VST Capital Management, LLC


Fund Investment Objectives

The VST COMMODITIES QUANTITATIVE RESEARCH (VST CQR) PROGRAM trades diversified portfolios of commodities futures in energy, metals, grain, livestock, soft, fixed income and currency markets. The goal of the VST CQR program is to have high risk-adjusted returns, as measured by the Sharpe ratio, and to have a minimal correlation to major stock, bond, commodity or hedge fund indices. The VST CQR program employs systematic strategies to detect and exploit market anomalies. The Program uses several statistical models to make investment decisions and to generate trading signals. The trading strategy can be broadly classified into two major categories - the reversion to mean strategy and the momentum strategy. The system uses statistical arbitrage models for the reversion to mean strategy. For the momentum strategy, the system employs trending models and regime switch models.