Vegasoul Capital Management Ltd : Investment Program

Year-to-Date: N / A
Mar Performance: 0.22%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 25.00%

Annualized Vol: 13.11%
Sharpe (RFR=0.50%): 1.87
CAROR: 27.07%

Assets: $ 331.6M
Worst DD: -10.32
S&P Correlation: -0.14

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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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 6/2005
Investment Program	0.22	1.73	-	0.53	2.22	73.04	-	553.28
S&P 500	3.60	10.03	-	11.41	34.16	18.62	-	27.12
+/- S&P 500	-3.38	-8.29	-	-10.88	-31.94	54.42	-	526.16

Strategy Description

Summary

THE STRATEGY IS NOT OPEN TO US INVESTORS OR US RESIDENTS AND THE INVESTMENT MANAGER OF THE FUND, VEGASOUL CAPITAL MANAGEMENT (ASIA) LTD IS NOT REGISTERED WITH THE NFA AND IS NOT A REGISTERED CTA... Read More

Account & Fees

Type: Fund
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 25.00%
Average Commission: $0
Available to US Investors: No

Subscriptions

High Water Mark: Yes
Subscription Frequency: 15-30 Days
Redemption Frequency: 15-30 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 0 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD: N/A
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 100.00%
Intraday: 0%

Decision-Making

Discretionary: 1.00%
Systematic: 99.00%

Strategy

Composition

Stock Indices: 65.00%
Interest Rates: 15.00%
Currency Futures: 10.00%
Precious Metals: 2.00%
Industrial Metals: 2.00%
Grains: 2.00%
Energy: 2.00%
Livestock: 1.00%
Softs: 1.00%

Summary

THE STRATEGY IS NOT OPEN TO US INVESTORS OR US RESIDENTS AND THE INVESTMENT MANAGER OF THE FUND, VEGASOUL CAPITAL MANAGEMENT (ASIA) LTD IS NOT REGISTERED WITH THE NFA AND IS NOT A REGISTERED CTA

Investment Strategy

The Fund will seek absolute returns by employing a selection of non-correlated quantitative strategies to invest and trade opportunistically in global markets. The Fund expects to have substantial exposure to stock index, financial and commodity futures. The investment horizon will vary from intraday to about 20 days on average. The strategies are adaptive in nature and will be dynamically adjusted with different market volatility and price trends. Investment Process: The generation of strategy signals and the execution of the strategies are completely automated using state of art technologies in order to reduce slippage costs and execution errors. The signals generated by the strategies are implemented without any discretionary inputs from the Investment Manager. Only under certain predefined conditions, e.g., where it is determined that execution of the strategies will involve undue risks, will the strategies be overridden.

Risk Management

Limiting each investment's losses is an integral component of each strategy employed by the Fund. The Fund utilizes non-parametric statistics methods and other quantitative studies to evaluate the effects of an extreme scenario on a portfolio at any time. The Fund will only trade markets with a high degree of liquidity.

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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.

Compare to:

Index:

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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
-10.32	14	-	2/1/2011	4/1/2012
-6.89	3	3	2/1/2007	5/1/2007
-4.39	2	3	5/1/2006	7/1/2006
-3.90	1	2	11/1/2006	12/1/2006
-3.86	1	2	2/1/2008	3/1/2008
-2.62	2	2	8/1/2010	10/1/2010
-1.96	1	1	9/1/2009	10/1/2009
-1.86	2	2	12/1/2008	2/1/2009
-0.55	1	1	5/1/2010	6/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
125.89	12	6/1/2005	5/1/2006
72.63	9	6/1/2007	2/1/2008
34.44	9	4/1/2008	12/1/2008
16.07	7	3/1/2009	9/1/2009
14.97	7	11/1/2009	5/1/2010
8.82	2	1/1/2007	2/1/2007
7.66	2	7/1/2010	8/1/2010
4.22	1	8/1/2006	8/1/2006
4.02	2	10/1/2006	11/1/2006
3.81	4	11/1/2010	2/1/2011
3.41	1	8/1/2011	8/1/2011
2.38	2	12/1/2011	1/1/2012
2.26	1	5/1/2012	5/1/2012
2.02	1	7/1/2012	7/1/2012
1.51	1	1/1/2013	1/1/2013
1.38	2	10/1/2012	11/1/2012
0.29	1	10/1/2011	10/1/2011
0.22	1	3/1/2013	3/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-7.11	5	3/1/2011	7/1/2011
-6.89	3	3/1/2007	5/1/2007
-4.39	2	6/1/2006	7/1/2006
-3.90	1	12/1/2006	12/1/2006
-3.86	1	3/1/2008	3/1/2008
-3.70	1	9/1/2011	9/1/2011
-3.46	3	2/1/2012	4/1/2012
-2.62	2	9/1/2010	10/1/2010
-2.20	1	11/1/2011	11/1/2011
-2.07	2	8/1/2012	9/1/2012
-1.96	1	10/1/2009	10/1/2009
-1.86	2	1/1/2009	2/1/2009
-1.65	1	6/1/2012	6/1/2012
-0.55	1	6/1/2010	6/1/2010
-0.35	1	12/1/2012	12/1/2012
-0.23	1	9/1/2006	9/1/2006

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	94.00	92.00	89.00	83.00	77.00	71.00	59.00	47.00	35.00
Percent Profitable	69.15	76.09	79.78	77.11	79.22	83.10	100.00	100.00	100.00
Average Period Return	2.08	6.63	13.90	28.89	43.93	63.52	120.81	179.09	247.69
Average Gain	3.74	9.40	18.19	38.71	56.84	77.52	120.81	179.09	247.69
Average Loss	-1.69	-2.17	-3.00	-4.21	-5.29	-5.35
Best Period	16.14	37.32	63.29	125.89	133.61	136.49	319.77	435.66	551.66
Worst Period	-4.64	-6.89	-6.49	-8.19	-9.05	-8.86	2.22	26.51	65.99
Standard Deviation	3.78	9.58	17.95	32.55	40.19	49.67	91.22	118.18	142.91
Gain Standard Deviation	3.32	9.34	17.66	30.80	35.05	42.36	91.22	118.18	142.91
Loss Standard Deviation	1.29	1.97	1.99	2.78	2.95	2.96
Sharpe Ratio (1%)	0.53	0.67	0.75	0.86	1.06	1.24	1.29	1.48	1.70
Average Gain / Average Loss	2.22	4.33	6.07	9.19	10.74	14.48
Profit / Loss Ratio	5.15	13.77	23.93	30.95	40.96	71.18
Downside Deviation (10%)	1.34	1.92	2.67	4.67	6.14	6.64	2.89
Downside Deviation (5%)	1.19	1.51	1.80	2.81	3.36	3.24	0.11
Downside Deviation (0%)	1.15	1.42	1.60	2.40	2.74	2.49
Sortino Ratio (10%)	1.26	2.81	4.28	5.11	5.92	8.02	36.35
Sortino Ratio (5%)	1.69	4.22	7.45	9.92	12.61	18.96	1115.14
Sortino Ratio (0%)	1.81	4.67	8.66	12.05	16.03	25.50

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.

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Vegasoul Capital Management Ltd : Investment Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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