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M.S. Capital Management Limited

MS Global Diversified Program QEP only

Investment Strategy

MS’ trading strategy attempts to capture significant price changes in futures and forward markets. Medium to long term proprietary technical trading models are used to generate trade signals. These models analyse market data and utilize trend following and pattern recognition algorithms. The models are diversified across time frames and are applied across all markets traded. As a result a market can be traded by several models concurrently. The trades signalled by each model are followed independently of the other models.

Performance (VAMI)

Monthly Returns

Fund Manager

Mark Sleeman, born in 1962, is the sole director, employee and shareholder of M.S. Capital Management Limited. He incorporated the company in August 1995 and has served as Managing Director since then. From December 1986 to September 1997 Mr Sleeman operated his own residential construction contracting business, as a sole proprietor, while developing futures trading systems on a part time basis. Mr Sleeman ceased all construction activities in September 1997 to become a full-time employee of MS. Mr Sleeman is a graduate of Auckland University in New Zealand, where he earned a Bachelor of Mechanical Engineering (Hons) in 1985. Mr Sleeman is registered as an associated person (“AP”) of M.S. Capital Management Limited, effective 28 February 2005. He is listed as a principal of the firm, effective 14 January 2005.

General Information

Inception DateNov 1998
Minimum Investment2,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
Phone+64 9 630 8411
E-mail[email protected]
Websitewww.mscapmgmt.com

Statistics

Total Return Cumulative 248.33%
Sharpe Ratio 0.38
Sortino Ratio 0.47
Winning Months (%) 52.46%
Correlation vs. S&P 500 TR -0.07

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.96 5.76 4.58 11.67
2023 0.74 1.48 -0.88 2.55 3.57 -2.60 0.52 -0.44 2.25 1.81 -1.06 -0.30 7.73
2022 1.93 3.75 4.37 7.52 -2.30 -1.98 -1.47 0.52 5.41 -2.09 -5.88 -1.61 7.58
2021 5.00 12.50 -0.79 12.94 1.49 -1.67 2.27 -0.62 4.93 -1.31 -2.72 2.46 38.56
2020 3.27 1.29 3.60 0.12 0.23 -2.38 2.65 -2.19 -4.64 0.44 1.91 9.64 14.07
2019 -4.13 1.72 1.04 1.84 1.42 -0.63 0.79 8.83 -9.53 -5.95 0.39 1.85 -3.49
2018 7.44 -10.16 -0.79 1.08 -1.88 -2.49 1.80 6.24 -2.42 -8.61 1.92 -0.21 -9.15
2017 1.17 -1.30 -4.18 3.04 -1.56 -0.98 1.08 0.94 -5.49 4.88 -1.28 3.76 -0.45
2016 2.09 3.24 -4.61 -2.47 -5.06 6.00 2.83 -4.97 6.46 -6.45 -0.30 -4.05 -8.13
2015 4.95 -0.32 3.30 -4.40 0.04 -1.14 2.07 -1.52 4.63 -8.16 4.93 0.16 3.72
2014 -1.07 3.58 3.44 2.33 0.05 6.99 3.38 3.12 5.96 1.57 6.81 4.06 48.06
2013 0.55 -1.69 1.38 2.48 -1.26 0.54 -2.16 -2.87 0.30 2.58 0.98 0.45 1.12
2012 -0.53 -1.24 -3.62 1.45 1.44 -8.94 6.90 -5.07 -1.88 -4.94 -1.16 0.27 -16.77
2011 3.40 0.50 -3.18 1.33 -12.90 -10.08 5.51 -4.37 12.10 -14.01 6.50 0.31 -17.03
2010 -3.90 0.20 6.50 2.42 -12.69 3.63 -2.70 7.51 4.97 10.69 -5.58 13.06 23.31
2009 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT -1.98 1.61 3.66 2.11 -1.71 6.21 -0.77 9.21
2008 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00
2007 -0.04 -3.92 -6.53 2.43 1.69 7.23 -2.85 -7.91 3.73 3.69 0.00NT 0.00NT -3.52
2006 3.93 -4.57 13.84 9.51 4.30 -6.60 -3.56 1.05 -0.60 1.60 -0.55 0.07 17.97
2005 -1.80 -0.35 -0.22 -4.18 1.75 2.30 -4.37 -2.81 -2.23 0.49 5.21 1.79 -4.76
2004 1.46 12.24 0.72 -8.16 -0.28 -4.45 3.55 -2.39 3.75 0.08 4.69 -2.19 7.86
2003 8.56 4.11 -10.81 -2.61 12.11 -7.40 -2.73 -1.70 -8.16 10.43 -6.37 1.94 -5.67
2002 -1.76 -0.34 -3.42 -4.48 6.06 -0.48 -1.79 9.00 7.76 -6.56 0.82 4.82 8.60
2001 2.30 5.34 10.43 -7.54 1.27 1.67 6.23 -1.14 8.72 4.88 -5.34 -4.24 22.97
2000 3.50 17.70 -9.73 4.45 5.97 -4.53 -0.53 3.74 -6.98 -1.38 0.85 5.37 16.89
1999 -4.58 -1.51 1.30 5.09 -3.34 -1.06 -4.71 0.82 -0.35 -9.29 2.17 -3.74 -18.28
1998 0.50 4.01 4.53
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month -
Year To Date 11.67%
3 Month ROR 11.67%
12 Months ROR 18.72%
36 Month ROR 53.01%
Total Return Cumulative 248.33%
Total Return Annualized 5.03%
Best Month 17.70%
Winning Months (%) 52.46%
Gain Deviation 3.34

Risk Statistics

Standard Deviation Annualized 16.34%
Max Drawdown (Monthly) -35.62%
Max Drawdown Length 47
Worst Month -14.01%
Losing Months (%) 41.31%
Average Losing Month -3.58%
Loss Deviation 3.02
Correlation vs S&P 500 -0.07
Correlation vs DJ/CS MF 0.64

Risk/Reward Statistics

Sharpe Ratio 0.38
Sortino Ratio 0.47
Omega Ratio 0.83
Skewness 0.14
Kurtosis 1.09

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -35.62% 30 17 03/2011 01/2015
2 -25.59% 44 16 03/2016 02/2021
3 -20.81% 7 31 03/2003 04/2006
4 -18.32% 8 14 05/1999 02/2001
5 -18.13% 6 9 11/2001 01/2003

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 17.70%-14.01%0.52%0.23%4.58%52.46%
3 Months 30.03%-20.64%1.46%0.21%11.67%50.83%
6 Months 47.89%-23.82%2.94%0.63%12.14%53.67%
1 Year 58.09%-21.93%5.88%2.27%18.72%56.46%
2 Years 84.51%-34.31%12.64%9.35%17.25%65.96%
3 Years 87.74%-33.19%18.22%13.85%53.01%71.48%
5 Years 100.34%-21.33%23.16%21.58%100.34%84.96%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg5.03%15.09%32.33%75.56%224.77%452.67%
% Positive52.46%50.83%53.67%56.46%65.96%71.48%
Avg. Pos. Period3.81%7.09%10.34%15.59%24.43%29.99%
Avg. Neg. Period-3.58%-4.92%-6.26%-7.17%-10.20%-11.27%
Sharpe Ratio0.380.660.911.301.862.37
Sortino Ratio0.470.991.602.884.867.20
Standard Deviation4.72%7.68%11.21%15.65%23.57%26.61%
Downside Deviation3.01%4.12%5.10%5.77%7.35%7.37%
No data filled

Company Information

Minimum Investment2,000,000 USD (notional funding: 50.00%)
AUM4,444,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million400
Margin to Equity12.00%
Legal StructureManaged Account
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyM.S. Capital Management Limited
PrincipalMark Sleeman
Phone+64 9 630 8411
E-mail[email protected]
License NumberNFA 351071
LocationNew Zealand
Performance Compiled byM.S. Capital Management Limited

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.96 5.76 4.58 11.67
2023 0.74 1.48 -0.88 2.55 3.57 -2.60 0.52 -0.44 2.25 1.81 -1.06 -0.30 7.73
2022 1.93 3.75 4.37 7.52 -2.30 -1.98 -1.47 0.52 5.41 -2.09 -5.88 -1.61 7.58
2021 5.00 12.50 -0.79 12.94 1.49 -1.67 2.27 -0.62 4.93 -1.31 -2.72 2.46 38.56
2020 3.27 1.29 3.60 0.12 0.23 -2.38 2.65 -2.19 -4.64 0.44 1.91 9.64 14.07
2019 -4.13 1.72 1.04 1.84 1.42 -0.63 0.79 8.83 -9.53 -5.95 0.39 1.85 -3.49
2018 7.44 -10.16 -0.79 1.08 -1.88 -2.49 1.80 6.24 -2.42 -8.61 1.92 -0.21 -9.15
2017 1.17 -1.30 -4.18 3.04 -1.56 -0.98 1.08 0.94 -5.49 4.88 -1.28 3.76 -0.45
2016 2.09 3.24 -4.61 -2.47 -5.06 6.00 2.83 -4.97 6.46 -6.45 -0.30 -4.05 -8.13
2015 4.95 -0.32 3.30 -4.40 0.04 -1.14 2.07 -1.52 4.63 -8.16 4.93 0.16 3.72
2014 -1.07 3.58 3.44 2.33 0.05 6.99 3.38 3.12 5.96 1.57 6.81 4.06 48.06
2013 0.55 -1.69 1.38 2.48 -1.26 0.54 -2.16 -2.87 0.30 2.58 0.98 0.45 1.12
2012 -0.53 -1.24 -3.62 1.45 1.44 -8.94 6.90 -5.07 -1.88 -4.94 -1.16 0.27 -16.77
2011 3.40 0.50 -3.18 1.33 -12.90 -10.08 5.51 -4.37 12.10 -14.01 6.50 0.31 -17.03
2010 -3.90 0.20 6.50 2.42 -12.69 3.63 -2.70 7.51 4.97 10.69 -5.58 13.06 23.31
2009 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT -1.98 1.61 3.66 2.11 -1.71 6.21 -0.77 9.21
2008 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00NT 0.00
2007 -0.04 -3.92 -6.53 2.43 1.69 7.23 -2.85 -7.91 3.73 3.69 0.00NT 0.00NT -3.52
2006 3.93 -4.57 13.84 9.51 4.30 -6.60 -3.56 1.05 -0.60 1.60 -0.55 0.07 17.97
2005 -1.80 -0.35 -0.22 -4.18 1.75 2.30 -4.37 -2.81 -2.23 0.49 5.21 1.79 -4.76
2004 1.46 12.24 0.72 -8.16 -0.28 -4.45 3.55 -2.39 3.75 0.08 4.69 -2.19 7.86
2003 8.56 4.11 -10.81 -2.61 12.11 -7.40 -2.73 -1.70 -8.16 10.43 -6.37 1.94 -5.67
2002 -1.76 -0.34 -3.42 -4.48 6.06 -0.48 -1.79 9.00 7.76 -6.56 0.82 4.82 8.60
2001 2.30 5.34 10.43 -7.54 1.27 1.67 6.23 -1.14 8.72 4.88 -5.34 -4.24 22.97
2000 3.50 17.70 -9.73 4.45 5.97 -4.53 -0.53 3.74 -6.98 -1.38 0.85 5.37 16.89
1999 -4.58 -1.51 1.30 5.09 -3.34 -1.06 -4.71 0.82 -0.35 -9.29 2.17 -3.74 -18.28
1998 0.50 4.01 4.53
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

MS’ trading strategy attempts to capture significant price changes in futures and forward markets. Medium to long term proprietary technical trading models are used to generate trade signals. These models analyse market data and utilize trend following and pattern recognition algorithms. The models are diversified across time frames and are applied across all markets traded. As a result a market can be traded by several models concurrently. The trades signalled by each model are followed independently of the other models.

Return Statistics

Last Month -
Year To Date 11.67%
3 Month ROR 11.67%
12 Months ROR 18.72%
36 Month ROR 53.01%
Total Return Cumulative 248.33%
Total Return Annualized 5.03%
Best Month 17.70%
Winning Months (%) 52.46%
Gain Deviation 3.34

Risk Statistics

Standard Deviation Annualized 16.34%
Max Drawdown (Monthly) -35.62%
Max Drawdown Length 47
Worst Month -14.01%
Losing Months (%) 41.31%
Average Losing Month -3.58%
Loss Deviation 3.02
Correlation vs S&P 500 -0.07
Correlation vs DJ/CS MF 0.64

Risk/Reward Statistics

Sharpe Ratio 0.38
Sortino Ratio 0.47
Omega Ratio 0.83
Skewness 0.14
Kurtosis 1.09

Performance (VAMI)

Fund Manager

Mark Sleeman, born in 1962, is the sole director, employee and shareholder of M.S. Capital Management Limited. He incorporated the company in August 1995 and has served as Managing Director since then. From December 1986 to September 1997 Mr Sleeman operated his own residential construction contracting business, as a sole proprietor, while developing futures trading systems on a part time basis. Mr Sleeman ceased all construction activities in September 1997 to become a full-time employee of MS. Mr Sleeman is a graduate of Auckland University in New Zealand, where he earned a Bachelor of Mechanical Engineering (Hons) in 1985. Mr Sleeman is registered as an associated person (“AP”) of M.S. Capital Management Limited, effective 28 February 2005. He is listed as a principal of the firm, effective 14 January 2005.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -35.62% 30 17 03/2011 01/2015
2 -25.59% 44 16 03/2016 02/2021
3 -20.81% 7 31 03/2003 04/2006
4 -18.32% 8 14 05/1999 02/2001
5 -18.13% 6 9 11/2001 01/2003

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 17.70%-14.01%0.52%0.23%4.58%52.46%
3 Months 30.03%-20.64%1.46%0.21%11.67%50.83%
6 Months 47.89%-23.82%2.94%0.63%12.14%53.67%
1 Year 58.09%-21.93%5.88%2.27%18.72%56.46%
2 Years 84.51%-34.31%12.64%9.35%17.25%65.96%
3 Years 87.74%-33.19%18.22%13.85%53.01%71.48%
5 Years 100.34%-21.33%23.16%21.58%100.34%84.96%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg5.03%15.09%32.33%75.56%224.77%452.67%
% Positive52.46%50.83%53.67%56.46%65.96%71.48%
Avg. Pos. Period3.81%7.09%10.34%15.59%24.43%29.99%
Avg. Neg. Period-3.58%-4.92%-6.26%-7.17%-10.20%-11.27%
Sharpe Ratio0.380.660.911.301.862.37
Sortino Ratio0.470.991.602.884.867.20
Standard Deviation4.72%7.68%11.21%15.65%23.57%26.61%
Downside Deviation3.01%4.12%5.10%5.77%7.35%7.37%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.