AG Capital Investments, LLC : Discretionary Global Macro Program

Year-to-Date
33.47%
Sep Performance
8.35%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
36.10%
Sharpe (RFR=1%)
0.90
CAROR
31.00%
Assets
$ 10.1M
Worst DD
-25.27
S&P Correlation
-0.17

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
10/2014
Discretionary Global Macro Program 8.35 34.79 33.47 52.03 124.79 - - 124.79
S&P 500 1.93 3.96 12.36 16.01 27.54 - - 24.65
+/- S&P 500 6.42 30.83 21.11 36.02 97.24 - - 100.14

Strategy Description

Summary

AG Capital is a fundamental, long/short macro investment firm, trading across currencies, commodities, interest rates, and equity futures. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
-14.12%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
25.00%
4-12 Months
25.00%
1-3 Months
25.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
80.00%
Technical
20.00%
Strategy Pie Chart

Composition

Grains
15.00%
Interest Rates
15.00%
Stock Indices
15.00%
Currency Futures
15.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Softs
8.00%
Livestock
2.00%
Composition Pie Chart

Summary

AG Capital is a fundamental, long/short macro investment firm, trading across currencies, commodities, interest rates, and equity futures.

Investment Strategy

The firm follows a fundamentally-oriented, discretionary long/short macro investing. We look for opportunities where imbalance between supply, demand, and inventories (where applicable) may lead to a large price move. Position hold times vary from 1 month to years; no day-trading, no algorithmic trading. Fundamental analysis is used to determine directional exposure, both long and short. Technical analysis is used to determine trade timing: enter and exit positions where extreme asymmetry exists from a risk/reward standpoint.

Risk Management

All positions are sized based off of proprietary risk management model developed and refined over 10 years. ATRMA (average true range moving average) is used as an initial input when calculating position sizes. Portfolio manager discretion and technical measures are used as final inputs into position sizing.

   

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
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
-25.27 11 7 2/1/2016 1/1/2017
-14.80 4 2 1/1/2015 5/1/2015
-11.45 1 1 11/1/2014 12/1/2014
-7.78 3 1 7/1/2015 10/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
36.11 2 6/1/2015 7/1/2015
35.94 2 10/1/2014 11/1/2014
34.79 3 7/1/2017 9/1/2017
24.76 1 10/1/2016 10/1/2016
22.31 4 2/1/2017 5/1/2017
21.69 4 11/1/2015 2/1/2016
20.69 1 1/1/2015 1/1/2015
9.36 2 6/1/2016 7/1/2016
2.32 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.39 3 11/1/2016 1/1/2017
-20.67 2 8/1/2016 9/1/2016
-14.80 4 2/1/2015 5/1/2015
-11.45 1 12/1/2014 12/1/2014
-9.88 3 3/1/2016 5/1/2016
-6.15 1 10/1/2015 10/1/2015
-3.96 1 8/1/2015 8/1/2015
-3.52 1 6/1/2017 6/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable55.5667.6567.7464.0068.4292.31
Average Period Return2.786.189.2416.2920.6128.11
Average Gain9.8714.0318.4131.4233.0130.68
Average Loss-6.09-10.25-10.00-10.61-6.26-2.73
Best Period25.4035.5641.5165.5778.7565.26
Worst Period-16.09-23.39-24.17-22.66-16.13-2.73
Standard Deviation10.4215.0717.6724.9225.6618.45
Gain Standard Deviation8.0210.8912.9916.9421.1516.66
Loss Standard Deviation4.597.047.667.315.52
Sharpe Ratio (1%)0.260.390.490.610.741.41
Average Gain / Average Loss1.621.371.842.965.2711.24
Profit / Loss Ratio2.032.863.875.2711.42134.87
Downside Deviation (10%)5.257.568.2010.268.363.95
Downside Deviation (5%)5.077.097.258.105.201.31
Downside Deviation (0%)5.026.977.027.594.520.76
Sortino Ratio (10%)0.450.650.831.101.564.53
Sortino Ratio (5%)0.530.841.211.893.6719.85
Sortino Ratio (0%)0.550.891.322.154.5637.13

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Year Rolling 2 125.36 2016 - 2017
IASG CTA Index Month 3 8.32 5/2017
Discretionary Trader Index Month 1 8.32 5/2017
Diversified Trader Index Month 3 8.32 5/2017
Discretionary Trader Index Month 3 8.20 3/2017
Diversified Trader Index Month 1 8.20 3/2017
IASG CTA Index Month 3 8.20 3/2017
Discretionary Trader Index Month 3 4.13 2/2017
Diversified Trader Index Month 8 4.13 2/2017
Diversified Trader Index Month 1 25.84 10/2016
Discretionary Trader Index Month 1 25.84 10/2016

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