United States Index : S&P 500 Index Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 $0 Available to US Investors Yes Subscriptions High Water Mark Subscription Frequency Redemption Frequency Investor Requirements Lock-up Period 0 Trading Trading Frequency RT/YR/$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: {{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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods518.00516.00513.00507.00501.00495.00483.00471.00459.00 Percent Profitable61.9767.0571.7378.3082.0485.6685.3083.2381.92 Average Period Return0.732.284.659.6014.8420.3432.2344.9458.82 Average Gain3.256.149.6215.8221.6027.1441.4057.5574.39 Average Loss-3.39-5.59-7.96-12.82-16.01-20.28-21.02-17.60-11.72 Best Period13.1825.0438.8452.9460.9580.55120.05172.03219.93 Worst Period-21.76-30.17-42.70-44.76-50.13-47.75-43.40-38.93-35.80 Standard Deviation4.257.3710.6315.6419.6823.5932.0041.4551.50 Gain Standard Deviation2.504.486.8910.2313.5517.2224.5333.1943.42 Loss Standard Deviation3.165.667.6110.3612.4613.4412.098.416.67 Sharpe Ratio (1%)0.150.270.390.550.680.780.910.991.04 Average Gain / Average Loss0.961.101.211.231.351.341.973.276.35 Profit / Loss Ratio1.572.243.074.456.167.9911.4316.2228.76 Downside Deviation (10%)3.045.086.879.6311.4012.7415.0516.7017.78 Downside Deviation (5%)2.894.666.048.039.109.8410.319.517.70 Downside Deviation (0%)2.854.565.857.678.589.199.287.985.72 Sortino Ratio (10%)0.110.210.320.480.640.791.091.401.75 Sortino Ratio (5%)0.220.430.691.071.471.862.834.306.97 Sortino Ratio (0%)0.260.500.801.251.732.213.475.6310.27 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. x {{title}} x {{title}} Add Cancel