Performance

ACTUAL TRADING NET RETURNS:

Agility Trading Strategy vs. S&P 500 Total Return

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ACTUAL TRADING NET RETURNS

Year

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

2024

(0.21%)

4.26%











4.04%

2023

(2.63%)

6.77%

(7.50%)

0.68%

5.57%

1.74%

(3.20%)

(2.67%)

0.37%

(3.55%)

9.10%

6.27%

9.97%

2022

(0.34%)

(6.44%)

10.10%

(1.73%)

(4.60%)

(4.44%)

3.37%

(0.22%)

5.14%

(2.12%)

1.48%

(0.90%)

(1.83%)

2021

(3.09%)

8.26%

4.41%

4.80%

(2.54%)

1.34%

0.35%

1.49%

(4.04%)

7.14%

(1.60%)

0.85%

17.76%

2020

5.30%

0.00%

6.70%

12.17%

2.28%

(3.22%)

4.43%

7.52%

(3.39%)

4.17%

(2.55%)

3.67%

42.43%

2019





4.23%

9.96%

0.57%

3.09%

3.22%

(2.09%)

8.88%

4.47%

36.59%

Performance information contains proprietary returns.   From May 13, 2019 through July 26, 2020 actual trading occurred in a proprietary separately managed account (SMA).  From July 27, 2020 through October 31, 2020 actual trading occurred in Hamilton Bay Capital Limited, a Bermuda Limited Fund vehicle.  From November 9, 2020 through March 1, 2021 actual trading occurred in a proprietary SMA.  From March 2, 2021 to the present actual trading occurred in the Agility Trading Fund LLC.  Beginning February 1, 2022 returns are reported on a customer composite basis including the Fundand SMAs.  All actual trading from May 13, 2019, was managed and operated by the Agility Trading Principals and management team.  All returns reported are net of applicable fees and expenses (including a 0.85% annual Management Fee and 25% Performance Allocation) in the Fund vehicles and are based on an investment made at the inception of the Agility Trading Strategy.  All proprietary performance is presented net of pro forma fees and expenses to accurately reflect net performance as if it was traded in a Fund vehicle for the entire period.  This information is applicable to all information presented on this page.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS


Year to Date

Since Inception


Agility Strategy

S&P 500 Total Return YTD

Agility Strategy

S&P 500 Total Return

Cumulative ROR

4.04%

6.84%

157.34%

77.12%

Annualized ROR

26.84

48.76%

21.74%

12.63%

Cumulative VAMI



1157

1077

Annualized Std Dev

10.95%

8.78%

15.72%

18.44%

Sharpe Ratio

2.45

5.56

1.38

0.68

Calmar Ratio

127.80

N/A

2.09

0.51

Sortino Ratio

N/A

N/A

3.42

1.12

Max Drawdown



(10.42%)

(24.77%)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

TIME WINDOW ANALYSIS

Months

1

3

6

9

12

15

18

Latest Period

4.26%

10.57%

16.78%

11.94%

10.05%

13.38%

18.40%

Average Return

1.74%

4.96%

9.34%

14.21%

18.85%

22.85%

26.98%

Best Period

12.17%

22.41%

43.36%

49.36%

72.16%

83.58%

92.58%

Worst Period

(7.50%)

(10.42%)

(8.03%)

(5.65%)

(8.05%)

(5.60%)

(7.71%)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Capture Ratios Since Inception

Upside Capture

39.70

Downside Capture

-2.88

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Largest Down Days of the S&P 500 Total Return

Date

S&P 500 Total Return

Agility

3/16/2020

(11.98%)

2.00%

3/12/2020

(9.49%)

(0.96%)

3/9/2020

(7.59%)

3.50%

6/11/2020

(5.88%)

(6.89%)

3/18/2020

(5.18%)

2.45%

3/11/2020

(4.88%)

(0.64%)

4/1/2020

(4.41%)

(4.93%)

2/27/2020

(4.40%)

(0.62%)

9/13/2022

(4.32%)

2.38%

3/20/2020

(4.32%)

(0.04%)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
An investment of this nature is subject to a risk of loss.

The Agility Difference:

What makes Agility Trading’s Strategy so effective is its components‘ distribution of correlation to the S&P500. As illustrated in this graph, the components of our strategy provide extreme negative correlation on S&P 500 down days, while providing less negative correlation on S&P 500 up days.

The overall negative correlation of the strategy's components is 39%. However, the dynamic skew of the distribution correlation has allowed the overall strategy to capture 88% of S&P500 upside while capturing -44% of S&P 500 downside.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
An investment of this nature is subject to a risk of loss.