+1 312 544 0432
[email protected]
Manager Login
Search Database
Portfolios
My Profile
Change Password
Help
Manager Login
Download Factsheet
Send Factsheet
Send a message
To:
From:
Subject:
Agility Trading Strategy - Agility Trading Strategy
Agility Trading Strategy
Agility Trading Strategy
QEP only
Overview
Charts
Stats & Ratios
Show All
Investment Strategy
The Agility Trading Strategy seeks to provide investors with returns similar to the performance of the S&P 500 Index during rallying market periods, and augment portfolio returns with certain alternative investment futures trading strategies that are intended to outperform during periods of volatility, risk-off and declining markets. Agility achieves this investment objective by: (i) maintaining a long equity futures position that is constructed to attempt to yield broad-based market returns similar to the performance of the S&P 500 Index; and (ii) adopting a systematic research-driven approach to trading futures contracts in order to generate additional negative and non-correlated portfolio returns.
The complimentary strategies offer negative correlation, at key times, which can offset losses during painful selloffs while still participating in equity market upside.
Qualified investors can participate through separately managed accounts or in the Agility Trading Fund.Â
Â
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
Fund 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
193.58%
Sharpe Ratio
1.43
Sortino Ratio
2.94
Winning Months (%)
62.50%
Correlation vs. S&P 500 TR
0.32
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-0.21
4.26
0.83
-1.90
2.51
3.17
4.20
4.67
18.71
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
-
Year To Date
18.71%
3 Month ROR
12.52%
12 Months ROR
33.23%
36 Month ROR
30.75%
Total Return Cumulative
193.58%
Total Return Annualized
22.38%
Best Month
12.17%
Winning Months (%)
62.50%
Gain Deviation
2.99
Risk Statistics
Standard Deviation Annualized
15.03%
Max Drawdown (Monthly)
-10.41%
Max Drawdown # of Months
21
Worst Month
-7.50%
Losing Months (%)
35.94%
Average Losing Month
-2.82%
Loss Deviation
1.77
Correlation vs S&P 500
0.32
Correlation vs DJ/CS MF
0.20
Risk/Reward Statistics
Sharpe Ratio
1.43
Sortino Ratio
2.94
Omega Ratio
1.70
Skewness
0.18
Kurtosis
-0.46
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%
1.79%
1.48%
4.67%
62.50%
3 Months
22.41%
-10.41%
5.05%
4.26%
12.52%
72.58%
6 Months
43.35%
-8.03%
9.83%
7.59%
14.10%
83.05%
1 Year
72.15%
-8.04%
19.03%
15.09%
33.23%
79.25%
2 Years
123.22%
-7.60%
33.58%
20.94%
35.10%
92.68%
3 Years
131.11%
10.78%
47.42%
30.75%
30.75%
100.00%
5 Years
154.51%
134.86%
146.02%
147.06%
147.06%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
22.38%
76.00%
190.81%
582.09%
2176.38%
8040.45%
% Positive
62.50%
72.58%
83.05%
79.25%
92.68%
100.00%
Avg. Pos. Period
4.49%
8.23%
12.70%
24.96%
36.55%
47.42%
Avg. Neg. Period
-2.82%
-3.35%
-4.23%
-3.63%
-3.97%
-
Sharpe Ratio
1.43
2.50
3.10
3.18
3.41
5.14
Sortino Ratio
2.94
7.60
17.11
31.60
80.50
0.00
Standard Deviation
4.34%
6.99%
10.99%
20.73%
34.09%
31.98%
Downside Deviation
2.00%
2.20%
1.88%
1.90%
1.28%
0.00%
No data filled
Fund Information
Minimum Investment
1,000,000 USD
AUM
13,500,000 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
Miami, United States
Performance Compiled by
Futures Accounting & Compliance
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-0.21
4.26
0.83
-1.90
2.51
3.17
4.20
4.67
18.71
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
The Agility Trading Strategy seeks to provide investors with returns similar to the performance of the S&P 500 Index during rallying market periods, and augment portfolio returns with certain alternative investment futures trading strategies that are intended to outperform during periods of volatility, risk-off and declining markets. Agility achieves this investment objective by: (i) maintaining a long equity futures position that is constructed to attempt to yield broad-based market returns similar to the performance of the S&P 500 Index; and (ii) adopting a systematic research-driven approach to trading futures contracts in order to generate additional negative and non-correlated portfolio returns.
The complimentary strategies offer negative correlation, at key times, which can offset losses during painful selloffs while still participating in equity market upside.
Qualified investors can participate through separately managed accounts or in the Agility Trading Fund.Â
Â
Return Statistics
Last Month
-
Year To Date
18.71%
3 Month ROR
12.52%
12 Months ROR
33.23%
36 Month ROR
30.75%
Total Return Cumulative
193.58%
Total Return Annualized
22.38%
Best Month
12.17%
Winning Months (%)
62.50%
Gain Deviation
2.99
Risk Statistics
Standard Deviation Annualized
15.03%
Max Drawdown (Monthly)
-10.41%
Max Drawdown # of Months
21
Worst Month
-7.50%
Losing Months (%)
35.94%
Average Losing Month
-2.82%
Loss Deviation
1.77
Correlation vs S&P 500
0.32
Correlation vs DJ/CS MF
0.20
Risk/Reward Statistics
Sharpe Ratio
1.43
Sortino Ratio
2.94
Omega Ratio
1.70
Skewness
0.18
Kurtosis
-0.46
Monthly Returns
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%
1.79%
1.48%
4.67%
62.50%
3 Months
22.41%
-10.41%
5.05%
4.26%
12.52%
72.58%
6 Months
43.35%
-8.03%
9.83%
7.59%
14.10%
83.05%
1 Year
72.15%
-8.04%
19.03%
15.09%
33.23%
79.25%
2 Years
123.22%
-7.60%
33.58%
20.94%
35.10%
92.68%
3 Years
131.11%
10.78%
47.42%
30.75%
30.75%
100.00%
5 Years
154.51%
134.86%
146.02%
147.06%
147.06%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
22.38%
76.00%
190.81%
582.09%
2176.38%
8040.45%
% Positive
62.50%
72.58%
83.05%
79.25%
92.68%
100.00%
Avg. Pos. Period
4.49%
8.23%
12.70%
24.96%
36.55%
47.42%
Avg. Neg. Period
-2.82%
-3.35%
-4.23%
-3.63%
-3.97%
-
Sharpe Ratio
1.43
2.50
3.10
3.18
3.41
5.14
Sortino Ratio
2.94
7.60
17.11
31.60
80.50
0.00
Standard Deviation
4.34%
6.99%
10.99%
20.73%
34.09%
31.98%
Downside Deviation
2.00%
2.20%
1.88%
1.90%
1.28%
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
For the latest performance, please scan the image above with a QR Reader.
No data filled