Vision Capital Management : Global Futures

archived programs
Year-to-Date
N / A
Feb Performance
1.19%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.72%
Sharpe (RFR=1%)
0.20
CAROR
3.05%
Assets
$ 500k
Worst DD
-28.05
S&P Correlation
-0.04

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2012
Global Futures 1.19 1.19 - 5.75 10.71 16.29 - 16.50
S&P 500 3.72 7.50 - 22.33 27.11 73.07 - 74.58
+/- S&P 500 -2.53 -6.31 - -16.57 -16.40 -56.78 - -58.08

Strategy Description

Summary

Vision Capital is a research driven investment firm specializing in alternative investment strategies. We seek to achieve positive absolute returns through a Multi-Strategy investment approach which is applied across a highly diversified global portfolio. www.visioncapitalmanag... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
28.05%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
30.00%
1-3 Months
25.00%
1-30 Days
40.00%
Intraday
0%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Pattern Recognition
60.00%
Trend-following
40.00%
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%
Precious Metals
10.00%
Livestock
9.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

Vision Capital is a research driven investment firm specializing in alternative investment strategies. We seek to achieve positive absolute returns through a Multi-Strategy investment approach which is applied across a highly diversified global portfolio. www.visioncapitalmanagement.com

Investment Strategy

Vision Capital is a research driven investment firm specializing in alternative investment strategies. We seek to achieve positive absolute returns through a Multi-Strategy investment approach which is applied across a highly diversified global portfolio. Strategies implemented within the program are pattern recognition and trend-following. By utilizing a multi-strategy approach we are able to capitalize on a greater range of opportunities and market environments compare to a single strategy approach.

Risk Management

Risk management and capital preservation is paramount to the long term success of any trading approach. The Advisor employs proprietary risk management techniques designed to control risk in a client’s account. In order to control risk each trading system limits how much equity should be committed to each position, the risk taken is a small fraction of the total equity value. To further reduce risk limits are also imposed on total risk levels for each sector, strategy and portfolio as a whole. Finally we minimize overall risk, volatility and drawdowns by being diversified in the markets we trade, sectors we are in, trade duration and by strategy.

   

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
-28.05 17 - 3/1/2015 8/1/2016
-15.97 2 19 9/1/2012 11/1/2012
-4.75 3 1 2/1/2012 5/1/2012
-3.12 1 1 9/1/2014 10/1/2014
-2.64 1 1 1/1/2015 2/1/2015
-0.31 1 1 6/1/2014 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
20.99 3 11/1/2014 1/1/2015
14.56 4 6/1/2012 9/1/2012
14.52 3 12/1/2012 2/1/2013
13.28 7 12/1/2013 6/1/2014
12.98 3 9/1/2015 11/1/2015
10.21 1 6/1/2016 6/1/2016
9.88 2 8/1/2014 9/1/2014
9.63 2 9/1/2016 10/1/2016
8.24 2 1/1/2016 2/1/2016
8.14 2 9/1/2013 10/1/2013
6.73 2 1/1/2017 2/1/2017
6.28 1 3/1/2015 3/1/2015
1.24 1 5/1/2015 5/1/2015
0.20 1 2/1/2012 2/1/2012
0.14 1 4/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.39 3 3/1/2016 5/1/2016
-15.97 2 10/1/2012 11/1/2012
-11.37 6 3/1/2013 8/1/2013
-10.02 3 6/1/2015 8/1/2015
-10.02 2 7/1/2016 8/1/2016
-10.00 1 4/1/2015 4/1/2015
-7.72 2 11/1/2016 12/1/2016
-4.73 1 5/1/2012 5/1/2012
-4.30 1 12/1/2015 12/1/2015
-3.12 1 10/1/2014 10/1/2014
-2.64 1 2/1/2015 2/1/2015
-1.19 1 11/1/2013 11/1/2013
-0.31 1 7/1/2014 7/1/2014
-0.16 1 3/1/2012 3/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable57.3852.5462.5054.0056.8278.95100.00100.00
Average Period Return0.400.992.274.349.4716.0225.3516.26
Average Gain3.817.199.4716.7424.6623.2225.3516.26
Average Loss-4.20-5.88-9.73-10.22-10.52-10.96
Best Period12.7120.9828.7945.0158.7947.7451.1943.61
Worst Period-16.33-24.39-25.02-20.38-24.02-22.277.523.36
Standard Deviation5.418.2811.7217.5821.7019.7912.7212.14
Gain Standard Deviation3.464.527.4314.0815.6215.1312.7212.14
Loss Standard Deviation3.945.616.486.637.578.20
Sharpe Ratio (1%)0.060.090.150.190.370.711.751.00
Average Gain / Average Loss0.911.220.971.642.342.12
Profit / Loss Ratio1.221.351.621.923.087.94
Downside Deviation (10%)3.936.198.4211.2612.9310.752.2510.52
Downside Deviation (5%)3.775.677.368.799.276.920.19
Downside Deviation (0%)3.735.557.108.218.446.14
Sortino Ratio (10%)0.00-0.04-0.02-0.060.150.544.26-0.50
Sortino Ratio (5%)0.080.130.240.380.862.0364.75
Sortino Ratio (0%)0.110.180.320.531.122.61

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 3 5.47 1/2017
Systematic Trader Index Month 4 5.47 1/2017
IASG CTA Index Month 5 5.47 1/2017
Diversified Trader Index Month 3 5.47 1/2017
Diversified Trader Index Month 3 8.32 9/2016
Discretionary Trader Index Month 3 8.32 9/2016
IASG CTA Index Month 3 8.32 9/2016
Systematic Trader Index Month 3 8.32 9/2016
IASG CTA Index Month 6 10.21 6/2016
Trend Following Strategy Index Month 6 10.21 6/2016
Diversified Trader Index Month 7 10.21 6/2016
Systematic Trader Index Month 8 10.21 6/2016
Trend Following Strategy Index Month 9 10.10 11/2015
Diversified Trader Index Month 9 10.10 11/2015
Systematic Trader Index Month 10 10.10 11/2015
IASG CTA Index Month 7 10.10 11/2015
Trend Following Strategy Index Month 10 0.44 10/2015
Trend Following Strategy Index Month 9 6.28 3/2015

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