Adamah Capital LLC : Global Macro Program

Year-to-Date: N / A
Dec Performance: 0.00%

Min Investment: $ 450k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 5.16%
Sharpe (RFR=1%): -1.25
CAROR: -5.44%

Assets: $ 500k
Worst DD: -30.45
S&P Correlation: 0.12

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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
Global Macro Program	0.00	-3.67	-	-7.09	-10.25	-21.15	-	-27.86
S&P 500	1.82	3.25	-	9.54	21.13	78.02	-	68.83
+/- S&P 500	-1.82	-6.92	-	-16.63	-31.38	-99.18	-	-96.68

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%

Summary

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.

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

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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

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

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-12.67	5	5/1/2011	9/1/2011
-6.82	5	8/1/2016	12/1/2016
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	70.00	68.00	65.00	59.00	53.00	47.00	35.00	23.00
Percent Profitable	34.29	27.94	13.85	11.86	1.89	0.00	0.00	0.00
Average Period Return	-0.45	-1.45	-2.61	-4.44	-6.12	-7.66	-11.56	-14.95
Average Gain	1.09	1.19	1.40	0.75	0.36
Average Loss	-1.38	-2.48	-3.25	-5.14	-6.24	-7.66	-11.56	-14.95
Best Period	2.10	3.44	2.60	1.24	0.36	-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 Deviation	1.49	2.45	2.88	3.49	3.66	3.70	4.11	3.22
Gain Standard Deviation	0.59	0.77	0.69	0.43
Loss Standard Deviation	1.12	2.08	2.56	3.11	3.58	3.70	4.11	3.22
Sharpe Ratio (1%)	-0.36	-0.69	-1.08	-1.56	-2.08	-2.61	-3.55	-5.91
Average Gain / Average Loss	0.79	0.48	0.43	0.15	0.06
Profit / Loss Ratio	0.45	0.19	0.07	0.02	0.00
Downside Deviation (10%)	1.63	3.61	5.83	10.05	14.18	18.28	27.62	36.64
Downside Deviation (5%)	1.42	2.90	4.20	6.45	8.44	10.34	15.14	19.27
Downside Deviation (0%)	1.37	2.73	3.83	5.62	7.11	8.49	12.25	15.28
Sortino Ratio (10%)	-0.53	-0.74	-0.87	-0.94	-0.97	-0.98	-0.99	-1.00
Sortino Ratio (5%)	-0.38	-0.59	-0.74	-0.84	-0.90	-0.94	-0.96	-0.99
Sortino Ratio (0%)	-0.33	-0.53	-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.

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Adamah Capital LLC : Global Macro Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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