Vantage Capital Management : VCM Growth Program

archived programs
Year-to-Date
N / A
Jul Performance
5.07%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.73%
Sharpe (RFR=1%)
0.25
CAROR
3.77%
Assets
$ 428k
Worst DD
-33.20
S&P Correlation
0.31

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
VCM Growth Program 5.07 6.96 - 34.25 54.98 - - 18.51
S&P 500 1.97 0.88 - 8.97 52.53 - - 63.56
+/- S&P 500 3.10 6.08 - 25.28 2.45 - - -45.06

Strategy Description

Summary

The VCM Growth Program writes both put and call option contracts on the S&P 500 index as its primary investment vehicle. Although the trading methodology is technical and statistical in nature, consideration is given to the overall fundamental condition of both domestic and global... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 1k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
90.00%
1-30 Days
5.00%
Intraday
0%

Decision-Making

Discretionary
30.00%
Systematic
70.00%

Strategy

Option-spreads
33.00%
Option-writing
33.00%
Spreading/hedging
34.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The VCM Growth Program writes both put and call option contracts on the S&P 500 index as its primary investment vehicle. Although the trading methodology is technical and statistical in nature, consideration is given to the overall fundamental condition of both domestic and global markets.

Investment Strategy

The Program 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. The VCM Growth Program short options will typically be hedged to protect downward market moves, however, may not be hedged 100% of the time. The Growth Program looks to be a little further out of the money when writing options than the previously offered Aggressive Program. In addition, the Growth Program generally uses less leverage than the previously offered Aggressive Program. Although there is no guarantee that a particular account will experience any profits, the Advisor seeks to maximize returns, while balancing risk, to target an annualized return objective of 10% to 20% and greater.

Risk Management

The greatest risk entailed with the Growth 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 to sudden 20% upward movements, the trading strategies employed by the Advisor are more cautious regarding major downward movements contrasted to upward movements in the S&P 500 Index. In addition, the Growth Program generally adds hedging to reduce risk and the Moderate Program adds hedging to reduce risk.

   

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
-33.20 13 34 6/1/2011 7/1/2012
-2.39 1 1 5/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
40.01 6 12/1/2014 5/1/2015
14.47 6 1/1/2011 6/1/2011
10.88 2 9/1/2013 10/1/2013
9.14 4 9/1/2012 12/1/2012
7.19 3 2/1/2014 4/1/2014
6.34 3 1/1/2012 3/1/2012
5.41 2 6/1/2013 7/1/2013
5.07 1 7/1/2015 7/1/2015
5.07 1 8/1/2014 8/1/2014
3.74 2 2/1/2013 3/1/2013
2.88 2 9/1/2011 10/1/2011
0.93 1 12/1/2013 12/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.38 2 7/1/2011 8/1/2011
-11.02 5 4/1/2012 8/1/2012
-11.01 3 9/1/2014 11/1/2014
-9.10 2 4/1/2013 5/1/2013
-4.80 3 5/1/2014 7/1/2014
-2.75 1 11/1/2013 11/1/2013
-2.39 1 6/1/2015 6/1/2015
-2.17 1 8/1/2013 8/1/2013
-1.70 1 1/1/2014 1/1/2014
-0.38 1 1/1/2013 1/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable60.0064.1560.0065.9168.4271.8860.00
Average Period Return0.451.241.361.323.406.007.08
Average Gain3.166.719.999.3713.1816.1822.49
Average Loss-4.19-8.55-11.59-14.25-17.79-20.01-16.04
Best Period9.2125.0540.0134.2537.0047.3854.98
Worst Period-25.28-30.97-29.40-31.76-29.03-31.10-20.83
Standard Deviation5.1210.2414.6714.7617.6820.1723.77
Gain Standard Deviation2.405.8010.038.289.1312.6617.98
Loss Standard Deviation5.669.1310.3711.7612.078.742.68
Sharpe Ratio (1%)0.070.100.060.020.110.200.17
Average Gain / Average Loss0.750.780.860.660.740.811.40
Profit / Loss Ratio1.311.401.291.271.602.072.10
Downside Deviation (10%)4.227.9110.9613.1115.7516.7820.69
Downside Deviation (5%)4.107.499.9711.1012.6412.4712.16
Downside Deviation (0%)4.077.389.7310.6411.9211.4810.27
Sortino Ratio (10%)0.010.00-0.10-0.28-0.27-0.25-0.42
Sortino Ratio (5%)0.090.130.090.030.150.320.33
Sortino Ratio (0%)0.110.170.140.120.280.520.69

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 1 9.21 3/2015
Systematic Trader Index Month 3 9.21 3/2015
IASG CTA Index Month 4 9.21 3/2015
Stock Index Trader Index Month 5 7.58 2/2015
Systematic Trader Index Month 9 7.58 2/2015
IASG CTA Index Month 10 7.58 2/2015
Stock Index Trader Index Month 1 6.11 12/2014
Stock Index Trader Index Month 6 5.07 8/2014
Stock Index Trader Index Month 6 4.48 2/2014
Systematic Trader Index Month 6 8.90 9/2013
Stock Index Trader Index Month 3 8.90 9/2013
IASG CTA Index Month 9 8.90 9/2013
Stock Index Trader Index Month 9 2.66 7/2013
Stock Index Trader Index Month 9 2.68 6/2013
Stock Index Trader Index Month 8 2.94 2/2013
Stock Index Trader Index Month 2 4.70 11/2012
Stock Index Trader Index Month 10 2.80 10/2012
Stock Index Trader Index Month 10 1.30 4/2011
Stock Index Trader Index Month 8 3.23 3/2011
Stock Index Trader Index Month 5 3.52 2/2011

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