Vegasoul Capital Management Ltd : Investment Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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=1%) 1.83 CAROR 27.07% Assets $ 331.6M Worst DD -10.32 S&P Correlation -0.14 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since6/2005 Investment Program 0.22 - - - - - -6.49 553.28 S&P 500 3.60 - - - - - 84.98 212.03 +/- S&P 500 -3.38 - - - - - -91.47 341.25 Strategy Description SummaryTHE 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 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% Industrial Metals 2.00% Precious Metals 2.00% Energy 2.00% Grains 2.00% Livestock 1.00% Softs 1.00% SummaryTHE 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 CTAInvestment StrategyThe 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 ManagementLimiting 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods94.0092.0089.0083.0077.0071.0059.0047.0035.00 Percent Profitable69.1576.0979.7877.1179.2283.10100.00100.00100.00 Average Period Return2.086.6313.9028.8943.9363.52120.81179.09247.69 Average Gain3.749.4018.1938.7156.8477.52120.81179.09247.69 Average Loss-1.69-2.17-3.00-4.21-5.29-5.35 Best Period16.1437.3263.29125.89133.61136.49319.77435.66551.66 Worst Period-4.64-6.89-6.49-8.19-9.05-8.862.2226.5165.99 Standard Deviation3.789.5817.9532.5540.1949.6791.22118.18142.91 Gain Standard Deviation3.329.3417.6630.8035.0542.3691.22118.18142.91 Loss Standard Deviation1.291.971.992.782.952.96 Sharpe Ratio (1%)0.530.670.750.861.061.241.291.481.70 Average Gain / Average Loss2.224.336.079.1910.7414.48 Profit / Loss Ratio5.1513.7723.9330.9540.9671.18 Downside Deviation (10%)1.341.922.674.676.146.642.89 Downside Deviation (5%)1.191.511.802.813.363.240.11 Downside Deviation (0%)1.151.421.602.402.742.49 Sortino Ratio (10%)1.262.814.285.115.928.0236.35 Sortino Ratio (5%)1.694.227.459.9212.6118.961115.14 Sortino Ratio (0%)1.814.678.6612.0516.0325.50 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. x {{title}} x {{title}} Add Cancel