Pacific Capital Advisors : Vanguard Program

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-0.87%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.83%
Sharpe (RFR=1%)
0.00
CAROR
0.34%
Assets
$ 200k
Worst DD
-38.64
S&P Correlation
0.17

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
4/2007
Vanguard Program -0.87 -9.66 - -37.70 -24.69 -29.75 - 3.17
S&P 500 1.53 8.52 - -0.50 28.59 55.85 - 41.44
+/- S&P 500 -2.40 -18.18 - -37.20 -53.27 -85.61 - -38.27

Strategy Description

Summary

The Vanguard Program is a systematic absolute return strategy that trades the S&P500 e-mini and U.S. interest rate futures contracts. At this time, the program has an estimated capacity of over $300 million.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1400 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Stock Indices
50.00%
Composition Pie Chart

Summary

The Vanguard Program is a systematic absolute return strategy that trades the S&P500 e-mini and U.S. interest rate futures contracts. At this time, the program has an estimated capacity of over $300 million.

Investment Strategy

PCA's Vanguard Program trades stock index and interest rate futures. The program is 100% systematic. Both mean reversion and momentum trading methods are used to exploit various market conditions. Stop-loss levels and diversification across sectors help control risk. Average holding period is 5 days. The methods used in the Vanguard Program are based upon a variety of techniques. Price patterns on daily, weekly and monthly time-frames provide setups for momentum or mean reversion trades. The core principles of these techniques have shown effectiveness across many markets over many years of historical testing. Not all methods are applied to all markets. Some markets exhibit characteristics best suited for breakout or momentum trading, while others are best traded using mean-reversion methods. The most appropriate method or methods are applied to suitable markets. Markets traded are selected based upon liquidity, volatility, potential profitability and potential diversification. *** Please note that this program Traded intraday only from inception through June 2013. From July 2013 forward the program holds trades for multiple days and added interest rate futures to the portfolio. ***

Risk Management

Stop loss orders are used for open trades. Diversification across markets affords some potential risk reduction.

   

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
-38.64 10 - 7/1/2015 5/1/2016
-11.40 32 7 2/1/2011 10/1/2013
-6.34 2 1 11/1/2014 1/1/2015
-6.30 1 2 2/1/2015 3/1/2015
-5.09 3 2 1/1/2009 4/1/2009
-4.64 2 2 4/1/2007 6/1/2007
-4.21 3 1 5/1/2014 8/1/2014
-3.52 4 2 7/1/2009 11/1/2009
-2.72 1 2 6/1/2010 7/1/2010
-1.52 2 1 9/1/2008 11/1/2008
-1.03 1 1 11/1/2007 12/1/2007
-1.03 2 3 9/1/2010 11/1/2010
-0.95 2 1 4/1/2008 6/1/2008
-0.77 1 1 9/1/2014 10/1/2014
-0.76 1 1 2/1/2008 3/1/2008
-0.48 1 1 5/1/2015 6/1/2015
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
15.98 5 7/1/2007 11/1/2007
12.42 7 12/1/2009 6/1/2010
11.33 5 11/1/2013 3/1/2014
9.48 1 2/1/2015 2/1/2015
9.44 3 5/1/2009 7/1/2009
9.14 3 7/1/2008 9/1/2008
8.34 2 4/1/2015 5/1/2015
7.71 1 9/1/2014 9/1/2014
7.46 1 2/1/2016 2/1/2016
5.83 1 10/1/2015 10/1/2015
4.47 1 5/1/2014 5/1/2014
4.33 2 1/1/2008 2/1/2008
3.66 1 4/1/2008 4/1/2008
3.37 2 8/1/2010 9/1/2010
3.00 1 11/1/2014 11/1/2014
2.36 2 5/1/2012 6/1/2012
2.05 2 12/1/2008 1/1/2009
2.03 1 7/1/2015 7/1/2015
1.76 3 7/1/2013 9/1/2013
1.76 1 4/1/2007 4/1/2007
1.26 1 2/1/2011 2/1/2011
1.18 1 5/1/2011 5/1/2011
1.17 2 12/1/2012 1/1/2013
0.96 1 3/1/2012 3/1/2012
0.68 1 9/1/2009 9/1/2009
0.54 1 3/1/2009 3/1/2009
0.26 1 3/1/2013 3/1/2013
0.19 1 12/1/2010 12/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-23.22 2 8/1/2015 9/1/2015
-22.22 3 11/1/2015 1/1/2016
-9.66 3 3/1/2016 5/1/2016
-6.34 2 12/1/2014 1/1/2015
-6.30 1 3/1/2015 3/1/2015
-5.64 3 4/1/2013 6/1/2013
-4.85 1 4/1/2009 4/1/2009
-4.64 2 5/1/2007 6/1/2007
-4.51 5 7/1/2012 11/1/2012
-4.21 3 6/1/2014 8/1/2014
-3.69 9 6/1/2011 2/1/2012
-2.79 1 8/1/2009 8/1/2009
-2.72 1 7/1/2010 7/1/2010
-2.30 1 10/1/2013 10/1/2013
-1.70 2 3/1/2011 4/1/2011
-1.52 2 10/1/2008 11/1/2008
-1.42 2 10/1/2009 11/1/2009
-1.03 1 12/1/2007 12/1/2007
-1.03 2 10/1/2010 11/1/2010
-0.95 2 5/1/2008 6/1/2008
-0.88 1 4/1/2014 4/1/2014
-0.84 1 2/1/2013 2/1/2013
-0.79 1 2/1/2009 2/1/2009
-0.77 1 10/1/2014 10/1/2014
-0.76 1 3/1/2008 3/1/2008
-0.67 1 4/1/2012 4/1/2012
-0.48 1 6/1/2015 6/1/2015
-0.05 1 1/1/2011 1/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods110.00108.00105.0099.0093.0087.0075.0063.0051.00
Percent Profitable49.0955.5660.0062.6359.1465.5268.0080.9582.35
Average Period Return0.090.340.962.935.056.538.609.4311.58
Average Gain2.403.786.049.8313.9914.3117.0814.8818.39
Average Loss-2.22-3.97-6.65-8.64-7.90-8.26-9.42-13.74-20.23
Best Period9.4812.1217.6325.1433.8237.5150.7949.3649.63
Worst Period-12.66-22.22-36.80-37.70-35.14-31.61-24.88-28.00-29.75
Standard Deviation3.415.729.0212.1813.6713.8917.1017.5018.96
Gain Standard Deviation2.102.984.246.297.578.9213.2613.9912.48
Loss Standard Deviation2.955.428.9510.829.508.567.7710.598.15
Sharpe Ratio (1%)0.000.020.050.160.260.330.330.310.34
Average Gain / Average Loss1.080.950.911.141.771.731.811.080.91
Profit / Loss Ratio1.081.191.361.912.563.293.854.604.24
Downside Deviation (10%)2.754.988.0510.6711.6512.2715.8019.7324.03
Downside Deviation (5%)2.614.557.198.798.497.798.269.0011.14
Downside Deviation (0%)2.574.457.008.397.836.926.857.459.09
Sortino Ratio (10%)-0.12-0.18-0.19-0.19-0.22-0.30-0.45-0.61-0.67
Sortino Ratio (5%)0.000.020.060.220.420.580.670.600.58
Sortino Ratio (0%)0.030.080.140.350.640.941.261.261.27

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 8 2.86 5/2015
IASG CTA Index Month 9 5.33 4/2015
Trend Following Strategy Index Month 2 5.33 4/2015
Stock Index Trader Index Month 2 5.33 4/2015
Systematic Trader Index Month 6 5.33 4/2015
IASG CTA Index Month 6 9.48 2/2015
Systematic Trader Index Month 5 9.48 2/2015
Stock Index Trader Index Month 2 9.48 2/2015
Trend Following Strategy Index Month 2 9.48 2/2015
Stock Index Trader Index Month 10 3.00 11/2014
Stock Index Trader Index Month 1 7.71 9/2014
Stock Index Trader Index Month 2 4.47 5/2014
Stock Index Trader Index Month 4 4.59 12/2013
Trend Following Strategy Index Month 9 1.34 6/2012
Trend Following Strategy Index Month 9 1.18 5/2011
Stock Index Trader Index Month 6 1.82 9/2010
Stock Index Trader Index Month 6 1.29 4/2010
Stock Index Trader Index Month 6 2.13 3/2010
Stock Index Trader Index Month 8 3.08 1/2010
Trend Following Strategy Index Month 9 3.08 1/2010
Trend Following Strategy Index Month 9 2.20 12/2009
Stock Index Trader Index Month 5 2.61 7/2009
Trend Following Strategy Index Month 6 1.30 6/2009
Stock Index Trader Index Month 3 5.29 5/2009
Stock Index Trader Index Month 7 0.54 3/2009
Stock Index Trader Index Month 10 -1.42 10/2008
Stock Index Trader Index Month 3 3.83 9/2008
Stock Index Trader Index Month 10 1.38 8/2008
Trend Following Strategy Index Month 3 3.68 7/2008
Stock Index Trader Index Month 8 3.68 7/2008
Stock Index Trader Index Month 7 3.66 4/2008
Trend Following Strategy Index Month 6 3.66 4/2008
Stock Index Trader Index Month 1 3.60 1/2008
Stock Index Trader Index Month 8 2.32 11/2007
Stock Index Trader Index Month 6 3.44 10/2007
Stock Index Trader Index Month 8 2.18 9/2007
Systematic Trader Index Month 9 6.08 8/2007
Trend Following Strategy Index Month 4 6.08 8/2007
Stock Index Trader Index Month 5 6.08 8/2007
Stock Index Trader Index Month 6 1.10 7/2007
Stock Index Trader Index Month 7 0.00 4/2007

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