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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 achieves its investment objective by maintaining:
(i) strategic long equity component: comprised of a relatively passive buy and hold strategy on equity index futures contractsÂ
(ii) active Long/Short component: utilizes a systematic short-term probability-based pattern recognition early breakout strategy to generate trades that have historically generated a return stream of positive performance with a unique and significant negative correlation distribution to equity 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
Performance (VAMI)
Monthly Returns
Fund Manager
  Futures and Commodities Industry since 1993 Partner Chicago International Arbitrage, Floor Market Maker, LIFFE, London UK University of Chicago MBA; Arthur D. Little Scholarship Emory University BS Math/Computer Science; Halsey S. Garlund Scholarship Co-Author, Diversification is Not Enough, Published in 2012 by High Finance Publishing.
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
189.63%
Sharpe Ratio
1.38
Sortino Ratio
2.84
Winning Months (%)
62.12%
Correlation vs. S&P 500 TR
0.33
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
0.65
-1.98
17.11
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
No data filled
Return Statistics
Last Month
-
Year To Date
17.11%
3 Month ROR
3.26%
12 Months ROR
35.78%
36 Month ROR
25.47%
Total Return Cumulative
189.63%
Total Return Annualized
21.33%
Best Month
12.17%
Winning Months (%)
62.12%
Gain Deviation
3.02
Risk Statistics
Standard Deviation Annualized
14.90%
Max Drawdown (Monthly)
-10.41%
Max Drawdown # of Months
21
Worst Month
-7.50%
Losing Months (%)
36.36%
Average Losing Month
-2.79%
Loss Deviation
1.74
Correlation vs S&P 500
0.33
Correlation vs DJ/CS MF
0.21
Risk/Reward Statistics
Sharpe Ratio
1.38
Sortino Ratio
2.84
Omega Ratio
1.64
Skewness
0.22
Kurtosis
-0.42
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%
1.71%
1.41%
-1.98%
62.12%
3 Months
22.41%
-10.41%
5.10%
4.26%
3.26%
73.44%
6 Months
43.35%
-8.03%
9.97%
8.84%
13.80%
83.61%
1 Year
72.15%
-8.04%
19.60%
16.56%
35.78%
80.00%
2 Years
123.22%
-7.60%
33.39%
22.38%
29.51%
93.02%
3 Years
131.11%
10.78%
46.38%
30.75%
25.47%
100.00%
5 Years
154.51%
134.86%
144.60%
143.33%
141.18%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
21.33%
77.03%
195.50%
624.36%
2173.15%
7461.62%
% Positive
62.12%
73.44%
83.61%
80.00%
93.02%
100.00%
Avg. Pos. Period
4.39%
8.16%
12.75%
25.40%
36.19%
46.38%
Avg. Neg. Period
-2.79%
-3.35%
-4.23%
-3.63%
-3.97%
-
Sharpe Ratio
1.38
2.56
3.19
3.30
3.47
5.15
Sortino Ratio
2.84
7.81
17.67
33.28
82.39
0.00
Standard Deviation
4.30%
6.91%
10.83%
20.56%
33.30%
31.22%
Downside Deviation
1.98%
2.16%
1.85%
1.87%
1.25%
0.00%
No data filled
Fund Information
Minimum Investment
1,000,000 USD
AUM
22,991,269 USD
Management Fee
0.85%
Performance Fee
25.00%
Highwater Mark
Yes
RT per Million
1450
Margin to Equity
10.00%
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
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
0.65
-1.98
17.11
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 achieves its investment objective by maintaining:
(i) strategic long equity component: comprised of a relatively passive buy and hold strategy on equity index futures contractsÂ
(ii) active Long/Short component: utilizes a systematic short-term probability-based pattern recognition early breakout strategy to generate trades that have historically generated a return stream of positive performance with a unique and significant negative correlation distribution to equity 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
Return Statistics
Last Month
-
Year To Date
17.11%
3 Month ROR
3.26%
12 Months ROR
35.78%
36 Month ROR
25.47%
Total Return Cumulative
189.63%
Total Return Annualized
21.33%
Best Month
12.17%
Winning Months (%)
62.12%
Gain Deviation
3.02
Risk Statistics
Standard Deviation Annualized
14.90%
Max Drawdown (Monthly)
-10.41%
Max Drawdown # of Months
21
Worst Month
-7.50%
Losing Months (%)
36.36%
Average Losing Month
-2.79%
Loss Deviation
1.74
Correlation vs S&P 500
0.33
Correlation vs DJ/CS MF
0.21
Risk/Reward Statistics
Sharpe Ratio
1.38
Sortino Ratio
2.84
Omega Ratio
1.64
Skewness
0.22
Kurtosis
-0.42
Monthly Returns
Performance (VAMI)
Fund Manager
  Futures and Commodities Industry since 1993 Partner Chicago International Arbitrage, Floor Market Maker, LIFFE, London UK University of Chicago MBA; Arthur D. Little Scholarship Emory University BS Math/Computer Science; Halsey S. Garlund Scholarship 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
Best
Worst
Average
Median
Last
Winning %
1 Month
12.17%
-7.50%
1.71%
1.41%
-1.98%
62.12%
3 Months
22.41%
-10.41%
5.10%
4.26%
3.26%
73.44%
6 Months
43.35%
-8.03%
9.97%
8.84%
13.80%
83.61%
1 Year
72.15%
-8.04%
19.60%
16.56%
35.78%
80.00%
2 Years
123.22%
-7.60%
33.39%
22.38%
29.51%
93.02%
3 Years
131.11%
10.78%
46.38%
30.75%
25.47%
100.00%
5 Years
154.51%
134.86%
144.60%
143.33%
141.18%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
21.33%
77.03%
195.50%
624.36%
2173.15%
7461.62%
% Positive
62.12%
73.44%
83.61%
80.00%
93.02%
100.00%
Avg. Pos. Period
4.39%
8.16%
12.75%
25.40%
36.19%
46.38%
Avg. Neg. Period
-2.79%
-3.35%
-4.23%
-3.63%
-3.97%
-
Sharpe Ratio
1.38
2.56
3.19
3.30
3.47
5.15
Sortino Ratio
2.84
7.81
17.67
33.28
82.39
0.00
Standard Deviation
4.30%
6.91%
10.83%
20.56%
33.30%
31.22%
Downside Deviation
1.98%
2.16%
1.85%
1.87%
1.25%
0.00%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
AUM
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