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Capital Trading Group
CTA Profile - Pacific Capital Advisors Inc.
Program - Vanguard
Principal(s): Robert Hartman
Trading Strategy: Intraday / Stock Indexes

Trading Description:
PCA's Vanguard Program trades stock index futures on an intraday basis. The program is 90% systematic, 10% discretionary. Both mean reversion and momentum trading methods are used to exploit various market conditions. Intraday trades avoid overnight price shocks. Stop-loss levels, time exits and diversification across sectors and geographical regions help control risk. Program is in the market less than 7% of the time.

The methods used in the Vanguard Program are based upon a variety of techniques. Price patterns on daily, weekly and monthly time-frames provide setups for momentum or mean reversion trades on an intraday basis. The core principles of these techniques have shown effectiveness across many markets over many years of historical testing.

Not all methods are applied to all markets. Some markets exhibit characteristics best suited for breakout or momentum trading, while others are best traded using mean-reversion methods. The most appropriate method or methods are applied to suitable markets. Markets traded are selected based upon liquidity, volitility, potential profitability and potential diversification. Multiple entry and exit points in each market, combined with trading multiple liquid markets provide capacity of at least $40M at this time.

Risk Strategy:
 Total risk per day and per trade, total long side vs. short side risk, and sector risk are all measured and limited.

Trading a variety of markets and the use of multiple trading methods reduce risk. Market correlations are carefully monitored.
Trading Approach
Systematic - 90.00%
 Discretionary - 10.00%
Trading Methodology
Non Trend Following:
Momentum
Counter-Trend Following
Pattern Recognition
Markets Traded

Stock Indicies
Sector
Global Markets
Contracts Traded
Futures

Annual Performance Since 2003
2003
0.00%
2004
0.00%
2005
0.00%
2006
0.00%
2007
11.38%
2008
16.56%
2009
2.43%
Recent Performance
Currency Denomination - US Dollars 
2010 Monthly Return YTD Return Assets Under Mgt
08/31/10 1.52% 8.64% 23,600,000
07/31/10 -2.72% 7.01% 17,100,000
06/30/10 0.35% 10.01% 13,700,000
05/31/10 0.78% 9.62% 12,700,000
04/30/10 1.29% 8.77% 11,400,000
03/31/10 2.13% 7.38% 6,154,069
02/28/10 2.00% 5.14% 4,180,702
01/31/10 3.08% 3.08% 3,261,111
2009 Monthly Return YTD Return Assets Under Mgt
12/31/09 2.20% 2.43% 3,236,482
11/30/09 -0.06% 0.23% 3,318,213
10/31/09 -1.36% 0.29% 3,320,104
09/30/09 0.68% 1.68% 4,287,679



VAMI Chart (Based on a $1,000 Initial Value)
 Monthly Percentage Returns Chart

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Investment Details
 Disclosure Document Date
01/21/10  
 Starting Date of Program
04/01/07 
 Accepting New Money?
Yes  
 Average  Annual Rate of Return
11.42% 
 Peak to Valley Drawdown
-5.09 % 
Average  Margin as % of Equity
10.00% 
 Round Turns per Million
5,000 
 Minimum Sized Account
300,000 
 Currency Denomination
US Dollars 
 Management Fee
2.00% 
 Incentive Fee
20.00% 
 Notional Funding?
Yes  
 Member of NFA
Yes  
 Other Memberships
 


Statistical Definitions
(1) From January 1990 or Starting Date of Program - The Annual Average Rate of Return represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. This includes all monthly data from the inception of the program or from January 1990, whichever is less.
(2) From January 1990 or Starting Date of Program - The Worst Peak-to-Valley Drawdown is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value. "Monthly" indicates that the Worst-Peak-to-Valley Drawdown" is based on monthly Data.

 
 

Risk Disclosure
THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

THE ABOVE PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE CTAS. CAPTIAL TRADING GROUP LP NO WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATIONAL PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH CTA'S RISK DISCLOSURE DOCUMENT. THERE MAY BE CTAS WHO HAVE CHOSEN NOT TO PARTICIPATE THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE CTAS IN OUR DATABASE.

PLEASE NOTE THAT THERE IS AN INHERENT RISK OF LOSS ASSOCIATED WITH TRADING FUTURES AND OPTIONS CONTRACTS. PLEASE CAREFULLY CONSIDER YOUR FINANCIAL CONDITION BEFORE INVESTING IN FUTURES AND OPTIONS CONTRACTS. FUTURES TRADING IS NOT SUITABLE FOR ALL INVESTORS