Agility Trading LLC : Agility Trading Strategy

Year-to-Date
11.83%
May Performance
-2.54%
Min Investment
$ 100k
Mgmt. Fee
0.85%
Perf. Fee
25.00%
Annualized Vol
15.24%
Sharpe (RFR=1%)
2.49
CAROR
45.22%
Assets
$ 1.0M
Worst DD
-3.39
S&P Correlation
0.29

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
5/2019
Agility Trading Strategy -2.54 6.59 11.83 23.55 - - - 117.55
S&P 500 0.55 10.31 15.56 42.58 - - - 57.72
+/- S&P 500 -3.09 -3.72 -3.73 -19.02 - - - 59.83

Strategy Description

Summary

The Agility Trading Strategy is a precise research driven investment program designed with the goal of participating when the S&P 500 equity market performs well, while at the same time, providing downside protection when the equity market experiences painful selloffs.

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Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 0.85%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1800 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 20.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 20.00%
1-30 Days 70.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
80.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
25.00%
Energy
17.00%
Grains
17.00%
Interest Rates
17.00%
Currency Futures
8.00%
Precious Metals
8.00%
Softs
8.00%
Composition Pie Chart

Summary

The Agility Trading Strategy is a precise research driven investment program designed with the goal of participating when the S&P 500 equity market performs well, while at the same time, providing downside protection when the equity market experiences painful selloffs.

Investment Strategy

The Strategy’s investment objectives are to provide a valuable component for any wealth portfolio protection plan by providing stable and consistent risk adjusted returns. We use a quantitative approach to trading relying heavily on researched historical market data. Performance data contains proprietary returns. Returns are reported net of applicable fees and expenses (including a 0.85% annual Management Fee and 25% Performance Allocation) and are based on an investment made at the inception of the Agility Trading Strategy. The performance shown represents the actual monthly performance in proprietary accounts from May 13, 2019 through October 31, 2020 and from November 9, 2020 to March 1, 2021 net of applicable fees and expenses retroactively adjusted on a pro forma basis to reflect the 0.85% annual management fee and 25% performance allocation of the Agility Trading Fund. The Strategy began trading in the Agility Trading Fund on March 2, 2021 and all returns to the present represent the returns of the Fund net of all fees and expenses. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investment of this nature is subject to a risk of loss.

Risk Management

We fundamentally believe in a positive gamma approach to investing and trading, which allows us to accumulate potential profits while protecting against impactful losses. We trade the most liquid exchange traded futures contracts worldwide. Trading options is not part of our strategy.

   

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:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
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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
-3.39 1 1 8/1/2020 9/1/2020
-3.22 1 1 5/1/2020 6/1/2020
-3.09 1 1 12/1/2020 1/1/2021
-2.55 1 1 10/1/2020 11/1/2020
-2.54 1 - 4/1/2021 5/1/2021
-2.09 1 1 9/1/2019 10/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
22.65 5 5/1/2019 9/1/2019
22.41 3 3/1/2020 5/1/2020
19.78 3 11/1/2019 1/1/2020
18.40 3 2/1/2021 4/1/2021
12.28 2 7/1/2020 8/1/2020
4.17 1 10/1/2020 10/1/2020
3.67 1 12/1/2020 12/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.39 1 9/1/2020 9/1/2020
-3.22 1 6/1/2020 6/1/2020
-3.09 1 1/1/2021 1/1/2021
-2.55 1 11/1/2020 11/1/2020
-2.54 1 5/1/2021 5/1/2021
-2.09 1 10/1/2019 10/1/2019
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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.