Adalpha Asset Management, LLC : Adalpha Diversified Short-Term Program

Year-to-Date
3.98%
Sep Performance
2.26%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
11.85%
Sharpe (RFR=1%)
0.66
CAROR
8.44%
Assets
$ 359k
Worst DD
-13.42
S&P Correlation
-0.13

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
4/2003
Adalpha Diversified Short-Term Program 2.26 1.85 3.98 2.36 13.73 28.97 86.79 223.61
S&P 500 1.93 3.96 12.36 16.01 27.54 74.61 64.73 174.30
+/- S&P 500 0.33 -2.11 -8.37 -13.66 -13.81 -45.64 22.06 49.32

Strategy Description

Summary

Adalpha Asset Management, LLC is an alternative investment management company that employs an institutional quality managed futures program designed to consistently produce high absolute returns adjusted for risk. The program is diversified,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
4.00
Management Fee
0%
Performance Fee
30.00%
Average Commission
$0
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
3500 RT/YR/$M
Avg. Margin-to-Equity
4%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
95.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Momentum
50.00%
Strategy Pie Chart

Composition

Currency Futures
22.00%
Grains
14.00%
Interest Rates
14.00%
Stock Indices
14.00%
Energy
14.00%
Precious Metals
9.00%
Softs
7.00%
Industrial Metals
3.00%
Livestock
3.00%
Composition Pie Chart

Summary

Adalpha Asset Management, LLC is an alternative investment management company that employs an institutional quality managed futures program designed to consistently produce high absolute returns adjusted for risk. The program is diversified, short-term and 100% systematic. It utilizes multiple momentum and mean reversion based systems which incorporate price, time, volatility and pattern recognition into its dynamic models. These elements are combined to generate high probability directional trading signals, which attempt to capitalize on the many short-term trends that are present in most types of market environments. Qualified investors have the potential to achieve superior capital appreciation with sound risk management and low correlation to traditional investments, regardless of the overall direction of individual markets or asset classes.If you would like more information about Adalpha Asset Management, LLC or how its managed futures program can be of benefit to your portfolio please contact us. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.

   

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=1%)
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=1%)
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
-13.42 5 3 11/1/2004 4/1/2005
-12.56 8 5 6/1/2016 2/1/2017
-9.75 13 12 9/1/2011 10/1/2012
-9.12 2 2 5/1/2003 7/1/2003
-8.79 2 2 6/1/2007 8/1/2007
-8.62 2 3 1/1/2007 3/1/2007
-8.20 11 5 5/1/2009 4/1/2010
-7.99 6 6 9/1/2010 3/1/2011
-7.12 9 2 3/1/2015 12/1/2015
-5.68 3 3 5/1/2004 8/1/2004
-5.09 1 - 7/1/2017 8/1/2017
-4.53 2 2 2/1/2014 4/1/2014
-3.58 1 1 9/1/2005 10/1/2005
-2.71 1 3 4/1/2006 5/1/2006
-2.55 1 1 8/1/2008 9/1/2008
-2.34 2 1 6/1/2014 8/1/2014
-2.24 4 1 3/1/2008 7/1/2008
-2.16 1 1 7/1/2005 8/1/2005
-1.54 1 2 12/1/2008 1/1/2009
-1.06 1 1 4/1/2016 5/1/2016
-0.96 1 2 10/1/2013 11/1/2013
-0.85 1 1 1/1/0001 4/1/2003
-0.84 2 1 11/1/2007 1/1/2008
-0.58 1 1 8/1/2006 9/1/2006
-0.51 1 1 10/1/2006 11/1/2006
-0.24 1 1 1/1/2006 2/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
56.82 10 8/1/2003 5/1/2004
21.04 3 10/1/2008 12/1/2008
17.02 3 5/1/2005 7/1/2005
15.70 7 9/1/2014 3/1/2015
13.66 4 1/1/2016 4/1/2016
12.59 3 9/1/2007 11/1/2007
11.98 3 11/1/2005 1/1/2006
9.72 3 7/1/2011 9/1/2011
9.55 3 3/1/2017 5/1/2017
9.48 3 4/1/2007 6/1/2007
9.13 2 3/1/2006 4/1/2006
8.50 4 2/1/2009 5/1/2009
7.55 2 5/1/2012 6/1/2012
7.39 1 5/1/2010 5/1/2010
6.68 2 2/1/2008 3/1/2008
6.63 3 8/1/2013 10/1/2013
6.47 1 11/1/2004 11/1/2004
6.25 1 11/1/2012 11/1/2012
5.47 1 9/1/2004 9/1/2004
4.94 1 7/1/2017 7/1/2017
4.94 2 10/1/2009 11/1/2009
4.92 2 5/1/2014 6/1/2014
3.97 2 12/1/2006 1/1/2007
3.91 3 6/1/2006 8/1/2006
3.75 1 8/1/2008 8/1/2008
3.09 2 4/1/2011 5/1/2011
3.00 1 2/1/2013 2/1/2013
2.77 1 6/1/2016 6/1/2016
2.67 2 4/1/2013 5/1/2013
2.66 3 7/1/2010 9/1/2010
2.51 1 9/1/2005 9/1/2005
2.26 1 9/1/2017 9/1/2017
1.94 1 7/1/2015 7/1/2015
1.73 3 12/1/2013 2/1/2014
1.69 1 12/1/2011 12/1/2011
1.68 1 5/1/2003 5/1/2003
1.37 1 10/1/2006 10/1/2006
1.35 1 2/1/2011 2/1/2011
0.98 2 5/1/2008 6/1/2008
0.95 1 8/1/2009 8/1/2009
0.95 1 3/1/2005 3/1/2005
0.83 1 7/1/2004 7/1/2004
0.68 1 5/1/2015 5/1/2015
0.37 1 9/1/2012 9/1/2012
0.07 1 1/1/2010 1/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.56 8 7/1/2016 2/1/2017
-11.20 3 12/1/2004 2/1/2005
-9.12 2 6/1/2003 7/1/2003
-8.79 2 7/1/2007 8/1/2007
-8.62 2 2/1/2007 3/1/2007
-6.59 5 8/1/2015 12/1/2015
-6.40 4 1/1/2012 4/1/2012
-6.11 2 6/1/2009 7/1/2009
-5.09 1 8/1/2017 8/1/2017
-5.01 1 8/1/2004 8/1/2004
-4.91 3 2/1/2010 4/1/2010
-4.77 4 10/1/2010 1/1/2011
-4.75 2 7/1/2012 8/1/2012
-4.67 1 3/1/2011 3/1/2011
-4.53 2 3/1/2014 4/1/2014
-4.02 1 10/1/2012 10/1/2012
-3.91 2 10/1/2011 11/1/2011
-3.70 2 6/1/2013 7/1/2013
-3.58 1 10/1/2005 10/1/2005
-3.42 1 4/1/2005 4/1/2005
-3.21 1 10/1/2004 10/1/2004
-2.71 1 5/1/2006 5/1/2006
-2.55 1 9/1/2008 9/1/2008
-2.34 2 7/1/2014 8/1/2014
-2.16 1 8/1/2005 8/1/2005
-2.09 1 12/1/2009 12/1/2009
-1.70 1 4/1/2008 4/1/2008
-1.63 2 12/1/2012 1/1/2013
-1.61 1 6/1/2015 6/1/2015
-1.54 1 1/1/2009 1/1/2009
-1.53 1 4/1/2015 4/1/2015
-1.52 1 7/1/2008 7/1/2008
-1.52 1 6/1/2004 6/1/2004
-1.34 1 6/1/2011 6/1/2011
-1.06 1 5/1/2016 5/1/2016
-0.96 1 11/1/2013 11/1/2013
-0.94 1 9/1/2009 9/1/2009
-0.85 1 3/1/2013 3/1/2013
-0.85 1 4/1/2003 4/1/2003
-0.84 2 12/1/2007 1/1/2008
-0.58 1 9/1/2006 9/1/2006
-0.51 1 11/1/2006 11/1/2006
-0.27 1 6/1/2010 6/1/2010
-0.24 1 2/1/2006 2/1/2006
-0.02 1 6/1/2017 6/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods174.00172.00169.00163.00157.00151.00139.00127.00115.00
Percent Profitable55.7563.3769.2378.5389.1792.7297.84100.00100.00
Average Period Return0.732.254.668.8512.7916.9726.7835.2344.98
Average Gain2.955.498.1412.0614.6018.5327.3835.2344.98
Average Loss-2.06-3.36-3.18-2.86-2.08-2.83-0.63
Best Period19.7821.1038.6455.7154.4262.8891.66102.04117.73
Worst Period-8.61-11.20-10.32-7.65-5.68-6.92-1.020.963.19
Standard Deviation3.426.038.5311.8212.3313.8720.0423.8929.54
Gain Standard Deviation2.765.037.9211.3511.8313.1919.8323.8929.54
Loss Standard Deviation1.682.382.532.191.591.870.54
Sharpe Ratio (1%)0.190.330.490.660.921.081.191.301.35
Average Gain / Average Loss1.431.632.564.217.036.5643.61
Profit / Loss Ratio1.812.825.7515.4157.8583.461976.82
Downside Deviation (10%)1.983.133.484.024.014.965.826.806.64
Downside Deviation (5%)1.812.612.472.061.301.420.750.310.18
Downside Deviation (0%)1.762.492.251.660.850.900.11
Sortino Ratio (10%)0.160.330.630.961.301.361.892.012.61
Sortino Ratio (5%)0.360.761.683.828.6610.5731.71101.04224.26
Sortino Ratio (0%)0.420.902.075.3315.0218.82237.69

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.