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Agility Trading Strategy - Agility Trading Strategy
Agility Trading Strategy
Agility Trading Strategy
QEP only
Overview
Charts
Stats & Ratios
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Investment Strategy
At Agility Trading our goal is to participate when equity markets rally while providing downside protection when markets experience painful selloffs Our proprietary trading algorithm centers around trading the most liquid exchange traded futures contracts This approach allows us to benefit from the inherent liquidity advantages of trading futures contracts a crucial tool to have at one's disposal during times of market uncertainty and
disruption. Agility Trading’s strategy is designed to provide a " against broader market downturns by introducing an array of complementary and diversified strategies on futures contracts positions These strategies combined have demonstrated a correlation profile that protects against downside losses without sacrificing upside potential.
Performance (VAMI)
Monthly Returns
Fund Manager
 Futures and Commodities Industry since 1993 Co-Founder, Managing Member & President. Partner in Chicago International Arbitrage, London UK. Floor Market Maker, LIFFE, London UK. Began career with Mary Kay Cosmetics, London UK. MBA Univ. of Chicago, Arthur D. Little Scholarship. BS Math & Computer Science, Emory Univ., H.S. Garlund Scholarship, Bronx High School of Science. Registered Series 3, FSA. National Futures Association Principal, Associated Person and Associate Member since 2003. Co-Author, Diversification is Not Enough, Published in 2012 by High Finance Publishing. Â
General Information
Inception Date
May 2019
Minimum Investment
1,000,000 USD
Management Fee
0.85%
Performance Fee
25.00%
Highwater Mark
Yes
Phone
561-484-7321
E-mail
[email protected]
Website
www.agilitytrading.com
Statistics
Total Return Cumulative
159.44%
Sharpe Ratio
1.34
Sortino Ratio
2.73
Winning Months (%)
61.02%
Correlation vs. S&P 500 TR
0.31
Monthly Performance
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-0.21
4.26
0.83
4.90
2023
-2.63
6.77
-7.50
0.68
5.57
1.74
-3.20
-2.67
0.37
-3.55
9.10
6.27
9.97
2022
-0.34
-6.44
10.10
-1.73
-4.60
-4.44
3.37
-0.22
5.14
-2.12
1.48
-0.90
-1.83
2021
-3.09
8.26
4.36
4.80
-2.54
1.34
0.35
1.49
-4.04
7.14
-1.60
0.85
17.76
2020
5.30
0.00
6.70
12.17
2.28
-3.22
4.43
7.52
-3.39
4.17
-2.55
3.67
42.42
2019
4.23
9.96
0.57
3.09
3.22
-2.09
8.88
4.47
36.60
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
Data not available
No data filled
Return Statistics
Last Month
0.83%
Year To Date
4.90%
3 Month ROR
4.90%
12 Months ROR
19.96%
36 Month ROR
21.81%
Total Return Cumulative
159.44%
Total Return Annualized
21.40%
Best Month
12.17%
Winning Months (%)
61.02%
Gain Deviation
3.13
Risk Statistics
Standard Deviation Annualized
15.46%
Max Drawdown (Monthly)
-10.41%
Max Drawdown Length
21
Worst Month
-7.50%
Losing Months (%)
37.29%
Average Losing Month
-2.87%
Loss Deviation
1.79
Correlation vs S&P 500
0.31
Correlation vs DJ/CS MF
0.21
Risk/Reward Statistics
Sharpe Ratio
1.34
Sortino Ratio
2.73
Omega Ratio
1.62
Skewness
0.22
Kurtosis
-0.53
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-10.41%
-
3
-
18
-
04/2022
-
12/2023
-
2
-7.47%
-
4
-
1
-
11/2021
-
03/2022
-
3
-4.04%
-
1
-
1
-
09/2021
-
10/2021
-
4
-3.39%
-
1
-
1
-
09/2020
-
10/2020
-
5
-3.22%
-
1
-
1
-
06/2020
-
07/2020
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
12.17%
-7.50%
1.73%
1.34%
0.83%
61.02%
3 Months
22.41%
-10.41%
4.95%
4.34%
4.90%
70.18%
6 Months
43.35%
-8.03%
9.49%
6.62%
17.31%
81.48%
1 Year
72.15%
-8.04%
18.87%
11.85%
19.96%
77.08%
2 Years
123.22%
-7.60%
34.91%
20.70%
10.32%
91.67%
3 Years
131.11%
10.78%
52.57%
39.08%
21.81%
100.00%
5 Years
-
-
-
-
-
-
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
21.40%
73.75%
178.74%
561.21%
2364.78%
12136.80%
% Positive
61.02%
70.18%
81.48%
77.08%
91.67%
100.00%
Avg. Pos. Period
4.58%
8.48%
12.60%
25.56%
38.44%
52.57%
Avg. Neg. Period
-2.87%
-3.35%
-4.23%
-3.63%
-3.97%
-
Sharpe Ratio
1.34
2.39
2.89
3.02
3.36
5.55
Sortino Ratio
2.73
7.12
15.69
29.54
77.62
0.00
Standard Deviation
4.46%
7.17%
11.38%
21.65%
36.04%
32.79%
Downside Deviation
2.07%
2.29%
1.97%
2.00%
1.37%
0.00%
No data filled
Company Information
Minimum Investment
1,000,000 USD
AUM
1,700,000 USD
Management Fee
0.85%
Performance Fee
25.00%
Highwater Mark
Yes
RT per Million
1800
Margin to Equity
16.00%
Legal Structure
Managed Account or Fund
Investment Restriction
Only for Qualified Eligible Persons
Company Information
Company
Agility Trading Strategy
Principal
Eric Schreiber
Phone
561-484-7321
E-mail
[email protected]
License Number
National Futures Association 0536497
Location
Boca Raton, United States
Performance Compiled by
Futures Accounting & Compliance
Monthly Performance
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-0.21
4.26
0.83
4.90
2023
-2.63
6.77
-7.50
0.68
5.57
1.74
-3.20
-2.67
0.37
-3.55
9.10
6.27
9.97
2022
-0.34
-6.44
10.10
-1.73
-4.60
-4.44
3.37
-0.22
5.14
-2.12
1.48
-0.90
-1.83
2021
-3.09
8.26
4.36
4.80
-2.54
1.34
0.35
1.49
-4.04
7.14
-1.60
0.85
17.76
2020
5.30
0.00
6.70
12.17
2.28
-3.22
4.43
7.52
-3.39
4.17
-2.55
3.67
42.42
2019
4.23
9.96
0.57
3.09
3.22
-2.09
8.88
4.47
36.60
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
At Agility Trading our goal is to participate when equity markets rally while providing downside protection when markets experience painful selloffs Our proprietary trading algorithm centers around trading the most liquid exchange traded futures contracts This approach allows us to benefit from the inherent liquidity advantages of trading futures contracts a crucial tool to have at one's disposal during times of market uncertainty and
disruption. Agility Trading’s strategy is designed to provide a " against broader market downturns by introducing an array of complementary and diversified strategies on futures contracts positions These strategies combined have demonstrated a correlation profile that protects against downside losses without sacrificing upside potential.
Return Statistics
Last Month
0.83%
Year To Date
4.90%
3 Month ROR
4.90%
12 Months ROR
19.96%
36 Month ROR
21.81%
Total Return Cumulative
159.44%
Total Return Annualized
21.40%
Best Month
12.17%
Winning Months (%)
61.02%
Gain Deviation
3.13
Risk Statistics
Standard Deviation Annualized
15.46%
Max Drawdown (Monthly)
-10.41%
Max Drawdown Length
21
Worst Month
-7.50%
Losing Months (%)
37.29%
Average Losing Month
-2.87%
Loss Deviation
1.79
Correlation vs S&P 500
0.31
Correlation vs DJ/CS MF
0.21
Risk/Reward Statistics
Sharpe Ratio
1.34
Sortino Ratio
2.73
Omega Ratio
1.62
Skewness
0.22
Kurtosis
-0.53
Performance (VAMI)
Fund Manager
 Futures and Commodities Industry since 1993 Co-Founder, Managing Member & President. Partner in Chicago International Arbitrage, London UK. Floor Market Maker, LIFFE, London UK. Began career with Mary Kay Cosmetics, London UK. MBA Univ. of Chicago, Arthur D. Little Scholarship. BS Math & Computer Science, Emory Univ., H.S. Garlund Scholarship, Bronx High School of Science. Registered Series 3, FSA. National Futures Association Principal, Associated Person and Associate Member since 2003. Co-Author, Diversification is Not Enough, Published in 2012 by High Finance Publishing. Â
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
-10.41%
-
3
-
18
-
04/2022
-
12/2023
-
2
-7.47%
-
4
-
1
-
11/2021
-
03/2022
-
3
-4.04%
-
1
-
1
-
09/2021
-
10/2021
-
4
-3.39%
-
1
-
1
-
09/2020
-
10/2020
-
5
-3.22%
-
1
-
1
-
06/2020
-
07/2020
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
12.17%
-7.50%
1.73%
1.34%
0.83%
61.02%
3 Months
22.41%
-10.41%
4.95%
4.34%
4.90%
70.18%
6 Months
43.35%
-8.03%
9.49%
6.62%
17.31%
81.48%
1 Year
72.15%
-8.04%
18.87%
11.85%
19.96%
77.08%
2 Years
123.22%
-7.60%
34.91%
20.70%
10.32%
91.67%
3 Years
131.11%
10.78%
52.57%
39.08%
21.81%
100.00%
5 Years
-
-
-
-
-
-
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
21.40%
73.75%
178.74%
561.21%
2364.78%
12136.80%
% Positive
61.02%
70.18%
81.48%
77.08%
91.67%
100.00%
Avg. Pos. Period
4.58%
8.48%
12.60%
25.56%
38.44%
52.57%
Avg. Neg. Period
-2.87%
-3.35%
-4.23%
-3.63%
-3.97%
-
Sharpe Ratio
1.34
2.39
2.89
3.02
3.36
5.55
Sortino Ratio
2.73
7.12
15.69
29.54
77.62
0.00
Standard Deviation
4.46%
7.17%
11.38%
21.65%
36.04%
32.79%
Downside Deviation
2.07%
2.29%
1.97%
2.00%
1.37%
0.00%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
Data not available
AUM
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