Vantage Capital Management : VCM Aggressive Program

archived programs
Year-to-Date
N / A
Aug Performance
7.65%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
45.35%
Sharpe (RFR=1%)
-1.12
CAROR
-
Assets
$ 498k
Worst DD
-48.15
S&P Correlation
0.16

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
12/2009
VCM Aggressive Program 7.65 - - - - - - -36.98
S&P 500 -4.74 - - - - - - 25.34
+/- S&P 500 12.39 - - - - - - -62.32

Strategy Description

Summary

Vantage Capital Management (VCM) is a Commodity Trading Advisor (CTA) registered with the Commodity Futures Trading Commission (CFTC) and a member of the National Futures Association (NFA).We manage capital for individuals, including IRA, SEP, and 401K accounts that can be traded tax... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Anytime
Redemption Frequency
Anytime
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
65%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
5.02%
Sector Focus
Not Specified

Holding Periods

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

Decision-Making

Discretionary
30.00%
Systematic
70.00%

Summary

Vantage Capital Management (VCM) is a Commodity Trading Advisor (CTA) registered with the Commodity Futures Trading Commission (CFTC) and a member of the National Futures Association (NFA).We manage capital for individuals, including IRA, SEP, and 401K accounts that can be traded tax deferred, and for institutions such as banks, hedge funds, pension funds, and trusts.Philosophy:While no strategy can guarantee profits, and there is a risk of loss, our philosophy is to provide clients with elevated performance. VCM strives to balance risk by remaining direction neutral and performing in a manner that is statistically uncorrelated to the performance of the S&P 500 Index. VCM’s strategies avoid forecasting specific market direction, but rather take both sides of the market, which enables VCM to profit in up, down, and lateral markets. VCM’s proprietary trading strategy does not “day trade” or attempt to time the market.

Investment Strategy

VCM Aggressive Program:The strategy writes both put and call option contracts on the S&P 500 index as its primary investment medium. Our methodology is technical and statistical in nature; however, consideration is given to the overall fundamental condition of both domestic and global markets. The strategy avoids forecasting specific market direction, but rather takes both sides of the market and derives profits as a function of Theta, the “time decay” component of options, and of volatility, which has a constant effect on the value of the option. In the Aggressive Program, the short options will typically not be hedged. Although there is no guarantee that a particular account will experience any profits, VCM seeks to maximize returns, while balancing risk, to target an annualized return objective of 20% to 30% and greater.

Risk Management

Risk Management:The greatest risk entailed with the Aggressive Program and Moderate Program trading strategies occurs during periods of extreme S&P 500 Index volatility, specifically periods with large one directional movement. Due to the probability that major/sudden downside movements of 20% or more in the S&P 500 Index is far greater than sudden 20% upward movements, the trading strategies employed by VCM are more cautious regarding major downward movements in contrast to upward movements in the S&P 500 Index. In addition, the Moderate Fund strategy adds hedging to reduce risk.Approach to Risk:The following statement is the opinion of VCM:VCM takes a statistical approach to trading. With the increased frequency of market corrections over the past three decades, investors are realizing that 3 standard deviation events are occurring with greater frequency than initially estimated. Consequently, market implosions are not as rare as some models would imply. While implosions are not predictable, trading models fail when they do not appropriately account for such events transpiring. Model breakdowns arise when fat tail events occur while investors continue to expect mean reversion. A second reason for failure is a dependence on normal or Gaussian distribution (bell curve), which implies that there is less than a 0.3% probability of a tail event occurring. In other words, expecting mean reversion and the dependence on the bell curve causes risk models to underestimate the probability of extreme market moves. While we do believe in mean reversion, VCM acknowledges that the mean may shift before the reversion is completed. Therefore, we view controlling risk as the most critical component of positive performance.

   

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
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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
-48.15 4 - 3/1/2010 7/1/2010
-5.02 1 1 12/1/2009 1/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
14.36 2 2/1/2010 3/1/2010
7.65 1 8/1/2010 8/1/2010
3.96 1 12/1/2009 12/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-48.15 4 4/1/2010 7/1/2010
-5.02 1 1/1/2010 1/1/2010
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Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable44.4442.86
Average Period Return-4.14-13.95
Average Gain6.429.64
Average Loss-12.60-31.65
Best Period11.6910.28
Worst Period-26.00-46.11
Standard Deviation13.0923.29
Gain Standard Deviation4.150.90
Loss Standard Deviation11.3510.50
Sharpe Ratio (1%)-0.32-0.61
Average Gain / Average Loss0.510.30
Profit / Loss Ratio0.410.23
Downside Deviation (10%)12.3025.79
Downside Deviation (5%)12.1125.07
Downside Deviation (0%)12.0624.89
Sortino Ratio (10%)-0.37-0.59
Sortino Ratio (5%)-0.35-0.57
Sortino Ratio (0%)-0.34-0.56

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.