/1/2000
9.20	1	5/1/1990	5/1/1990
9.09	7	9/1/1992	3/1/1993
8.80	3	3/1/2007	5/1/2007
8.75	2	10/1/1981	11/1/1981
8.68	2	12/1/1988	1/1/1989
8.35	2	10/1/2015	11/1/2015
8.30	2	6/1/2019	7/1/2019
8.23	2	4/1/2001	5/1/2001
8.12	2	7/1/1978	8/1/1978
7.82	2	3/1/1999	4/1/1999
7.74	2	10/1/1986	11/1/1986
7.62	2	11/1/2009	12/1/2009
7.28	3	11/1/1978	1/1/1979
7.12	1	8/1/1986	8/1/1986
7.03	2	7/1/1994	8/1/1994
6.88	1	7/1/2010	7/1/2010
6.76	2	1/1/1997	2/1/1997
6.68	2	5/1/1985	6/1/1985
6.67	2	9/1/1988	10/1/1988
6.54	2	7/1/1991	8/1/1991
6.50	2	5/1/1986	6/1/1986
6.47	3	8/1/2007	10/1/2007
6.07	1	8/1/2000	8/1/2000
5.87	2	4/1/2008	5/1/2008
5.69	2	3/1/1979	4/1/1979
5.64	3	4/1/1988	6/1/1988
5.49	1	2/1/2015	2/1/2015
5.44	1	6/1/1999	6/1/1999
5.32	1	9/1/1997	9/1/1997
4.99	4	1/1/2006	4/1/2006
4.98	2	2/1/1981	3/1/1981
4.95	1	7/1/2013	7/1/2013
4.83	2	10/1/2014	11/1/2014
4.54	1	6/1/1977	6/1/1977
4.29	2	12/1/1993	1/1/1994
4.01	1	9/1/1995	9/1/1995
4.00	1	4/1/1982	4/1/1982
3.94	1	6/1/1998	6/1/1998
3.94	1	7/1/1992	7/1/1992
3.88	2	12/1/2000	1/1/2001
3.83	2	11/1/1989	12/1/1989
3.77	1	8/1/2014	8/1/2014
3.67	1	3/1/2002	3/1/2002
3.60	1	7/1/2005	7/1/2005
3.52	1	11/1/2005	11/1/2005
3.44	1	8/1/1993	8/1/1993
3.30	2	2/1/1990	3/1/1990
3.23	1	6/1/1983	6/1/1983
3.03	2	5/1/2004	6/1/2004
3.00	1	5/1/2005	5/1/2005
2.99	2	11/1/1977	12/1/1977
2.89	2	4/1/1992	5/1/1992
2.85	1	4/1/2011	4/1/2011
2.41	2	4/1/1994	5/1/1994
2.39	1	6/1/2000	6/1/2000
2.35	2	5/1/1993	6/1/1993
2.16	2	8/1/1983	9/1/1983
2.08	1	10/1/1994	10/1/1994
1.97	1	7/1/2015	7/1/2015
1.94	1	10/1/1993	10/1/1993
1.91	2	4/1/2015	5/1/2015
1.90	2	3/1/1984	4/1/1984
1.89	1	2/1/2005	2/1/2005
1.79	1	11/1/2018	11/1/2018
1.75	1	6/1/1984	6/1/1984
1.74	1	11/1/1983	11/1/1983
1.22	1	8/1/2008	8/1/2008
1.18	1	10/1/1991	10/1/1991
0.96	1	2/1/1992	2/1/1992
0.78	1	12/1/2008	12/1/2008
0.69	1	9/1/2005	9/1/2005
0.49	1	8/1/2002	8/1/2002
0.02	1	4/1/1977	4/1/1977

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-30.17	3	9/1/1987	11/1/1987
-30.14	3	9/1/2008	11/1/2008
-20.55	4	4/1/2002	7/1/2002
-18.62	2	1/1/2009	2/1/2009
-17.11	4	6/1/2001	9/1/2001
-17.04	5	5/1/2011	9/1/2011
-15.84	5	6/1/1990	10/1/1990
-15.57	2	7/1/1998	8/1/1998
-15.06	2	2/1/2001	3/1/2001
-14.63	5	11/1/2007	3/1/2008
-14.57	6	4/1/1981	9/1/1981
-13.36	3	9/1/2000	11/1/2000
-13.14	2	5/1/2010	6/1/2010
-11.39	4	12/1/1981	3/1/1982
-11.00	1	9/1/2002	9/1/2002
-10.57	2	2/1/1980	3/1/1980
-10.16	3	12/1/2002	2/1/2003
-9.82	2	9/1/1978	10/1/1978
-9.50	2	6/1/2008	7/1/2008
-9.18	1	12/1/2018	12/1/2018
-8.74	2	8/1/2015	9/1/2015
-8.56	2	1/1/2020	2/1/2020
-8.54	1	9/1/1986	9/1/1986
-8.48	2	1/1/1978	2/1/1978
-8.41	3	1/1/1977	3/1/1977
-8.10	4	7/1/1977	10/1/1977
-8.03	3	5/1/1982	7/1/1982
-7.81	2	12/1/1980	1/1/1981
-7.44	2	2/1/1994	3/1/1994
-7.12	3	12/1/2015	2/1/2016
-7.00	2	1/1/2000	2/1/2000
-6.97	2	4/1/2012	5/1/2012
-6.94	1	10/1/2018	10/1/2018
-6.88	1	1/1/1990	1/1/1990
-6.86	2	9/1/1979	10/1/1979
-6.58	1	5/1/2019	5/1/2019
-6.56	3	7/1/1999	9/1/1999
-6.48	2	2/1/2018	3/1/2018
-5.94	1	5/1/1984	5/1/1984
-5.87	1	7/1/1986	7/1/1986
-5.75	1	8/1/1997	8/1/1997
-5.61	3	12/1/1983	2/1/1984
-5.20	2	4/1/2000	5/1/2000
-5.09	3	7/1/1985	9/1/1985
-4.92	2	6/1/2007	7/1/2007
-4.79	1	6/1/1991	6/1/1991
-4.74	1	8/1/2010	8/1/2010
-4.57	1	7/1/1996	7/1/1996
-4.39	1	11/1/1991	11/1/1991
-4.38	2	7/1/1988	8/1/1988
-4.26	1	3/1/1997	3/1/1997
-3.95	1	11/1/1994	11/1/1994
-3.88	2	3/1/2005	4/1/2005
-3.70	1	1/1/2010	1/1/2010
-3.65	1	2/1/1979	2/1/1979
-3.60	2	1/1/2002	2/1/2002
-3.56	1	1/1/2014	1/1/2014
-3.51	2	12/1/2014	1/1/2015
-3.45	1	10/1/1997	10/1/1997
-3.43	1	7/1/2004	7/1/2004
-3.33	1	3/1/1988	3/1/1988
-3.29	2	3/1/2004	4/1/2004
-3.23	1	2/1/1999	2/1/1999
-3.16	2	9/1/1989	10/1/1989
-3.13	1	8/1/2013	8/1/2013
-3.09	1	5/1/2006	5/1/2006
-3.03	1	7/1/1983	7/1/1983
-2.89	1	2/1/1989	2/1/1989
-2.83	1	12/1/1986	12/1/1986
-2.69	1	4/1/1990	4/1/1990
-2.69	1	9/1/1994	9/1/1994
-2.68	1	6/1/1994	6/1/1994
-2.63	1	5/1/1979	5/1/1979
-2.54	1	4/1/1993	4/1/1993
-2.53	1	1/1/2005	1/1/2005
-2.50	1	5/1/1999	5/1/1999
-2.40	1	8/1/1992	8/1/1992
-2.36	1	5/1/1977	5/1/1977
-2.18	1	2/1/2007	2/1/2007
-2.18	1	3/1/1992	3/1/1992
-2.18	3	8/1/2016	10/1/2016
-2.15	1	12/1/1996	12/1/1996
-2.10	1	6/1/2015	6/1/2015
-1.99	1	1/1/1992	1/1/1992
-1.98	1	10/1/2012	10/1/2012
-1.98	1	10/1/2009	10/1/2009
-1.91	1	9/1/1991	9/1/1991
-1.89	1	11/1/1988	11/1/1988
-1.88	1	5/1/1998	5/1/1998
-1.86	3	9/1/1984	11/1/1984
-1.81	1	8/1/2019	8/1/2019
-1.77	1	10/1/2005	10/1/2005
-1.76	1	6/1/1978	6/1/1978
-1.74	1	3/1/2015	3/1/2015
-1.74	1	6/1/1992	6/1/1992
-1.65	1	7/1/1984	7/1/1984
-1.63	1	7/1/2000	7/1/2000
-1.55	1	9/1/2014	9/1/2014
-1.52	1	10/1/1983	10/1/1983
-1.51	1	7/1/2014	7/1/2014
-1.50	1	6/1/2013	6/1/2013
-1.41	1	4/1/1986	4/1/1986
-1.29	1	11/1/1993	11/1/1993
-1.24	1	5/1/1983	5/1/1983
-1.19	1	9/1/2003	9/1/2003
-1.15	1	4/1/1987	4/1/1987
-1.12	1	8/1/2005	8/1/2005
-1.00	1	9/1/1993	9/1/1993
-0.79	1	6/1/1989	6/1/1989
-0.75	2	3/1/1985	4/1/1985
-0.53	1	7/1/1993	7/1/1993
-0.51	1	11/1/2011	11/1/2011
-0.50	1	10/1/1995	10/1/1995
-0.23	1	11/1/2010	11/1/2010
-0.10	1	3/1/2011	3/1/2011
-0.10	1	12/1/2005	12/1/2005
-0.04	1	3/1/2017	3/1/2017
-0.03	1	8/1/1995	8/1/1995
-0.01	1	6/1/2005	6/1/2005

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	518.00	516.00	513.00	507.00	501.00	495.00	483.00	471.00	459.00
Percent Profitable	61.97	67.05	71.73	78.30	82.04	85.66	85.30	83.23	81.92
Average Period Return	0.73	2.28	4.65	9.60	14.84	20.34	32.23	44.94	58.82
Average Gain	3.25	6.14	9.62	15.82	21.60	27.14	41.40	57.55	74.39
Average Loss	-3.39	-5.59	-7.96	-12.82	-16.01	-20.28	-21.02	-17.60	-11.72
Best Period	13.18	25.04	38.84	52.94	60.95	80.55	120.05	172.03	219.93
Worst Period	-21.76	-30.17	-42.70	-44.76	-50.13	-47.75	-43.40	-38.93	-35.80
Standard Deviation	4.25	7.37	10.63	15.64	19.68	23.59	32.00	41.45	51.50
Gain Standard Deviation	2.50	4.48	6.89	10.23	13.55	17.22	24.53	33.19	43.42
Loss Standard Deviation	3.16	5.66	7.61	10.36	12.46	13.44	12.09	8.41	6.67
Sharpe Ratio (1%)	0.15	0.27	0.39	0.55	0.68	0.78	0.91	0.99	1.04
Average Gain / Average Loss	0.96	1.10	1.21	1.23	1.35	1.34	1.97	3.27	6.35
Profit / Loss Ratio	1.57	2.24	3.07	4.45	6.16	7.99	11.43	16.22	28.76
Downside Deviation (10%)	3.04	5.08	6.87	9.63	11.40	12.74	15.05	16.70	17.78
Downside Deviation (5%)	2.89	4.66	6.04	8.03	9.10	9.84	10.31	9.51	7.70
Downside Deviation (0%)	2.85	4.56	5.85	7.67	8.58	9.19	9.28	7.98	5.72
Sortino Ratio (10%)	0.11	0.21	0.32	0.48	0.64	0.79	1.09	1.40	1.75
Sortino Ratio (5%)	0.22	0.43	0.69	1.07	1.47	1.86	2.83	4.30	6.97
Sortino Ratio (0%)	0.26	0.50	0.80	1.25	1.73	2.21	3.47	5.63	10.27

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 : S&P 500 Index

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United States Index : S&P 500 Index

Growth of 1,000 - VAMI

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Decision-Making

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Drawdown Report

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Time Windows Analysis

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