Vision Capital Management : Global Futures 2X

archived programs
Year-to-Date
N / A
Nov Performance
15.00%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
43.91%
Sharpe (RFR=1%)
0.54
CAROR
16.70%
Assets
$ 800k
Worst DD
-48.33
S&P Correlation
-0.36

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
9/2008
Global Futures 2X 15.00 - - - - - 11.38 65.18
S&P 500 -0.51 - - - - - 9.42 185.35
+/- S&P 500 15.51 - - - - - 1.96 -120.17

Strategy Description

Summary

Vision Capital is an alternative investment firm specializing in managed futures. We offer investment products to institutions and high net-worth individuals who seek diversification through uncorrelated asset classes. Our investment products... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 25k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $25.00
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 2000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -50.00%
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 25.00%
4-12 Months 50.00%
1-3 Months 20.00%
1-30 Days 5.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
13.00%
Energy
13.00%
Grains
13.00%
Interest Rates
13.00%
Softs
13.00%
Stock Indices
13.00%
Livestock
12.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

Vision Capital is an alternative investment firm specializing in managed futures. We offer investment products to institutions and high net-worth individuals who seek diversification through uncorrelated asset classes. Our investment products are designed to provide clients with strategic access to a wide range of global futures and commodity markets. Our commitment is to create investment strategies that can add value to our client's investment portfolios in an uncertain market environment.

Investment Strategy

The investment program is quantitative and primarily directional in nature, meaning it seeks to identify and take advantage of upward and downward price trends. Price data is used to respond to price moves across a highly diversified global futures portfolio. Investment rules are executed within a systematic framework. Sophisticated research led to the formulation of the investment approach. The cornerstone of the investment philosophy is that financial markets experience inefficiencies in the form of price trends, which arise as a result of crowd behavior. Although they vary in intensity, duration and frequency, price trends are a universal and recurrent phenomenon across all markets and sectors. As a persistent type of market behavior, trends are an attractive focus for active trading styles applied across a diverse range of global markets.

Risk Management

The main principle behind risk management is strategic diversification in pursuit of a maximum attainable risk spreading, taking correlation analysis and degrees of profit expectancy into account. Market and sector exposure are dynamically adjusted in real time to reflect changes in the volatility of each individual market. An increase in volatility of a particular market means directional positions are exposed to greater risk. Therefore the risk weighting for a market decreases as volatility increases. The assessment of price volatility plays a prominent role. The strength of our Global Futures program is the disciplined, systematic and dynamic nature of investment approach. The overall performance is determined by the entirety of all markets and all trades. The results of individual trades deserve only limited attention in a portfolio strategy. In a systematic investment approach, the consistent disciplined application by Vision’s investment team and a consistent prolonged participation by the client are both essential to realize the pursued returns over the course of time.

   

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:
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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:
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Sharpe Ratio: (RF=1%)
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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
-48.33 28 - 2/1/2009 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
138.76 6 9/1/2008 2/1/2009
29.85 3 7/1/2011 9/1/2011
21.90 3 8/1/2010 10/1/2010
20.99 1 12/1/2010 12/1/2010
18.14 2 8/1/2009 9/1/2009
15.00 1 11/1/2011 11/1/2011
12.66 2 3/1/2010 4/1/2010
11.60 1 4/1/2011 4/1/2011
7.35 1 11/1/2009 11/1/2009
1.47 1 6/1/2009 6/1/2009
0.71 1 2/1/2011 2/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-32.47 2 5/1/2011 6/1/2011
-30.82 3 5/1/2010 7/1/2010
-27.44 3 3/1/2009 5/1/2009
-13.80 3 12/1/2009 2/1/2010
-10.33 1 10/1/2011 10/1/2011
-10.32 1 3/1/2011 3/1/2011
-5.73 1 10/1/2009 10/1/2009
-5.70 1 11/1/2010 11/1/2010
-5.32 1 1/1/2011 1/1/2011
-2.51 1 7/1/2009 7/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable56.4154.0538.2425.0027.2718.75
Average Period Return2.044.832.62-1.96-8.28-11.85
Average Gain10.5922.0333.3330.8831.0126.00
Average Loss-9.02-15.41-16.38-12.91-23.01-20.59
Best Period44.9489.30138.7694.5076.6142.74
Worst Period-25.38-30.82-35.55-26.75-40.22-29.82
Standard Deviation12.6826.4635.3027.8131.3821.09
Gain Standard Deviation9.3123.9540.6039.1034.1920.51
Loss Standard Deviation6.119.428.609.0611.816.73
Sharpe Ratio (1%)0.150.170.06-0.11-0.31-0.66
Average Gain / Average Loss1.171.432.032.391.351.26
Profit / Loss Ratio1.521.681.260.800.510.29
Downside Deviation (10%)7.3512.8716.2217.3027.9028.46
Downside Deviation (5%)7.1712.2914.8214.2723.0721.19
Downside Deviation (0%)7.1312.1414.4713.5521.9219.45
Sortino Ratio (10%)0.220.280.01-0.40-0.57-0.78
Sortino Ratio (5%)0.270.370.14-0.21-0.42-0.65
Sortino Ratio (0%)0.290.400.18-0.14-0.38-0.61

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.