M.S. Capital Management : Global Diversified Program

Year-to-Date
0.35%
Apr Performance
1.84%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
16.86%
Sharpe (RFR=1%)
0.19
CAROR
2.83%
Assets
$ 5.7M
Worst DD
-35.62
S&P Correlation
-0.05

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.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/1998
Global Diversified Program 1.84 4.67 0.35 -5.82 -14.97 18.05 20.39 77.07
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 150.56
+/- S&P 500 -2.09 -4.27 -17.17 -17.07 -56.16 -36.74 -213.66 -73.49

Strategy Description

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... Read More

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%

Decision-Making

Discretionary
3.00%
Systematic
97.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
16.00%
Softs
16.00%
Currency Futures
11.00%
Energy
11.00%
Grains
11.00%
Livestock
11.00%
Industrial Metals
8.00%
Precious Metals
8.00%
Stock Indices
8.00%
Composition Pie Chart

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.

   

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
-35.62 30 17 2/1/2011 8/1/2013
-24.42 35 - 2/1/2016 1/1/2019
-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
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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
10.77 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
9.38 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
6.06 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
4.67 3 2/1/2019 4/1/2019
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
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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
-14.01 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
-0.60 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods246.00244.00241.00235.00229.00223.00211.00199.00187.00
Percent Profitable50.0046.3148.5551.4958.5262.7872.9981.4189.30
Average Period Return0.350.941.934.026.569.0213.3317.3020.60
Average Gain3.947.1110.0114.5517.4620.7122.8023.2323.79
Average Loss-3.83-5.03-6.43-7.70-8.99-10.70-12.24-8.68-6.09
Best Period17.7030.0337.8857.0766.4965.5565.5753.5960.59
Worst Period-14.01-20.64-23.82-21.93-31.66-34.31-33.19-21.42-9.91
Standard Deviation4.877.5710.7714.8117.8420.8621.2818.0815.79
Gain Standard Deviation3.375.859.1312.8814.9417.0316.1714.2913.51
Loss Standard Deviation3.133.895.085.596.917.678.445.722.25
Sharpe Ratio (1%)0.050.090.130.200.280.340.480.730.98
Average Gain / Average Loss1.031.411.561.891.941.941.862.683.91
Profit / Loss Ratio1.221.401.662.162.803.265.0311.7232.65
Downside Deviation (10%)3.425.056.969.4211.6313.8815.8915.3215.39
Downside Deviation (5%)3.254.485.806.948.009.059.066.023.81
Downside Deviation (0%)3.214.345.536.387.228.027.714.462.12
Sortino Ratio (10%)-0.02-0.06-0.08-0.10-0.09-0.09-0.15-0.28-0.46
Sortino Ratio (5%)0.080.150.250.440.630.771.142.204.07
Sortino Ratio (0%)0.110.220.350.630.911.121.733.889.74

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.