Pacific Capital Advisors : Agilis Program

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-2.26%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.47%
Sharpe (RFR=1%)
0.04
CAROR
0.10%
Assets
$ 300k
Worst DD
-33.02
S&P Correlation
0.30

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
12/2012
Agilis Program -2.26 -8.93 - -19.60 5.46 - - 0.34
S&P 500 1.53 8.52 - -0.50 28.59 - - 47.03
+/- S&P 500 -3.79 -17.45 - -19.11 -23.13 - - -46.70

Strategy Description

Summary

The Agilis Program is an automated trading system that position trades U.S. stock indices and interest rates. The objective is to capitalize on multi-day market movements in a moderately aggressive fashion.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Interest Rates
40.00%
Composition Pie Chart

Summary

The Agilis Program is an automated trading system that position trades U.S. stock indices and interest rates. The objective is to capitalize on multi-day market movements in a moderately aggressive fashion.

Investment Strategy

Both Momentum and mean reversion methods can be employed. Average trade duration is approximately 5 days. Stock Index futures that may be traded include: S&P500 mini, Russell 2000 mini, S&P Midcap 400, Dow 30 mini and Nasdaq 100 mini. Interest rate futures: 30 Year U.S. Treasury Bond, 10 and 5 year U.S. Treasury Notes.

Risk Management

Money management stops are employed for each trade. The Agilis program trades multiple markets and trading methods, providing some diversification.

   

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
-33.02 9 - 8/1/2015 5/1/2016
-12.74 7 5 2/1/2014 9/1/2014
-7.98 1 2 2/1/2015 3/1/2015
-4.86 6 5 1/1/0001 5/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
36.32 5 4/1/2015 8/1/2015
20.50 5 10/1/2013 2/1/2014
12.18 1 10/1/2014 10/1/2014
8.37 1 2/1/2015 2/1/2015
5.80 2 5/1/2014 6/1/2014
5.40 2 2/1/2016 3/1/2016
4.14 2 6/1/2013 7/1/2013
1.77 1 12/1/2014 12/1/2014
0.78 1 3/1/2013 3/1/2013
0.04 1 10/1/2015 10/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.87 3 11/1/2015 1/1/2016
-11.83 2 3/1/2014 4/1/2014
-11.23 1 9/1/2015 9/1/2015
-9.56 2 4/1/2016 5/1/2016
-7.98 1 3/1/2015 3/1/2015
-6.46 3 7/1/2014 9/1/2014
-4.77 2 4/1/2013 5/1/2013
-3.71 2 8/1/2013 9/1/2013
-2.82 1 1/1/2015 1/1/2015
-0.99 1 11/1/2014 11/1/2014
-0.87 3 12/1/2012 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable50.0047.5054.0577.4292.0084.21
Average Period Return0.150.852.218.8412.1917.26
Average Gain4.278.6912.6113.3714.0621.32
Average Loss-3.97-6.26-10.03-6.71-9.36-4.43
Best Period12.1822.5832.3347.1931.2451.39
Worst Period-11.23-20.87-27.81-19.60-9.94-5.33
Standard Deviation5.339.8714.1213.9110.9117.66
Gain Standard Deviation3.366.827.6511.959.1616.20
Loss Standard Deviation3.386.069.187.500.830.80
Sharpe Ratio (1%)0.010.060.120.560.980.86
Average Gain / Average Loss1.071.391.261.991.504.82
Profit / Loss Ratio1.071.261.486.8317.2825.69
Downside Deviation (10%)3.886.9110.416.545.366.80
Downside Deviation (5%)3.696.379.354.933.092.59
Downside Deviation (0%)3.656.249.094.592.651.78
Sortino Ratio (10%)-0.07-0.06-0.030.590.861.03
Sortino Ratio (5%)0.020.090.181.593.465.88
Sortino Ratio (0%)0.040.140.241.934.609.70

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 1 4.67 2/2016
Stock Index Trader Index Month 7 2.73 8/2015
Systematic Trader Index Month 6 10.64 7/2015
Trend Following Strategy Index Month 7 10.64 7/2015
IASG CTA Index Month 8 10.64 7/2015
Stock Index Trader Index Month 2 10.64 7/2015
Stock Index Trader Index Month 3 5.60 6/2015
Trend Following Strategy Index Month 2 5.60 6/2015
Systematic Trader Index Month 9 5.60 6/2015
IASG CTA Index Month 8 4.92 5/2015
Stock Index Trader Index Month 2 4.92 5/2015
Systematic Trader Index Month 5 4.92 5/2015
Trend Following Strategy Index Month 3 4.92 5/2015
IASG CTA Index Month 3 8.25 4/2015
Trend Following Strategy Index Month 1 8.25 4/2015
Systematic Trader Index Month 2 8.25 4/2015
Stock Index Trader Index Month 1 8.25 4/2015
Stock Index Trader Index Month 4 8.37 2/2015
Trend Following Strategy Index Month 3 8.37 2/2015
Systematic Trader Index Month 7 8.37 2/2015
Stock Index Trader Index Month 9 1.77 12/2014
Stock Index Trader Index Month 2 12.18 10/2014
Trend Following Strategy Index Month 2 12.18 10/2014
Systematic Trader Index Month 2 12.18 10/2014

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