Sage Valley Capital Management : Sage Valley Capital Management Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since8/2012 Sage Valley Capital Management -0.31 - - - - - - 28.83 S&P 500 2.10 - - - - - - 164.32 +/- S&P 500 -2.41 - - - - - - -135.49 Strategy Description SummarySage 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% Composition Currency FX 100.00% SummarySage 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 StrategySVCM 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel