VST Capital Management, LLC : VST CQR Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since12/2011 VST CQR Program 1.97 - - - - - - 6.54 S&P 500 -3.13 - - - - - - 195.63 +/- S&P 500 5.10 - - - - - - -189.09 Strategy Description SummaryThe 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% 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% SummaryThe 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 marketsRisk ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel