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Program Details

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AG Commodity Trading Adviser, Inc 

Market Neutral Risk Optimized

Manager: Alexey Gorbunov

Address: Tenancy 10, Marine House, Mahe, Eden Island, , 00000, Seychelles

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Oct 1, 2008
AUM:$103,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:0%
Min Investment:$25,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:311.11%102.57%
Annual ROR:25.38%11.96%
YTD:0.00%5.53%
1 Year:0.00%14.40%
Alpha:1.72
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:2.97%1712.50%
Average Monthly Loss:-2.18%-2.90%
Winning Months:6055
Losing Months:1520
Current DD:11.890.42
Max DD:11.8924.12
Sharpe Ratio (RF 1%):2.69
Annualized Std Dev:9.06

Methodology

Discretionary:80%
Systematic:20%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Option Purchase:10%
Option Spreads:40%
Volatility:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20142.373.124.972.452.201.151.270.69-0.67-3.00-0.99-7.645.44
20132.411.211.07-3.141.451.872.342.583.273.912.494.5526.58
20124.271.732.483.68-0.393.281.972.811.662.082.391.2330.75
20111.542.892.392.45-2.151.862.72-0.642.773.843.481.8625.40
20105.885.485.462.05-4.025.913.14-2.318.131.59-0.441.7436.98
20096.08-0.561.274.40-2.682.423.281.693.403.023.384.8934.86
2008-2.035.94-2.011.70

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The objective of the "Market Neutral Risk Optimized" program is to achieve capital appreciation providing limited risk due to trading combinations of options (naked option writing is banned).
AGCTA, Inc generates returns by exploiting pricing inefficiencies in options on the commodity and financial futures contracts. The strategy utilizes trading combinations of options on futures. AGCTA has two core elements in this program:
1) Portfolio manager simultaneously buys and sells out-of-the-money put and call options to collect premium, commonly known as selling or purchasing ratio spreads. Profits are derived when the price of the options that have been sold declines more than the price of the options that were bought. Profits or losses are realized when the options are closed or they expire worthless.
2) Positions are placed across different calendar months of the same instrument providing an overall net long or short volatility position, commonly known as trading calendar spreads. In case of selling volatility profits are derived when the implied volatility of those options going from anomaly to normal state (IV of each options getting more equal to each other). In situation of purchasing volatility we buy spread on the market were high volatility is expected.
These core elements combined with a robust adjustment protocol have the potential to result in this program strategy.
The program blends short and long options to create an overall position that is buffered from increases in volatility. Market neutrality is potentially makes Delta, Gamma and Vega neutral positions. This approach provided always limited risk comparing with naked option writing strategy.

Company Info

AG Commodity Trading Adviser, Inc ("AGCTA" or the "Advisor") is an experienced money manager specializing in developing and implementing alternative investment strategies, offering managed futures trading programs (the "Programs") to both retail and institutional investors.

The primary objective of AGCTA program is the capital appreciation of its client's assets through speculation in financial and commodity options contracts.

Company offers two unique trading programs with the goal of generating consistent positive returns while limiting drawdown and volatility. Both programs operate 75% systematically and 25% discretionary. The programs incorporate disciplined risk management, supported by a dynamic hedging algorithm that adjusts with the current volatility of the market.

The mission of AGCTA is to potentially provide positive investment returns, compared with major stock indices, by implementing strategies which are designed to potentially succeed in all market environments, whether trending or consolidating. These strategies aim to complement traditional portfolios as a growth component.

AGCTA, Inc is registered at: 1181 Tenancy 10, Marine House, Eden Island, Mahe, Seychelles. Registration # 123944; telephone: +1 (970) 315-3002.AGCTA is exempt from CTA registration with CFTC as company is foreign based entity, located outside the United States.

Manager Info

Alexey Gorbunov, the CTA Principal, registered as a Principal of AGCTA and as an Associated Person in April 2013. He is responsible for all aspects of the firm's operation, including market research, trading, operation and management. Mr. Gorbunov graduated from Ural State University of Railway transportation with Mechanical Engineer degree in June 2003. His interest in the commodity futures markets began in University, where he independently studied futures and options. Throughout University and his professional career at Sony Corporation, Mr. Gorbunov has studied and designed technical trading systems.
Two managed futures programs offered was developed through research of the markets in 2012, data collected for development scoped from mid-2008. Mr. Gorbunov has been continuously working in the commodity industry for the past 6 years. He has 12 years of the total trading experience.
Both managed futures program are neutral to the market and capture profits from receiving time premium from out-of-the-money options (more profitable though more risky) or trading option constructions to sell or purchase volatility (less profitable in long term, though risk is always limited).
Mr. Gorbunov continues to research multiple trading strategies and alternative markets in addition to constant management and refinement of AGCTA's currently offered managed account programs. The managed futures programs currently open and offered by AGCTA are Delta Neutral Option Writing ("DNOW") and Market Neutral Risk Optimized ("MNRO").