VST Capital Management, LLC : VST CQR Program

archived programs
Year-to-Date
N / A
Aug Performance
1.97%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
3.59%
Sharpe (RFR=1%)
0.75
CAROR
-
Assets
$ 1.0M
Worst DD
-2.49
S&P Correlation
-0.29

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
12/2011
VST CQR Program 1.97 - - - - - - 6.54
S&P 500 -3.13 - - - - - - 175.50
+/- S&P 500 5.10 - - - - - - -168.96

Strategy Description

Summary

The VST CQR program employs multiple systematic strategies to detect market anomalies and high probability trading opportunities. Market neutral pairs trading are primarily used to express market positions. VST utilizes cutting edge technology and a unique modeling and trading perspective... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
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 1200 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 7.00%
1-30 Days 62.00%
Intraday 31.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Arbitrage
50.00%
Counter-trend
25.00%
Momentum
25.00%
Strategy Pie Chart

Composition

Energy
21.00%
Interest Rates
21.00%
Precious Metals
20.00%
Currency Futures
11.00%
Grains
11.00%
Industrial Metals
9.00%
Softs
7.00%
Composition Pie Chart

Summary

The VST CQR program employs multiple systematic strategies to detect market anomalies and high probability trading opportunities. Market neutral pairs trading are primarily used to express market positions. VST utilizes cutting edge technology and a unique modeling and trading perspective based on Mr. Singh’s background in Theoretical Statistics and years as a proprietary trader. All facets of the statistical models, risk management, and trading allocation are automated or proceduralized. The trading is therefore systematic. However, statistical modeling and probability calculating are not entirely efficient, cannot predict with certainty, and are in state of constant change. Based on this, VST feels our trading is optimally done as both science and art, or, written another way, both systematic (95%) and discretionary (5%).

Investment Strategy

• VST CQR Program
• 95% Systematic
• Overall market neutral strategy
• Disciplined risk management and focus on volatility target (5%-10%)
• Short-term and medium-term trade durations
• Primary trades domestic markets

Risk Management

The Program is created to have the potential to profit in many different market environments. A unique and well founded blend of reversion to mean (statistical arbitrage and relative value) and momentum (trend following and regime switch) strategies are utilized. A natural result of combining a wide variety of systems applied to broad spectrum of markets with a discretionary filter leads to returns that are not correlated to traditional and alternative assets.

   

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
-2.49 4 - 11/1/2012 3/1/2013
-1.14 1 1 1/1/0001 12/1/2011
-0.98 1 1 3/1/2012 4/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
5.60 7 5/1/2012 11/1/2012
2.59 3 1/1/2012 3/1/2012
1.68 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.49 4 12/1/2012 3/1/2013
-1.14 1 12/1/2011 12/1/2011
-0.98 1 4/1/2012 4/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable64.7173.3375.00
Average Period Return0.300.842.16
Average Gain0.891.673.12
Average Loss-0.77-1.44-0.70
Best Period1.883.475.46
Worst Period-1.14-2.34-1.33
Standard Deviation0.971.732.05
Gain Standard Deviation0.601.041.26
Loss Standard Deviation0.390.930.63
Sharpe Ratio (1%)0.220.340.81
Average Gain / Average Loss1.151.164.43
Profit / Loss Ratio2.103.1813.29
Downside Deviation (10%)0.741.481.65
Downside Deviation (5%)0.550.970.65
Downside Deviation (0%)0.510.850.44
Sortino Ratio (10%)-0.14-0.26-0.19
Sortino Ratio (5%)0.400.612.54
Sortino Ratio (0%)0.590.984.97

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.