Sage Valley Capital Management : Sage Valley Capital Management

archived programs
Year-to-Date
N / A
May Performance
-0.31%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.89%
Sharpe (RFR=1%)
0.99
CAROR
-
Assets
$ 316k
Worst DD
-7.61
S&P Correlation
-0.41

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
8/2012
Sage Valley Capital Management -0.31 - - - - - - 28.83
S&P 500 2.10 - - - - - - 146.32
+/- S&P 500 -2.41 - - - - - - -117.49

Strategy Description

Summary

Sage Valley Capital Management's main technical investment strategy is a momentum-driven strategy that will focus on profiting from trend and counter-trend movements on a daily and longer-term basis. Using various technical indicators and real-time market data, the algorithm will... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 12.00%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Momentum
50.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Sage Valley Capital Management's main technical investment strategy is a momentum-driven strategy that will focus on profiting from trend and counter-trend movements on a daily and longer-term basis. Using various technical indicators and real-time market data, the algorithm will quantify market direction, strength, and momentum to exploit the numerous short-term, counter-trend movements or pull backs. Through the ability to quantify, above a certain threshold, the direction the market is moving, and the strength of such a move, the algorithm picks entry points for trades that have the greatest chances of moving into profitable territory. The goal in picking trades with the greatest probability of profit at all times is to maximize the risk to reward ratio in every position. Having programmed all settings into the algorithm in advance, Sage Valley expects to minimize the risks related to human error and short-term market psychology.

Investment Strategy

SVCM believes that risk management and capital allocation are of paramount importance to any trading strategy. In addition, SVCM believes that any market move presents a potential to capture profits. It is with these two important points in mind that the Sage Valley algorithm was designed. The strategy hinges on simultaneously playing both sides of the market with initial capital allocations of roughly a tenth of a percent of available margin. Any market movement represents a profitable trade for one side of the position, and each time this happens the algorithm automatically takes the profit and renters the position at the current market price. While the algorithm is capturing profits on the one side, it scales into the contradicting position on the other side. The serves the purpose of consistently averaging down the profit target for that position, achieving the goal of allowing any counter trend movement to present a profit taking opportunity.

   

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
-7.61 1 1 6/1/2013 7/1/2013
-7.04 2 1 11/1/2012 1/1/2013
-3.72 1 1 8/1/2013 9/1/2013
-0.31 1 - 4/1/2014 5/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
23.52 5 2/1/2013 6/1/2013
11.76 7 10/1/2013 4/1/2014
9.25 1 8/1/2013 8/1/2013
3.63 4 8/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.61 1 7/1/2013 7/1/2013
-7.04 2 12/1/2012 1/1/2013
-3.72 1 9/1/2013 9/1/2013
-0.31 1 5/1/2014 5/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable77.2785.0094.12100.00
Average Period Return1.233.918.5518.90
Average Gain2.705.149.3118.90
Average Loss-3.75-3.10-3.67
Best Period9.2815.5415.9131.10
Worst Period-7.61-5.25-3.679.93
Standard Deviation4.015.114.965.87
Gain Standard Deviation2.924.443.965.87
Loss Standard Deviation3.182.02
Sharpe Ratio (1%)0.290.721.623.05
Average Gain / Average Loss0.721.662.54
Profit / Loss Ratio2.459.4140.61
Downside Deviation (10%)2.401.801.49
Downside Deviation (5%)2.271.451.01
Downside Deviation (0%)2.241.360.89
Sortino Ratio (10%)0.341.494.08
Sortino Ratio (5%)0.512.537.96
Sortino Ratio (0%)0.552.879.61

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.