1512 SG Capital Management AG : St.Gallen I Counter-Trend

Year-to-Date
7.63%
Aug Performance
-3.82%
Min Investment
$ 500k
Mgmt. Fee
1.70%
Perf. Fee
20.00%
Annualized Vol
24.34%
Sharpe (RFR=1%)
0.49
CAROR
10.50%
Assets
$ 7.6M
Worst DD
-24.91
S&P Correlation
-0.05

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2015
St.Gallen I Counter-Trend -3.82 -3.25 -7.63 -0.62 3.42 - - 59.36
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 45.20
+/- S&P 500 -2.01 -9.59 -24.36 -1.48 -30.01 - - 14.16

Strategy Description

Summary

1512 SG Capital Management Inc. combines discretionary trading proficiency with a quantitative strategy parameterization to identify high-probability trend changes in the major futures markets. The strength of the trading strategies is to identify trend changes of about 5% and grasp... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 150k
CTA Max Funding Factor
4.50
Management Fee
1.70%
Performance Fee
20.00%
Average Commission
$2.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1300 RT/YR/$M
Avg. Margin-to-Equity
4%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
25.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
95.00%
Intraday
5.00%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Counter-trend
80.00%
Momentum
20.00%
Strategy Pie Chart

Composition

Currency Futures
10.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Other
10.00%
Composition Pie Chart

Summary

1512 SG Capital Management Inc. combines discretionary trading proficiency with a quantitative strategy parameterization to identify high-probability trend changes in the major futures markets. The strength of the trading strategies is to identify trend changes of about 5% and grasp 2-3% of the referring move.

Investment Strategy

1512 SG Capital Management believes that market movements occur according to the positioning of the main players in each market. Therefore, research focuses on identifying the main investors for each market to then track activities of this investor group. 1512 SGCM analyzes about 130 futures markets with the purpose to find out how different investor groups shift their portfolio on a weekly basis. Investors are grouped into big investors (e.g. commercials, big institutions, corporates) vs. crowd/ retail investors. For this analysis own indicators are applied, which transfer information across markets into a score between 0 and 100 which give insight whether main investors in respective markets are rather positioned for a bull market or a bear market. Used information include combinations of price action, volume, volatility, Commitment of Trader Reports, intercommodity relationships, interdelivery spreads and more to systematically trade in the direction of the "commercial traders' money".

Risk Management

Risk management is applied on four levels: 1.) Money management is applied on current NAV, thus if one position is down, the second position will have a lower exposure compared to the initial NAV. 2.) Trade level: The strategy focuses on high probability trades and acts therefore very selectively. Once entered into a position, take profits and stop losses are automatically activated according to pre-defined rules. Where stop loss orders are equipped with a fast adjusting trailing mechanism. Last, a time-out method is applied as another risk-minimizing factor. 3.) Portfolio level: Before entering a new trade, it is analyzed how much risk it will add to the overall portfolio – leading to some trades being excluded. Analysis include P&L of current positions held, correlation and scenario analysis. Historically, the portfolio never held more than six positions at the same time. Average positions are between two and three. 4.) Leverage: Margin-to-equity has not exceeded 20% historically and will be capped at 25%. When invested, ratio is around 10-12%. Average margin-to-equity is fairly below 10% since about 20% of all trading days are fully invested in cash.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-24.91 3 4 8/1/2015 11/1/2015
-21.48 6 - 3/1/2017 9/1/2017
-10.50 1 2 3/1/2016 4/1/2016
-8.69 1 2 5/1/2015 6/1/2015
-7.50 1 2 11/1/2016 12/1/2016
-0.96 1 1 2/1/2015 3/1/2015
-0.11 1 1 7/1/2016 8/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
29.62 3 5/1/2016 7/1/2016
27.98 2 12/1/2015 1/1/2016
21.38 3 9/1/2016 11/1/2016
21.00 2 7/1/2015 8/1/2015
15.15 1 3/1/2016 3/1/2016
14.14 3 1/1/2017 3/1/2017
12.57 2 1/1/2015 2/1/2015
8.95 2 9/1/2018 10/1/2018
7.04 2 4/1/2015 5/1/2015
6.44 2 10/1/2017 11/1/2017
5.53 4 4/1/2018 7/1/2018
2.68 2 5/1/2019 6/1/2019
1.31 1 8/1/2017 8/1/2017
0.95 1 2/1/2018 2/1/2018
0.61 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.91 3 9/1/2015 11/1/2015
-21.34 4 4/1/2017 7/1/2017
-10.50 1 4/1/2016 4/1/2016
-8.86 1 2/1/2016 2/1/2016
-8.69 1 6/1/2015 6/1/2015
-7.50 1 12/1/2016 12/1/2016
-6.44 3 2/1/2019 4/1/2019
-5.34 2 12/1/2017 1/1/2018
-4.44 2 7/1/2019 8/1/2019
-3.19 1 8/1/2018 8/1/2018
-1.47 1 9/1/2017 9/1/2017
-1.25 2 11/1/2018 12/1/2018
-0.96 1 3/1/2015 3/1/2015
-0.48 1 3/1/2018 3/1/2018
-0.11 1 8/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable55.3662.9666.6777.7876.9278.79100.00
Average Period Return1.072.985.8913.7221.1024.7038.45
Average Gain5.468.3113.2920.6429.9833.6338.45
Average Loss-4.36-6.08-8.91-10.50-8.50-8.45
Best Period23.2229.6253.4188.9284.2377.3275.02
Worst Period-14.37-24.91-21.48-20.51-16.00-14.293.42
Standard Deviation7.039.9915.1924.0626.7928.3317.37
Gain Standard Deviation5.557.2912.7222.6924.0725.1417.37
Loss Standard Deviation4.367.006.216.885.274.63
Sharpe Ratio (1%)0.140.270.350.530.730.802.04
Average Gain / Average Loss1.251.371.491.963.533.98
Profit / Loss Ratio1.552.322.986.8811.7614.78
Downside Deviation (10%)4.286.097.458.068.419.203.41
Downside Deviation (5%)4.125.666.456.245.375.21
Downside Deviation (0%)4.085.566.215.834.734.36
Sortino Ratio (10%)0.160.290.461.081.601.576.65
Sortino Ratio (5%)0.240.480.842.043.654.36
Sortino Ratio (0%)0.260.540.952.354.465.66

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.