United States Index : S&P 500 Index

Year-to-Date
8.34%
Aug Performance
7.01%
14.71%
Annualized Vol
0.53
Sharpe (RFR=1%)
7.95%
CAROR
-52.56
Worst DD
1.00
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 $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

   

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
-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
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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
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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
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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.