Magnolia Asset Management : Magnolia Core Agriculture Program

archived programs
Year-to-Date
N / A
Jan Performance
0.41%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
5.12%
Sharpe (RFR=1%)
-1.15
CAROR
-
Assets
$ 3.0M
Worst DD
-8.29
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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
2/2016
Magnolia Core Agriculture Program 0.41 - - - - - - -4.88
S&P 500 1.79 - - - - - - 79.31
+/- S&P 500 -1.38 - - - - - - -84.19

Strategy Description

Summary

The portfolio management team of Brooks Brown and Swayne Latham present a rich combination of talent and experience. They began their careers together in the agricultural pits at the Chicago Board of Trade nearly 20 years ago, then continued down different paths in honing their individual... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
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 2500 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 15.00%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 5.00%
4-12 Months 10.00%
1-3 Months 40.00%
1-30 Days 40.00%
Intraday 5.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Composition

Grains
34.00%
Livestock
33.00%
Softs
33.00%
Composition Pie Chart

Summary

The portfolio management team of Brooks Brown and Swayne Latham present a rich combination of talent and experience. They began their careers together in the agricultural pits at the Chicago Board of Trade nearly 20 years ago, then continued down different paths in honing their individual skill sets. Mr. Brown cultivated his technical analysis and risk management proficiency in the managed futures industry at McVean Trading and Investments while Mr. Latham enhanced his options trading expertise in the proprietary trading business. The paring of these unique skill sets presents a powerful, complementary and collaborative approach to trading the core agriculture markets.

Investment Strategy

Our uncorrelated discretionary strategy utilizes the elements of our specific skill sets to trade both futures and options in the core agricultural products. We employ a primary option strategy in coordination with market basis spreads and a breakout momentum trade. Our option strategies are designed to capitalize on both trending and non trending market environments and can be converted into futures at any time. We execute these option strategies not only as a low cost/financed means to generate alpha but also as a means of premium collection in range bound markets. We monitor the underlying fundamentals of our markets at all times and implement technical analysis for appropriate and efficient entries and exits of our trades.

Risk Management

The true key to successful trading is defined and disciplined risk management. We employ a strict risk management approach on both the position and portfolio levels at all times. We view position sizing as a critical element in our risk and money management discipline, and have established rules-based guidelines and limits for single positions as well as portfolio level concentrations. As part of a greater risk discipline we actively define and manage stops on 100% of our positions, 100% of the time. Stops are a discretionary combination of technical inputs and market specific metrics such as volatility.

   

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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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
-8.29 9 - 3/1/2016 12/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
3.30 2 2/1/2016 3/1/2016
1.02 1 9/1/2016 9/1/2016
0.41 1 1/1/2017 1/1/2017
0.40 1 6/1/2016 6/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.19 2 4/1/2016 5/1/2016
-3.72 3 10/1/2016 12/1/2016
-1.98 2 7/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable41.6710.000.00
Average Period Return-0.41-1.98-3.84
Average Gain1.022.18
Average Loss-1.43-2.44-3.84
Best Period2.462.18-1.49
Worst Period-3.14-3.80-4.93
Standard Deviation1.481.851.28
Gain Standard Deviation0.85
Loss Standard Deviation0.781.211.28
Sharpe Ratio (1%)-0.33-1.20-3.40
Average Gain / Average Loss0.720.90
Profit / Loss Ratio0.510.10
Downside Deviation (10%)1.513.646.42
Downside Deviation (5%)1.282.774.49
Downside Deviation (0%)1.222.554.01
Sortino Ratio (10%)-0.54-0.88-0.98
Sortino Ratio (5%)-0.38-0.80-0.96
Sortino Ratio (0%)-0.33-0.77-0.96

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.