JMG Capital Management LLC is a privately owned hedge fund sponsor. The firm launches and manages hedge funds for its clients. It invests in the public equity markets of the United States. The firm employs quantitative strategies, including options strategies, convertible arbitrage, capital structure arbitrage, residual security arbitrage, pairs trading and merger and acquisition arbitrage to create its funds.

It was founded in May 1992 and is based in Los Angeles, California. JMG Capital Management, LLC operates as a subsidiary of Asset Alliance Corporation.