2020 CTA Challenge Winner

Discretionary Global Macro Program

Methodology: Discretionary
Strategy: Macro / Fundamental
Sub-Strategy: N/A
Market Focus: Diversified

Strategy Description

The AG Capital Primary Strategy is a discretionary global macro program that focuses on intermediate and long term themes across a diversified set of markets. Top down and bottom up economic analysis is used to establish an underlying fundamental theme which drives strategy position taking. The manager’s objective is to identify broad macro themes across a diverse group of markets and then focus trading the handful of markets where they have the highest conviction. The resulting portfolio tends to be concentrated in nature, with just 3-7 positions held at any given time. The average position is held for 2 months while longer term themes can be held for up to 2 years.

General Information

Management Fee: 2.00%
Incentive Fee: 20.00%
Strategy AUM: $76,000,000
Firm AUM: $76,000,000
Typical Trade Duration:  2 Months
Round Turns per Million:  700
Typical Margin-to-Equity: 10-20%
Managed Account Minimum: $500,000

Performance Statistics

Date Range: 10/14 – 01/21
Annualized ROR: 22.45%
Standard Deviation: 30.35%
Maximum Drawdown: -33%
Sharpe Ratio (0% RFR): 0.74
Correlation to S&P 500: -0.16

Performance Comparison

performance chart 89489

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

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This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.