Vaca Capital Management : Global Diversified Program 2X (Prop)

archived programs
Year-to-Date
N / A
May Performance
-8.20%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
5.00%
Annualized Vol
33.16%
Sharpe (RFR=1%)
0.44
CAROR
10.68%
Assets
$ 800k
Worst DD
-43.99
S&P Correlation
0.25

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
1/2008
Global Diversified Program 2X (Prop) -8.20 - - - - - -18.57 73.30
S&P 500 2.08 - - - - - 69.21 134.75
+/- S&P 500 -10.28 - - - - - -87.78 -61.45

Strategy Description

Summary

The Trading Advisor and Its Principals The Trading Advisor's principals are Francisco J. Vaca, Ph.D. and Paul Rabar. The sole trading principal, Dr. Vaca, is the Chairman and Chief Executive Officer of Vaca Capital Management LLC. Paul Rabar does not participate in the making of trading... 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 5.00%
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 2500 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 0%
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

The Trading Advisor and Its Principals The Trading Advisor's principals are Francisco J. Vaca, Ph.D. and Paul Rabar. The sole trading principal, Dr. Vaca, is the Chairman and Chief Executive Officer of Vaca Capital Management LLC. Paul Rabar does not participate in the making of trading or operational decisions for the Trading Advisor. [The Trading Advisor has been the general partner and investment manager of Vaca Capital Partners L.P., a private investment fund pursuing a long-short investment strategy in the U.S. public equity markets, since February 25, 2002.] Prior to forming Vaca Capital Management LLC in November 2000, Dr. Vaca was an Executive Researcher at C&D Commodities, Inc., where he researched and implemented systematic trading strategies for the futures and equities markets from 1996 to 2000. While working on his Ph.D., Dr. Vaca taught undergraduate physics at Columbia College (Chicago) from 1992 to 1995. Dr. Vaca earned his B.S. in Physics and Mathematics from the Universidad Michoacana (Mexico) and his M.S. and Ph.D. in Physics from the University of Illinois at Chicago.

The Trading Advisor's models were developed through an extensive research and development effort, which uses mathematically and statistically sound research techniques and methodologies. This effort continues on an on going basis. For example, the Trading Advisor continually monitors the models in an attempt to ensure that trade generation and resulting performance are commensurate with expectations from a statistical standpoint. The Trading Advisor's research effort also seeks ways to improve the risk-reward characteristics of existing models and adapt those models to changing market conditions. Finally, through its on going research, the Trading Advisor seeks to develop new models.

Investment Strategy

Description of the Trading Program
The Trading Advisor utilizes quantitative, statistically driven, parametric models to trade exclusively in exchange-traded futures contracts and options on futures contracts, over-the-counter foreign currency forward contracts and EFP contracts (collectively, "commodity interests"). The models used do not directly take into account fundamental data. Instead, they focus on technical factors such as price movements in both commodity interest contracts and the commodities underlying such contracts, as well as other factors such as volume, volatility, and correlation among markets. The name of the Trading Advisor's Trading Program is the Vaca Global Diversified Program.The trade signals generated by the models are both trend-following and, in certain cases, counter-trend. The signals range in time frame from short-term (i.e., dictating position holding periods of a few days) to longer term (i.e., dictating position holding periods of several months). In virtually all circumstances the Trading Advisor will follow the signals generated by the models. In extreme market conditions, however, the Trading Advisor may choose to override the models in whole or in part in an attempt to mitigate risk and exposure in the portfolio. The Trading Advisor employs strict risk management principles designed to control volatility and provide downside protection.

Risk Management

Risk management techniques include, for example, the sizing of positions proportionately to the position's expected risk-reward. Position sizes are further adjusted to take into account market volatility. Stop losses are also an important part of risk management and are utilized to limit the percentage of the portfolio which is exposed to each position and to a specific market overall. Risk is also controlled through diversification across a multitude of markets and across multiple quantitative models, with varying trend identification schemes and holding periods.

   

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
-43.99 20 - 4/1/2011 12/1/2012
-27.93 12 5 6/1/2008 6/1/2009
-21.73 1 4 4/1/2010 5/1/2010
-16.33 2 3 11/1/2009 1/1/2010
-9.38 1 1 2/1/2011 3/1/2011
-8.75 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
70.86 5 6/1/2010 10/1/2010
49.25 6 1/1/2008 6/1/2008
46.59 3 12/1/2010 2/1/2011
44.88 5 7/1/2009 11/1/2009
22.07 3 2/1/2010 4/1/2010
19.17 1 4/1/2011 4/1/2011
12.75 2 7/1/2011 8/1/2011
11.31 2 7/1/2012 8/1/2012
9.71 2 4/1/2012 5/1/2012
9.03 2 3/1/2013 4/1/2013
6.97 2 1/1/2012 2/1/2012
5.56 3 10/1/2008 12/1/2008
3.51 1 1/1/2013 1/1/2013
1.57 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.30 4 9/1/2012 12/1/2012
-23.12 2 5/1/2011 6/1/2011
-21.73 1 5/1/2010 5/1/2010
-20.66 4 3/1/2009 6/1/2009
-17.59 4 9/1/2011 12/1/2011
-16.33 2 12/1/2009 1/1/2010
-14.72 3 7/1/2008 9/1/2008
-9.38 1 3/1/2011 3/1/2011
-8.75 1 11/1/2010 11/1/2010
-8.66 1 3/1/2012 3/1/2012
-8.36 1 6/1/2012 6/1/2012
-8.20 1 5/1/2013 5/1/2013
-2.87 1 2/1/2013 2/1/2013
-0.65 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable58.4652.3850.0053.7068.7576.19100.00100.00
Average Period Return1.293.706.8515.1527.1143.1773.9861.22
Average Gain7.4015.5025.4941.0048.5764.5873.9861.22
Average Loss-7.29-9.28-11.79-14.83-20.08-25.33
Best Period28.4452.5191.12115.00125.39152.33146.76119.92
Worst Period-21.73-26.57-27.91-29.84-41.71-39.1911.3727.72
Standard Deviation9.5717.1027.0838.3947.1451.2238.4528.89
Gain Standard Deviation6.7214.6526.5535.1540.9837.9938.4528.89
Loss Standard Deviation5.507.448.228.2712.3011.72
Sharpe Ratio (1%)0.130.200.230.370.540.801.851.98
Average Gain / Average Loss1.011.672.162.762.422.55
Profit / Loss Ratio1.431.842.163.215.328.16
Downside Deviation (10%)6.068.8411.5914.5816.9118.241.01
Downside Deviation (5%)5.898.2910.4012.1013.7814.40
Downside Deviation (0%)5.858.1510.1111.5013.0513.50
Sortino Ratio (10%)0.150.280.380.701.151.8057.38
Sortino Ratio (5%)0.210.420.611.171.862.86
Sortino Ratio (0%)0.220.450.681.322.083.20

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.