Vegasoul Capital Management Ltd : Investment Program

archived programs
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

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%
Composition Pie Chart

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.

   

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=0.50%)
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=0.50%)
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
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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
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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
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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.