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Agility Trading Strategy

Agility Trading Strategy QEP only

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. 
 

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.  

Fund Information

Inception DateMay 2019
Minimum Investment1,000,000 USD
Management Fee0.85%
Performance Fee25.00%
Highwater MarkYes
Phone561-484-7321
E-mail[email protected]
Websitewww.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 BestWorstAverageMedianLastWinning %
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 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg22.38%76.00%190.81%582.09%2176.38%8040.45%
% Positive62.50%72.58%83.05%79.25%92.68%100.00%
Avg. Pos. Period4.49%8.23%12.70%24.96%36.55%47.42%
Avg. Neg. Period-2.82%-3.35%-4.23%-3.63%-3.97% -
Sharpe Ratio1.432.503.103.183.415.14
Sortino Ratio2.947.6017.1131.6080.500.00
Standard Deviation4.34%6.99%10.99%20.73%34.09%31.98%
Downside Deviation2.00%2.20%1.88%1.90%1.28%0.00%
No data filled

Fund Information

Minimum Investment1,000,000 USD
AUM13,500,000 USD
Management Fee0.85%
Performance Fee25.00%
Highwater MarkYes
RT per Million1800
Margin to Equity16.00%
Legal StructureManaged Account or Fund
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyAgility Trading Strategy
PrincipalEric Schreiber
Phone561-484-7321
E-mail[email protected]
License NumberNational Futures Association 0536497
LocationMiami, United States
Performance Compiled byFutures 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. 
 

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.  

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 BestWorstAverageMedianLastWinning %
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 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg22.38%76.00%190.81%582.09%2176.38%8040.45%
% Positive62.50%72.58%83.05%79.25%92.68%100.00%
Avg. Pos. Period4.49%8.23%12.70%24.96%36.55%47.42%
Avg. Neg. Period-2.82%-3.35%-4.23%-3.63%-3.97% -
Sharpe Ratio1.432.503.103.183.415.14
Sortino Ratio2.947.6017.1131.6080.500.00
Standard Deviation4.34%6.99%10.99%20.73%34.09%31.98%
Downside Deviation2.00%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

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