M.S. Capital Management : Global Diversified Program

Year-to-Date: 8.37%
Mar Performance: 3.60%

Min Investment: $ 2,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 16.82%
Sharpe (RFR=1%): 0.19
CAROR: 2.90%

Assets: $ 6.0M
Worst DD: -35.62
S&P Correlation: -0.07

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Growth of 1,000 - VAMI

Monthly Performance

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.

Period Returns

Program / Index	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 11/1998
Global Diversified Program	3.60	8.37	8.37	6.14	-1.14	-16.60	12.04	84.54
S&P 500	-12.51	-20.00	-20.00	-8.82	8.28	23.72	118.73	119.82
+/- S&P 500	16.11	28.37	28.37	14.96	-9.42	-40.31	-106.69	-35.28

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 2,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 1.00%
Performance Fee: 20.00%
Average Commission: $0
Available to US Investors: Yes

Subscriptions

High Water Mark: No
Subscription Frequency: Daily
Redemption Frequency: Daily
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 400 RT/YR/$M
Avg. Margin-to-Equity: 12%
Targeted Worst DD
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 0%
Intraday: 0%

Summary

-Accounts are partially funded with approximately 30% of the account balance on deposit with the broker. The above performance does not include interest income on the remaining 70% (notional funds) held by the client. Trading Objectives The goals of M.S. Capital Management Limited ("MS") are: To generate solid risk adjusted returns with low correlation to traditional asset classes; To provide a potential hedge against inflation; To ensure longevity by using robust trading methods.

Investment Strategy

Trading Methodology MS' trading strategy attempts to capture significant price changes in futures and forward markets. This strategy can be categorized as a medium to long term trend following approach. Computerized technical trading models are used to generate trade signals. These models analyse price data and utilize both trend following and pattern recognition algorithms. The models are diversified across time frames and are applied across all markets in the portfolio. Market diversification is a key component of the trading approach. A globally diversified portfolio of futures and forward markets is traded. Individual market weighting within the portfolio is dependant on price correlation to other markets in the same sector, and on sector correlation to other sectors in the portfolio. Markets are selected based on the amount of diversification offered, execution cost, and regulatory environment.

Risk Management

MS believes risk control is an important component of the trading approach and applies risk management strategies to control risk on 4 levels: individual position risk, market risk, group risk, and portfolio risk. Each position is sized to keep risk within preset levels. Within any one market the sum of the individual position risks is monitored and controlled as is the risk within each market sector and the total risk across the entire portfolio. Occasionally, when there appears to be an unusually high reward/risk situation in a particular market, discretion is utilized to increase, and later decrease, the risk allocation to that market. A guiding theme through all system design is that of robustness. MS believes the key to high returns is compounding over time. This can only be achieved with a system that doesn't break down when it encounters adverse conditions, as it inevitably will.

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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:
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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
-35.62	30	17	2/1/2011	8/1/2013
-25.59	44	-	2/1/2016	10/1/2019
-20.81	7	31	2/1/2003	9/1/2003
-18.32	8	14	4/1/1999	12/1/1999
-18.13	6	9	10/1/2001	4/1/2002
-17.94	15	32	5/1/2006	8/1/2007
-12.69	1	5	4/1/2010	5/1/2010
-8.68	7	4	3/1/2015	10/1/2015
-7.54	1	3	3/1/2001	4/1/2001
-6.02	2	2	12/1/1998	2/1/1999
-5.58	1	1	10/1/2010	11/1/2010
-1.14	1	1	7/1/2001	8/1/2001
-0.32	1	1	1/1/2015	2/1/2015

Consecutive Gains

Run-up	Length (Mos.)	Start	End
57.07	12	2/1/2014	1/1/2015
30.03	3	3/1/2006	5/1/2006
26.46	5	11/1/2000	3/1/2001
24.92	3	8/1/2010	10/1/2010
21.82	2	1/1/2000	2/1/2000
19.44	4	11/1/2002	2/1/2003
17.49	3	12/1/2010	2/1/2011
17.46	2	8/1/2002	9/1/2002
16.92	4	12/1/2003	3/1/2004
14.03	2	9/1/2001	10/1/2001
12.11	1	5/1/2003	5/1/2003
12.10	1	9/1/2011	9/1/2011
11.85	4	10/1/2005	1/1/2006
11.69	3	4/1/2007	6/1/2007
11.48	2	12/1/2017	1/1/2018
10.80	5	11/1/2019	3/1/2020
10.77	4	11/1/2015	2/1/2016
10.69	2	4/1/2000	5/1/2000
10.43	1	10/1/2003	10/1/2003
9.69	2	7/1/2019	8/1/2019
9.38	3	5/1/2001	7/1/2001
9.30	3	2/1/2010	4/1/2010
9.00	2	6/1/2016	7/1/2016
8.70	3	9/1/2004	11/1/2004
8.15	2	7/1/2018	8/1/2018
7.56	2	9/1/2007	10/1/2007
7.55	3	7/1/2009	9/1/2009
6.90	1	7/1/2012	7/1/2012
6.83	2	11/1/2011	12/1/2011
6.46	1	9/1/2016	9/1/2016
6.46	2	3/1/1999	4/1/1999
6.21	1	11/1/2009	11/1/2009
6.16	4	2/1/2019	5/1/2019
6.06	1	5/1/2002	5/1/2002
5.51	1	7/1/2011	7/1/2011
4.88	1	10/1/2017	10/1/2017
4.63	1	9/1/2015	9/1/2015
4.53	2	11/1/1998	12/1/1998
4.36	4	9/1/2013	12/1/2013
4.09	2	5/1/2005	6/1/2005
3.89	2	3/1/2013	4/1/2013
3.74	1	8/1/2000	8/1/2000
3.63	1	6/1/2010	6/1/2010
3.55	1	7/1/2004	7/1/2004
3.30	1	3/1/2015	3/1/2015
3.04	1	4/1/2017	4/1/2017
2.91	2	4/1/2012	5/1/2012
2.17	1	11/1/1999	11/1/1999
2.07	1	7/1/2015	7/1/2015
2.03	2	7/1/2017	8/1/2017
1.92	1	11/1/2018	11/1/2018
1.60	1	10/1/2006	10/1/2006
1.33	1	4/1/2011	4/1/2011
1.17	1	1/1/2017	1/1/2017
1.08	1	4/1/2018	4/1/2018
1.05	1	8/1/2006	8/1/2006
0.82	2	12/1/2012	1/1/2013
0.82	1	8/1/1999	8/1/1999
0.54	1	6/1/2013	6/1/2013
0.07	1	12/1/2006	12/1/2006
0.04	1	5/1/2015	5/1/2015

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-21.68	2	5/1/2011	6/1/2011
-18.68	4	6/1/2003	9/1/2003
-18.13	6	11/1/2001	4/1/2002
-14.91	2	9/1/2019	10/1/2019
-14.01	1	10/1/2011	10/1/2011
-13.14	2	3/1/2003	4/1/2003
-12.69	1	5/1/2010	5/1/2010
-12.49	3	4/1/2004	6/1/2004
-12.48	4	8/1/2012	11/1/2012
-11.67	3	3/1/2016	5/1/2016
-10.87	2	2/1/2018	3/1/2018
-10.82	2	9/1/2018	10/1/2018
-10.53	2	7/1/2007	8/1/2007
-10.51	3	10/1/2016	12/1/2016
-10.23	3	1/1/2007	3/1/2007
-9.93	2	6/1/2006	7/1/2006
-9.73	1	3/1/2000	3/1/2000
-9.61	2	9/1/1999	10/1/1999
-9.13	3	7/1/2005	9/1/2005
-8.94	1	6/1/2012	6/1/2012
-8.87	3	5/1/1999	7/1/1999
-8.49	5	12/1/2004	4/1/2005
-8.26	2	9/1/2000	10/1/2000
-8.16	1	10/1/2015	10/1/2015
-7.54	1	4/1/2001	4/1/2001
-6.56	1	10/1/2002	10/1/2002
-6.37	1	11/1/2003	11/1/2003
-6.02	2	1/1/1999	2/1/1999
-5.58	1	11/1/2010	11/1/2010
-5.49	1	9/1/2017	9/1/2017
-5.43	2	2/1/2017	3/1/2017
-5.32	3	1/1/2012	3/1/2012
-5.04	2	6/1/2000	7/1/2000
-4.97	1	8/1/2016	8/1/2016
-4.97	2	7/1/2013	8/1/2013
-4.64	2	12/1/2009	1/1/2010
-4.57	1	2/1/2006	2/1/2006
-4.40	1	4/1/2015	4/1/2015
-4.37	1	8/1/2011	8/1/2011
-4.33	2	12/1/2018	1/1/2019
-4.32	2	5/1/2018	6/1/2018
-3.74	1	12/1/1999	12/1/1999
-3.18	1	3/1/2011	3/1/2011
-2.70	1	7/1/2010	7/1/2010
-2.52	2	5/1/2017	6/1/2017
-2.39	1	8/1/2004	8/1/2004
-2.26	2	6/1/2002	7/1/2002
-1.98	20	11/1/2007	6/1/2009
-1.71	1	10/1/2009	10/1/2009
-1.69	1	2/1/2013	2/1/2013
-1.52	1	8/1/2015	8/1/2015
-1.28	1	11/1/2017	11/1/2017
-1.26	1	5/1/2013	5/1/2013
-1.14	1	6/1/2015	6/1/2015
-1.14	1	8/1/2001	8/1/2001
-1.07	1	1/1/2014	1/1/2014
-0.63	1	6/1/2019	6/1/2019
-0.60	1	9/1/2006	9/1/2006
-0.55	1	11/1/2006	11/1/2006
-0.32	1	2/1/2015	2/1/2015

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	257.00	255.00	252.00	246.00	240.00	234.00	222.00	210.00	198.00
Percent Profitable	50.97	47.06	48.81	50.81	56.25	60.26	69.37	77.14	86.36
Average Period Return	0.36	0.95	1.84	3.80	5.98	8.29	12.07	15.52	19.24
Average Gain	3.86	7.01	9.76	14.20	17.36	20.58	22.80	23.23	23.55
Average Loss	-3.87	-5.09	-6.40	-7.44	-8.82	-10.35	-12.22	-10.51	-8.04
Best Period	17.70	30.03	37.88	57.07	66.49	65.55	65.57	53.59	60.59
Worst Period	-14.01	-20.64	-23.82	-21.93	-31.66	-34.31	-33.19	-21.42	-18.16
Standard Deviation	4.86	7.54	10.63	14.53	17.66	20.66	21.50	19.18	16.66
Gain Standard Deviation	3.34	5.72	9.02	12.83	14.93	17.04	16.17	14.29	13.46
Loss Standard Deviation	3.16	3.95	4.99	5.53	6.67	7.48	8.04	6.34	4.75
Sharpe Ratio (1%)	0.06	0.09	0.13	0.19	0.25	0.30	0.42	0.60	0.85
Average Gain / Average Loss	1.00	1.38	1.53	1.91	1.97	1.99	1.87	2.21	2.93
Profit / Loss Ratio	1.22	1.40	1.63	2.11	2.58	3.02	4.22	7.46	18.55
Downside Deviation (10%)	3.43	5.07	6.91	9.33	11.78	14.08	16.73	17.31	17.01
Downside Deviation (5%)	3.26	4.51	5.74	6.83	8.05	9.10	9.53	7.59	5.21
Downside Deviation (0%)	3.22	4.38	5.47	6.27	7.23	8.03	8.08	5.85	3.43
Sortino Ratio (10%)	-0.02	-0.06	-0.09	-0.13	-0.14	-0.14	-0.22	-0.35	-0.49
Sortino Ratio (5%)	0.08	0.15	0.23	0.41	0.56	0.69	0.95	1.51	2.72
Sortino Ratio (0%)	0.11	0.22	0.34	0.61	0.83	1.03	1.49	2.65	5.61

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	7	6.99	6/2014
Trend Following Strategy Index	Month	7	6.99	6/2014
Systematic Trader Index	Month	10	6.99	6/2014
Trend Following Strategy Index	Month	8	3.44	3/2014
Systematic Trader Index	Month	9	6.50	11/2011
Diversified Trader Index	Month	9	6.50	11/2011
Trend Following Strategy Index	Month	5	6.50	11/2011
Trend Following Strategy Index	Month	3	12.10	9/2011
Systematic Trader Index	Month	8	12.10	9/2011
Diversified Trader Index	Month	10	12.10	9/2011
Trend Following Strategy Index	Month	10	0.00	7/2008
Trend Following Strategy Index	Month	10	7.23	6/2007
Trend Following Strategy Index	Month	9	4.30	5/2006
Diversified Trader Index	Month	3	13.84	3/2006
Trend Following Strategy Index	Month	2	13.84	3/2006
Systematic Trader Index	Month	2	13.84	3/2006
IASG CTA Index	Month	3	13.84	3/2006
Trend Following Strategy Index	Month	8	3.55	7/2004
Diversified Trader Index	Month	10	3.55	7/2004
Trend Following Strategy Index	Month	10	10.43	10/2003
Trend Following Strategy Index	Month	10	0.82	11/2002
Trend Following Strategy Index	Month	10	7.76	9/2002
Trend Following Strategy Index	Month	8	9.00	8/2002
Systematic Trader Index	Month	10	9.00	8/2002
Diversified Trader Index	Month	9	9.00	8/2002
Trend Following Strategy Index	Month	10	-0.34	2/2002
IASG CTA Index	Year Rolling	9	22.97	2000 - 2001
Diversified Trader Index	Month	4	6.23	7/2001
IASG CTA Index	Month	7	6.23	7/2001
Trend Following Strategy Index	Month	3	6.23	7/2001
Systematic Trader Index	Month	5	6.23	7/2001
Trend Following Strategy Index	Month	2	5.34	2/2001
Systematic Trader Index	Month	3	5.34	2/2001
Diversified Trader Index	Month	3	5.34	2/2001
IASG CTA Index	Month	4	5.34	2/2001
Systematic Trader Index	Month	7	4.45	4/2000
Diversified Trader Index	Month	6	4.45	4/2000
IASG CTA Index	Month	7	4.45	4/2000
Trend Following Strategy Index	Month	3	4.45	4/2000
IASG CTA Index	Month	1	17.70	2/2000
Trend Following Strategy Index	Month	1	17.70	2/2000
Systematic Trader Index	Month	1	17.70	2/2000
Diversified Trader Index	Month	1	17.70	2/2000
Trend Following Strategy Index	Month	10	3.50	1/2000
Trend Following Strategy Index	Month	10	1.30	3/1999
IASG CTA Index	Sharpe	3	3.03	1997 - 1998
Trend Following Strategy Index	Month	8	4.01	12/1998

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

^#7

Top Performer

TREND FOLLOWING STRATEGY INDEX

JUNE
2014

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M.S. Capital Management : Global Diversified Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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