AG Capital Management Partners, LP : Discretionary Global Macro Program

Year-to-Date
43.61%
Aug Performance
3.42%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
30.03%
Sharpe (RFR=1%)
0.86
CAROR
25.07%
Assets
$ 98.0M
Worst DD
-25.27
S&P Correlation
-0.13

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
10/2014
Discretionary Global Macro Program 3.42 10.83 43.61 34.93 81.11 132.20 - 275.72
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 71.69
+/- S&P 500 -3.59 -4.15 35.27 15.32 40.71 56.52 - 204.04

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 $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
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 -30.00%
Worst Peak-to-Trough -25.00%
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

Currency Futures
15.00%
Grains
15.00%
Interest Rates
15.00%
Stock Indices
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
-23.37 9 7 2/1/2018 11/1/2018
-14.80 4 2 1/1/2015 5/1/2015
-11.45 1 1 11/1/2014 12/1/2014
-9.12 5 3 6/1/2019 11/1/2019
-8.52 2 2 4/1/2020 6/1/2020
-7.78 3 1 7/1/2015 10/1/2015
-6.81 1 2 10/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
43.98 5 12/1/2019 4/1/2020
42.67 4 7/1/2017 10/1/2017
36.11 2 6/1/2015 7/1/2015
35.94 2 10/1/2014 11/1/2014
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
20.49 2 12/1/2018 1/1/2019
15.85 3 12/1/2017 2/1/2018
12.74 2 5/1/2019 6/1/2019
11.69 2 7/1/2020 8/1/2020
9.36 2 6/1/2016 7/1/2016
8.38 1 3/1/2019 3/1/2019
5.54 1 8/1/2019 8/1/2019
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
-23.37 9 3/1/2018 11/1/2018
-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
-8.52 2 5/1/2020 6/1/2020
-8.28 3 9/1/2019 11/1/2019
-6.81 1 11/1/2017 11/1/2017
-6.15 1 10/1/2015 10/1/2015
-6.11 1 7/1/2019 7/1/2019
-3.96 1 8/1/2015 8/1/2015
-3.52 1 6/1/2017 6/1/2017
-1.53 1 2/1/2019 2/1/2019
-1.52 1 4/1/2019 4/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods71.0069.0066.0060.0054.0048.0036.0024.00
Percent Profitable52.1165.2274.2475.0088.8997.92100.00100.00
Average Period Return2.235.9611.5320.9728.7034.5767.9279.15
Average Gain8.5113.5419.5731.3633.0735.3767.9279.15
Average Loss-4.60-8.26-11.65-10.20-6.26-2.73
Best Period25.4036.3449.1075.0486.8173.97130.44116.10
Worst Period-16.09-23.39-24.17-22.66-16.13-2.7312.3744.79
Standard Deviation8.6713.9618.3724.0123.9918.7733.0023.44
Gain Standard Deviation6.9310.7213.5917.8721.6918.1433.0023.44
Loss Standard Deviation3.825.746.966.145.52
Sharpe Ratio (1%)0.250.410.600.831.131.741.973.20
Average Gain / Average Loss1.851.641.683.075.2812.96
Profit / Loss Ratio2.013.074.849.2242.27609.01
Downside Deviation (10%)4.346.507.958.214.992.120.57
Downside Deviation (5%)4.166.017.066.343.090.68
Downside Deviation (0%)4.115.896.845.902.680.39
Sortino Ratio (10%)0.420.731.141.944.2311.4592.11
Sortino Ratio (5%)0.520.951.563.158.8147.60
Sortino Ratio (0%)0.541.011.693.5510.7187.76

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 2 8.00 7/2020
Discretionary Trader Index Month 7 5.94 4/2020
Diversified Trader Index Month 7 5.94 4/2020
Discretionary Trader Index Month 7 5.94 4/2020
Diversified Trader Index Month 6 5.94 4/2020
Diversified Trader Index Month 7 22.65 3/2020
IASG CTA Index Month 9 22.65 3/2020
Discretionary Trader Index Month 2 22.65 3/2020
Discretionary Trader Index Month 5 4.93 2/2020
Discretionary Trader Index Month 3 3.09 1/2020
IASG CTA Index 5 Year 2 117.33 2014 - 2019
IASG CTA Index 3 Year 9 55.34 2016 - 2019
IASG CTA Index Annual 10 25.76 2019
Discretionary Trader Index Month 10 2.44 12/2019
Discretionary Trader Index Month 4 5.54 8/2019
Diversified Trader Index Month 4 10.21 6/2019
IASG CTA Index Month 3 10.21 6/2019
Discretionary Trader Index Month 1 10.21 6/2019
Discretionary Trader Index Month 3 8.38 3/2019
IASG CTA Index Month 10 8.38 3/2019
Diversified Trader Index Month 8 8.38 3/2019
Discretionary Trader Index Month 1 13.97 1/2019
IASG CTA Index Month 1 13.97 1/2019
Diversified Trader Index Month 1 13.97 1/2019
Discretionary Trader Index Month 1 5.69 12/2018
IASG CTA Index Month 10 5.69 12/2018
Diversified Trader Index Month 7 3.84 2/2018
Discretionary Trader Index Month 5 3.84 2/2018
Discretionary Trader Index Month 2 9.21 1/2018
IASG CTA Index 3 Year 5 88.16 2014 - 2017
IASG CTA Index Annual 4 34.49 2017
Discretionary Trader Index Month 7 2.16 12/2017
Discretionary Trader Index Month 3 5.84 10/2017
Discretionary Trader Index Month 2 8.35 9/2017
IASG CTA Index Month 2 8.35 9/2017
Diversified Trader Index Month 1 8.35 9/2017
IASG CTA Index Month 2 16.30 8/2017
Diversified Trader Index Month 1 16.30 8/2017
Discretionary Trader Index Month 2 16.30 8/2017
Discretionary Trader Index Month 1 6.97 7/2017
IASG CTA Index Month 5 6.97 7/2017
Diversified Trader Index Month 5 6.97 7/2017
Diversified Trader Index Month 3 8.32 5/2017
Discretionary Trader Index Month 1 8.32 5/2017
Diversified Trader Index Month 1 8.20 3/2017
Discretionary Trader 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
Discretionary Trader Index Month 1 25.84 10/2016
Diversified 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.