Adamah Capital LLC : Diversified Sectors Program

Year-to-Date
1.21%
Oct Performance
5.70%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.54%
Sharpe (RFR=1%)
-0.58
CAROR
-6.84%
Assets
$ 100k
Worst DD
-42.78
S&P Correlation
-0.22

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
3/2011
Diversified Sectors Program 5.70 -1.09 1.21 -11.65 -9.86 -16.82 - -37.66
S&P 500 1.34 3.35 13.87 19.90 26.32 80.52 - 92.24
+/- S&P 500 4.36 -4.45 -12.65 -31.55 -36.18 -97.34 - -129.90

Strategy Description

Investment Strategy

Adamah’s Diversified Sector 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
$ 100k
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
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
40.00%
1-30 Days
32.00%
Intraday
3.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

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

Composition

Currency Futures
20.00%
Interest Rates
15.00%
Softs
15.00%
Energy
14.00%
Precious Metals
12.00%
Grains
12.00%
Livestock
12.00%
Composition Pie Chart

Investment Strategy

Adamah’s Diversified Sector 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. The Diversified Sector program focuses on intermediate to long-term trends, with short-term approaches to improve diversification and minimize drawdown volatility. The program applies the same approach as Adamah’s Diversified program & trades the major sectors (subset of the markets) to achieve broad diversification and a lower account size.

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
-42.78 70 - 4/1/2011 2/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
14.57 4 6/1/2014 9/1/2014
12.18 4 11/1/2015 2/1/2016
10.98 3 1/1/2015 3/1/2015
8.38 5 5/1/2015 9/1/2015
7.60 1 11/1/2014 11/1/2014
5.70 1 10/1/2017 10/1/2017
5.33 2 3/1/2017 4/1/2017
4.86 2 6/1/2017 7/1/2017
4.24 2 8/1/2013 9/1/2013
4.10 1 1/1/2014 1/1/2014
3.80 1 8/1/2011 8/1/2011
3.33 2 11/1/2012 12/1/2012
2.81 2 3/1/2011 4/1/2011
2.42 3 6/1/2012 8/1/2012
1.60 1 2/1/2013 2/1/2013
1.40 1 5/1/2013 5/1/2013
1.00 1 11/1/2011 11/1/2011
0.80 1 5/1/2016 5/1/2016
0.50 1 4/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.19 9 6/1/2016 2/1/2017
-16.97 3 5/1/2011 7/1/2011
-10.34 4 2/1/2014 5/1/2014
-9.51 3 10/1/2013 12/1/2013
-7.12 2 3/1/2016 4/1/2016
-6.59 4 12/1/2011 3/1/2012
-6.43 2 8/1/2017 9/1/2017
-5.52 2 6/1/2013 7/1/2013
-5.43 2 9/1/2011 10/1/2011
-5.10 1 1/1/2013 1/1/2013
-4.50 1 4/1/2015 4/1/2015
-4.37 2 9/1/2012 10/1/2012
-3.80 1 10/1/2015 10/1/2015
-3.70 1 5/1/2012 5/1/2012
-3.47 2 3/1/2013 4/1/2013
-3.00 1 5/1/2017 5/1/2017
-1.00 1 12/1/2014 12/1/2014
-0.70 1 10/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable47.5034.6233.3330.4333.3338.6040.0024.24
Average Period Return-0.52-1.70-2.86-5.13-5.05-4.29-3.70-7.32
Average Gain2.475.368.4416.2420.3319.9011.877.90
Average Loss-3.31-5.44-8.51-14.49-17.74-19.49-14.08-12.19
Best Period7.6014.4322.4229.4840.4340.6522.3111.74
Worst Period-9.80-17.51-29.44-35.58-32.02-30.31-38.79-24.05
Standard Deviation3.626.8910.5916.5020.3121.2816.3311.14
Gain Standard Deviation2.123.866.338.0011.3311.757.073.44
Loss Standard Deviation2.284.927.218.568.166.6411.787.76
Sharpe Ratio (1%)-0.17-0.28-0.32-0.37-0.32-0.30-0.41-1.02
Average Gain / Average Loss0.750.990.991.121.151.020.840.65
Profit / Loss Ratio0.690.520.500.490.570.640.560.21
Downside Deviation (10%)3.116.6710.7017.7321.7223.9225.2330.89
Downside Deviation (5%)2.926.059.3814.7217.0317.6116.0015.63
Downside Deviation (0%)2.875.909.0714.0015.9116.1114.1112.51
Sortino Ratio (10%)-0.30-0.44-0.50-0.57-0.58-0.61-0.77-0.93
Sortino Ratio (5%)-0.21-0.32-0.36-0.42-0.38-0.36-0.42-0.73
Sortino Ratio (0%)-0.18-0.29-0.32-0.37-0.32-0.27-0.26-0.59

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.