Vaca Capital Management : Global Diversified Program

archived programs
Year-to-Date
N / A
Dec Performance
1.61%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.01%
Sharpe (RFR=1%)
0.50
CAROR
7.95%
Assets
$ 0k
Worst DD
-25.20
S&P Correlation
0.22

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2004
Global Diversified Program 1.61 - - - - - 18.88 108.23
S&P 500 2.36 - - - - - 66.20 203.65
+/- S&P 500 -0.75 - - - - - -47.32 -95.41

Strategy Description

Summary

-Vaca Capital Management, LLC’s (‘VCM”) objective is to deliver consistent, top-quartile risk adjusted returns with moderate correlation to peer group managers. VCM strives to contain downside volatility through stringent risk management controls and diversification across markets,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1250 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 16.17%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 50.00%
1-3 Months 50.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Trend-following
25.00%
Other
50.00%
Strategy Pie Chart

Composition

Summary

-Vaca Capital Management, LLC’s (‘VCM”) objective is to deliver consistent, top-quartile risk adjusted returns with moderate correlation to peer group managers. VCM strives to contain downside volatility through stringent risk management controls and diversification across markets, timeframes and systems.

Investment Strategy

The Vaca Global Diversified Program employs a quantitative approach to trade a diversified portfolio of global futures markets. The program is 100% systematic in nature and is derived from purely technical inputs. Vaca Capital Management LLC offers a diversfied strategy blending pattern recognition, momentum, trend and counter trend systems trading across multiple timeframes.

Risk Management

Please contact Vaca Capital Management to discuss the Investment Strategy and Risk Management Strategy in further detail.

   

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
-25.20 26 - 4/1/2011 6/1/2013
-14.30 12 12 9/1/2005 9/1/2006
-13.12 12 5 6/1/2008 6/1/2009
-11.25 6 4 11/1/2009 5/1/2010
-9.03 4 2 1/1/0001 9/1/2004
-7.63 2 4 11/1/2004 1/1/2005
-6.70 2 1 5/1/2005 7/1/2005
-5.16 1 1 2/1/2011 3/1/2011
-3.57 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
59.76 10 9/1/2007 6/1/2008
34.20 5 6/1/2010 10/1/2010
22.37 5 7/1/2009 11/1/2009
20.00 3 12/1/2010 2/1/2011
16.91 2 8/1/2005 9/1/2005
10.95 2 4/1/2005 5/1/2005
10.06 2 10/1/2004 11/1/2004
9.97 3 2/1/2010 4/1/2010
9.09 6 7/1/2013 12/1/2013
8.79 2 10/1/2006 11/1/2006
8.56 4 4/1/2007 7/1/2007
7.92 1 4/1/2011 4/1/2011
7.00 2 7/1/2011 8/1/2011
5.57 2 7/1/2012 8/1/2012
5.42 1 2/1/2005 2/1/2005
5.36 2 3/1/2013 4/1/2013
3.82 2 4/1/2012 5/1/2012
3.46 1 8/1/2004 8/1/2004
3.40 2 1/1/2012 2/1/2012
2.85 3 12/1/2008 2/1/2009
2.53 1 1/1/2013 1/1/2013
2.08 1 6/1/2006 6/1/2006
1.80 1 1/1/2006 1/1/2006
1.66 1 11/1/2005 11/1/2005
1.53 1 1/1/2007 1/1/2007
0.33 1 8/1/2006 8/1/2006
0.27 1 4/1/2006 4/1/2006
0.08 1 9/1/2008 9/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.03 4 9/1/2012 12/1/2012
-11.90 2 5/1/2011 6/1/2011
-11.19 4 3/1/2009 6/1/2009
-10.39 1 5/1/2010 5/1/2010
-9.94 2 12/1/2009 1/1/2010
-9.51 4 9/1/2011 12/1/2011
-7.82 2 6/1/2004 7/1/2004
-7.63 2 12/1/2004 1/1/2005
-6.89 2 2/1/2006 3/1/2006
-6.70 2 6/1/2005 7/1/2005
-6.10 2 5/1/2013 6/1/2013
-5.16 1 3/1/2011 3/1/2011
-5.15 1 3/1/2012 3/1/2012
-4.62 1 9/1/2004 9/1/2004
-4.59 1 12/1/2005 12/1/2005
-4.45 1 10/1/2005 10/1/2005
-4.37 2 7/1/2008 8/1/2008
-4.16 2 2/1/2007 3/1/2007
-4.07 1 8/1/2007 8/1/2007
-3.85 1 7/1/2006 7/1/2006
-3.57 1 11/1/2010 11/1/2010
-3.46 1 3/1/2005 3/1/2005
-2.99 1 6/1/2012 6/1/2012
-2.43 1 2/1/2013 2/1/2013
-1.03 1 12/1/2006 12/1/2006
-0.71 1 9/1/2006 9/1/2006
-0.62 2 10/1/2008 11/1/2008
-0.49 1 5/1/2006 5/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods115.00113.00110.00104.0098.0092.0080.0068.0056.00
Percent Profitable59.1353.9865.4564.4271.4379.3595.00100.00100.00
Average Period Return0.742.334.8710.2816.1923.2641.9661.5478.92
Average Gain3.637.8910.7720.1326.1332.3644.4261.5478.92
Average Loss-3.51-4.19-6.32-7.54-8.67-11.72-4.75
Best Period16.2526.4348.5654.8862.2669.9672.12141.79154.36
Worst Period-10.39-13.92-15.00-16.14-22.14-22.62-9.2313.2812.18
Standard Deviation4.627.9512.6819.2023.7225.7621.4833.9939.62
Gain Standard Deviation3.456.4311.6616.9620.6320.5019.0533.9939.62
Loss Standard Deviation2.313.104.054.596.126.814.01
Sharpe Ratio (1%)0.140.260.340.480.620.821.811.691.86
Average Gain / Average Loss1.031.881.702.673.012.769.36
Profit / Loss Ratio1.532.213.234.847.5410.61177.79
Downside Deviation (10%)2.874.235.708.009.4410.614.951.673.27
Downside Deviation (5%)2.693.664.645.766.316.931.90
Downside Deviation (0%)2.653.534.395.245.646.121.32
Sortino Ratio (10%)0.120.260.420.660.911.235.2923.9515.70
Sortino Ratio (5%)0.250.570.941.612.333.0720.44
Sortino Ratio (0%)0.280.661.111.962.873.8031.89

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.