Vista CTA LLC : Index CM

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
6.88%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
10.00%
Annualized Vol
17.54%
Sharpe (RFR=1%)
-0.04
CAROR
-
Assets
$ 296k
Worst DD
-21.54
S&P Correlation
0.49

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
9/2010
Index CM 6.88 - - - - - -8.22 -2.27
S&P 500 1.26 - - - - - 51.28 183.58
+/- S&P 500 5.62 - - - - - -59.50 -185.84

Strategy Description

Summary

The Index CM Program is a modified index outperformance program for investors seeking to outperform the major commodity indices with the added objective of cash management.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 10.00%
Average Commission $18.00
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 750 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 90.00%
1-3 Months 0%
1-30 Days 10.00%
Intraday 0%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Fundamental
30.00%
Technical
70.00%
Strategy Pie Chart

Composition

Precious Metals
40.00%
Energy
20.00%
Grains
20.00%
Softs
20.00%
Composition Pie Chart

Summary

The Index CM Program is a modified index outperformance program for investors seeking to outperform the major commodity indices with the added objective of cash management.

Investment Strategy

VistaCTA will seek to identify and offer the most efficient basket and manage the basket to exceed the returns of the major commodity indexes, while, at times, exiting the market (“going flat”) in order to avoid or reduce drawdowns.

Risk Management

1% position stop, 3% portfolio stop

   

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
-21.54 13 - 4/1/2011 5/1/2012
-2.82 1 1 12/1/2010 1/1/2011
-2.79 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
13.02 4 9/1/2010 12/1/2010
8.80 2 7/1/2011 8/1/2011
7.24 2 6/1/2012 7/1/2012
5.94 2 10/1/2011 11/1/2011
4.48 1 2/1/2011 2/1/2011
4.13 1 4/1/2011 4/1/2011
1.81 2 1/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.79 1 9/1/2011 9/1/2011
-12.06 3 3/1/2012 5/1/2012
-8.97 2 5/1/2011 6/1/2011
-3.13 1 12/1/2011 12/1/2011
-2.82 1 1/1/2011 1/1/2011
-2.79 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods23.0021.0018.0012.00
Percent Profitable60.8733.3327.788.33
Average Period Return0.03-1.25-2.94-7.16
Average Gain3.195.716.6715.04
Average Loss-4.90-4.73-6.64-9.18
Best Period7.8011.6914.7515.04
Worst Period-13.79-12.06-13.27-16.93
Standard Deviation5.066.137.518.13
Gain Standard Deviation2.383.495.92
Loss Standard Deviation4.063.623.884.35
Sharpe Ratio (1%)-0.01-0.24-0.46-1.00
Average Gain / Average Loss0.651.211.001.64
Profit / Loss Ratio1.010.600.390.15
Downside Deviation (10%)4.095.648.3814.15
Downside Deviation (5%)3.934.966.8410.53
Downside Deviation (0%)3.894.806.479.65
Sortino Ratio (10%)-0.09-0.44-0.65-0.86
Sortino Ratio (5%)-0.01-0.30-0.50-0.78
Sortino Ratio (0%)0.01-0.26-0.45-0.74

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.