M.S. Capital Management : Global Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 5.00% Jan Performance 5.00% Min Investment $ 2,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 16.71% Sharpe (RFR=1%) 0.22 CAROR 3.26% Assets $ 6.6M Worst DD -35.62 S&P Correlation -0.06 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since11/1998 Global Diversified Program 5.00 17.32 5.00 15.98 -2.27 -5.93 -0.40 103.96 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 185.82 215.90 +/- S&P 500 6.11 3.73 6.11 0.83 -33.79 -95.41 -186.22 -111.94 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% 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% 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 StrategyTrading 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 ManagementMS 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. 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 -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 Show More 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 17.84 4 10/1/2020 1/1/2021 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 11.19 7 11/1/2019 5/1/2020 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 2.65 1 7/1/2020 7/1/2020 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 Show More 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 -6.73 2 8/1/2020 9/1/2020 -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 -2.38 1 6/1/2020 6/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods267.00265.00262.00256.00250.00244.00232.00220.00208.00 Percent Profitable51.6947.1749.6251.9556.8060.6666.8174.0982.21 Average Period Return0.380.991.913.825.938.0211.3914.3517.68 Average Gain3.817.049.6413.7416.8619.8322.6523.1123.55 Average Loss-3.85-5.02-6.37-7.39-8.61-10.20-11.27-10.70-9.43 Best Period17.7030.0337.8857.0766.4965.5565.5753.5960.59 Worst Period-14.01-20.64-23.82-21.93-31.66-34.31-33.19-21.42-21.33 Standard Deviation4.827.5310.5014.3017.3320.3321.2819.5517.70 Gain Standard Deviation3.345.748.8212.6314.7317.0416.2214.3313.46 Loss Standard Deviation3.123.904.935.506.707.428.026.205.09 Sharpe Ratio (1%)0.060.100.130.200.260.300.390.530.71 Average Gain / Average Loss0.991.401.511.861.961.942.012.162.50 Profit / Loss Ratio1.241.431.672.152.623.004.046.1811.54 Downside Deviation (10%)3.395.026.839.1911.5813.9716.8718.2818.87 Downside Deviation (5%)3.224.465.676.727.898.969.448.156.53 Downside Deviation (0%)3.184.325.406.177.097.907.956.284.50 Sortino Ratio (10%)-0.01-0.05-0.08-0.13-0.14-0.16-0.26-0.39-0.53 Sortino Ratio (5%)0.090.170.250.420.560.670.891.261.93 Sortino Ratio (0%)0.120.230.350.620.841.011.432.283.93 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 Annual 9 22.97 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 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. x {{title}} x {{title}} Add Cancel