Adamah Capital LLC : Asset Allocator Program

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.51%
Sharpe (RFR=1%)
-0.71
CAROR
-6.05%
Assets
$ 100k
Worst DD
-33.68
S&P Correlation
0.52

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
3/2011
Asset Allocator Program 0.00 - - - - -9.18 - -30.53
S&P 500 1.82 - - - - 78.02 - 131.41
+/- S&P 500 -1.82 - - - - -87.20 - -161.94

Strategy Description

Investment Strategy

Adamah’s Asset Allocator program applies the firm’s core quantitative trading strategies to the major futures markets – with a focus on the more traditional assets, such as fixed income and equity indices. The Asset Allocator program offers good diversification benefits... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $16.00
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 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 20.00%
1-3 Months 40.00%
1-30 Days 35.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Stock Indices
40.00%
Interest Rates
35.00%
Softs
6.00%
Currency Futures
5.00%
Grains
4.00%
Livestock
4.00%
Precious Metals
3.00%
Energy
3.00%
Composition Pie Chart

Investment Strategy

Adamah’s Asset Allocator program applies the firm’s core quantitative trading strategies to the major futures markets – with a focus on the more traditional assets, such as fixed income and equity indices. The Asset Allocator program offers good diversification benefits for Adamah’s Diversified and Short-Term Programs.

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=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
-33.68 -1 - 1/1/0001 1/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
8.14 2 6/1/2012 7/1/2012
7.25 3 10/1/2011 12/1/2011
5.76 2 2/1/2016 3/1/2016
5.47 2 5/1/2014 6/1/2014
5.07 3 5/1/2016 7/1/2016
4.14 2 3/1/2013 4/1/2013
3.63 2 11/1/2014 12/1/2014
3.50 1 7/1/2015 7/1/2015
2.71 2 6/1/2011 7/1/2011
2.60 2 3/1/2012 4/1/2012
1.90 1 2/1/2015 2/1/2015
1.51 3 11/1/2012 1/1/2013
1.50 1 11/1/2015 11/1/2015
1.40 1 8/1/2014 8/1/2014
1.30 1 11/1/2016 11/1/2016
0.60 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.82 12 5/1/2013 4/1/2014
-14.53 2 8/1/2011 9/1/2011
-10.53 3 8/1/2015 10/1/2015
-7.76 2 12/1/2015 1/1/2016
-7.06 3 8/1/2012 10/1/2012
-5.62 3 8/1/2016 10/1/2016
-5.40 1 3/1/2015 3/1/2015
-4.86 3 3/1/2011 5/1/2011
-3.67 2 9/1/2014 10/1/2014
-2.80 1 5/1/2012 5/1/2012
-2.10 1 1/1/2015 1/1/2015
-1.99 2 5/1/2015 6/1/2015
-1.40 1 4/1/2016 4/1/2016
-1.40 1 7/1/2014 7/1/2014
-0.60 1 2/1/2013 2/1/2013
-0.50 2 1/1/2012 2/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable41.4339.7127.6918.647.552.130.000.00
Average Period Return-0.48-1.44-2.79-5.40-8.36-11.13-16.84-21.16
Average Gain1.932.663.382.934.772.79
Average Loss-2.36-4.14-5.15-7.31-9.43-11.43-16.84-21.16
Best Period6.407.259.5611.8910.082.79-3.19-13.38
Worst Period-10.50-12.82-16.23-17.59-18.33-19.50-26.88-25.97
Standard Deviation2.754.135.215.835.464.575.693.25
Gain Standard Deviation1.541.762.603.654.16
Loss Standard Deviation2.012.783.834.393.964.125.693.25
Sharpe Ratio (1%)-0.21-0.41-0.63-1.10-1.81-2.87-3.50-7.77
Average Gain / Average Loss0.820.640.660.400.510.24
Profit / Loss Ratio0.620.420.250.090.040.01
Downside Deviation (10%)2.514.697.2511.8616.8421.8633.0842.83
Downside Deviation (5%)2.324.025.798.4611.1713.9020.6525.42
Downside Deviation (0%)2.273.865.447.679.8212.0117.7521.40
Sortino Ratio (10%)-0.35-0.57-0.73-0.88-0.95-0.98-0.99-1.00
Sortino Ratio (5%)-0.24-0.42-0.57-0.76-0.88-0.95-0.96-0.99
Sortino Ratio (0%)-0.21-0.37-0.51-0.70-0.85-0.93-0.95-0.99

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 1.30 3/2016
Trend Following Strategy Index Month 5 2.70 6/2012
Systematic Trader Index Month 7 6.40 10/2011
Diversified Trader Index Month 7 6.40 10/2011
Trend Following Strategy Index Month 2 6.40 10/2011
Trend Following Strategy Index Month 6 0.70 6/2011

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