Adamah Capital LLC : Global Macro Program

Year-to-Date
7.09%
Nov Performance
-1.50%
Min Investment
$ 450k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.20%
Sharpe (RFR=1%)
-1.26
CAROR
-5.52%
Assets
$ 500k
Worst DD
-30.45
S&P Correlation
0.12

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
3/2011
Global Macro Program -1.50 -5.11 -7.09 -8.02 -12.23 -21.15 - -27.86
S&P 500 3.42 1.28 7.58 5.69 21.76 76.33 - 65.81
+/- S&P 500 -4.92 -6.40 -14.67 -13.71 -33.99 -97.48 - -93.67

Strategy Description

Summary

Adamah’s Global Macro program combines concepts of post-Modern Portfolio Theory, rigorous risk management, and robust quantitative trading systems. The program applies machine-learning techniques and achieves diversification from both timeframe and market sectors.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 450k
Trading Level Incremental Increase
$ 450k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$14.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1600 RT/YR/$M
Avg. Margin-to-Equity
11%
Targeted Worst DD
-29.00%
Worst Peak-to-Trough
5.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
2.00%
4-12 Months
10.00%
1-3 Months
33.00%
1-30 Days
50.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Momentum
20.00%
Pattern Recognition
20.00%
Technical
20.00%
Trend-following
20.00%
Other
10.00%
Strategy Pie Chart

Composition

Interest Rates
17.00%
Stock Indices
17.00%
Currency Futures
15.00%
Precious Metals
10.00%
Energy
10.00%
Industrial Metals
8.00%
Grains
8.00%
Softs
5.00%
VIX
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

Adamah’s Global Macro program combines concepts of post-Modern Portfolio Theory, rigorous risk management, and robust quantitative trading systems. The program applies machine-learning techniques and achieves diversification from both timeframe and market sectors.

Investment Strategy

Adamah’s Global Macro program combines the firm’s quantitative trading programs (Diversified, Short-Term & Asset Allocator) into a well-diversified global macro strategy. The Global Macro program offers broad diversification across trading strategies, time-frames, and major market sectors. The program trades the major liquid futures markets including stock indices, currencies, bonds, metals, energy, agriculture, softs & meats.

Risk Management

Adamah believes that risk management is at least as important as trade signal generation. Risk is controlled on a variety of levels, including the trade/market, sector, and portfolio level. Several proprietary measures of risk are used to monitor volatility and “range.” Risk per trade is computed dynamically, but is typically less than the 1%-1.5% range.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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=0%)
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=0%)
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
-30.45 67 - 4/1/2011 11/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
3.73 2 3/1/2011 4/1/2011
3.44 3 11/1/2014 1/1/2015
3.22 2 6/1/2012 7/1/2012
2.82 2 1/1/2016 2/1/2016
2.21 2 6/1/2015 7/1/2015
1.70 1 6/1/2014 6/1/2014
1.50 2 3/1/2013 4/1/2013
1.50 1 11/1/2015 11/1/2015
1.10 1 4/1/2012 4/1/2012
1.00 2 10/1/2011 11/1/2011
1.00 1 5/1/2016 5/1/2016
1.00 1 12/1/2012 12/1/2012
0.70 1 7/1/2016 7/1/2016
0.60 1 9/1/2014 9/1/2014
0.50 1 1/1/2014 1/1/2014
0.20 1 4/1/2014 4/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.67 5 5/1/2011 9/1/2011
-6.82 4 8/1/2016 11/1/2016
-6.53 8 5/1/2013 12/1/2013
-4.44 4 8/1/2012 11/1/2012
-4.27 2 3/1/2016 4/1/2016
-4.24 3 8/1/2015 10/1/2015
-3.97 4 12/1/2011 3/1/2012
-3.36 4 2/1/2015 5/1/2015
-3.30 1 5/1/2012 5/1/2012
-2.00 1 5/1/2014 5/1/2014
-1.30 1 10/1/2014 10/1/2014
-1.00 1 12/1/2015 12/1/2015
-1.00 2 1/1/2013 2/1/2013
-0.80 2 7/1/2014 8/1/2014
-0.60 2 2/1/2014 3/1/2014
-0.40 1 6/1/2016 6/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00
Percent Profitable34.7828.3614.0612.071.920.000.000.00
Average Period Return-0.46-1.42-2.55-4.39-6.06-7.59-11.60-14.92
Average Gain1.091.191.400.750.36
Average Loss-1.38-2.46-3.20-5.10-6.19-7.59-11.60-14.92
Best Period2.103.442.601.240.36-0.98-5.77-10.14
Worst Period-5.10-8.41-12.58-14.63-18.32-17.10-22.43-23.12
Standard Deviation1.502.452.873.503.673.714.163.29
Gain Standard Deviation0.590.770.690.43
Loss Standard Deviation1.122.092.553.123.603.714.163.29
Sharpe Ratio (1%)-0.36-0.68-1.06-1.54-2.06-2.59-3.51-5.77
Average Gain / Average Loss0.790.490.440.150.06
Profit / Loss Ratio0.450.190.070.020.00
Downside Deviation (10%)1.643.585.7710.0114.1318.2127.6736.61
Downside Deviation (5%)1.432.884.156.418.4010.2715.1919.25
Downside Deviation (0%)1.382.723.785.597.078.4312.3015.26
Sortino Ratio (10%)-0.53-0.74-0.87-0.94-0.97-0.98-0.99-1.00
Sortino Ratio (5%)-0.38-0.58-0.74-0.84-0.90-0.93-0.96-0.99
Sortino Ratio (0%)-0.33-0.52-0.68-0.79-0.86-0.90-0.94-0.98

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.