ADG Capital Management : ADG Systematic Macro

Year-to-Date
5.78%
Feb Performance
6.62%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.13%
Sharpe (RFR=1%)
0.62
CAROR
5.90%
Assets
$ 61.0M
Worst DD
-13.65
S&P Correlation
0.03

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2013
ADG Systematic Macro 6.62 5.78 5.78 4.48 -0.97 14.36 - 56.63
S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 - 148.97
+/- S&P 500 0.68 -2.87 1.02 -28.71 -45.95 -87.21 - -92.35

Strategy Description

Investment Strategy

The ADG Strategy implements a quantitative approach to trade developed Stocks, Bonds, Volatility, and FX on both a directional and relative basis. The strategy uses four independent, uncorrelated and multi-factor models which focus on different market returns. The factors... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

The ADG Strategy implements a quantitative approach to trade developed Stocks, Bonds, Volatility, and FX on both a directional and relative basis. The strategy uses four independent, uncorrelated and multi-factor models which focus on different market returns. The factors are based on fundamental analysis and economic intuition and are long term in nature. Risk Management is an intrinsic part of the investment process with the purpose of maintaining a diversified portfolio and minimizing the exposure to tail events.

The strategy aims to achieve a net track record with a Sharpe ratio >1, deliver annualized volatility of more than 10% and demonstrate low correlation to traditional asset classes, hedge funds and other alternative strategies.

   

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
-13.65 40 - 5/1/2017 9/1/2020
-4.42 7 2 5/1/2015 12/1/2015
-4.01 1 3 10/1/2016 11/1/2016
-2.83 1 1 11/1/2013 12/1/2013
-2.02 1 1 5/1/2013 6/1/2013
-1.63 1 2 2/1/2016 3/1/2016
-1.49 2 1 5/1/2014 7/1/2014
-1.35 1 1 7/1/2013 8/1/2013
-1.13 1 1 1/1/2015 2/1/2015
-0.86 1 1 11/1/2014 12/1/2014
-0.71 1 1 8/1/2014 9/1/2014
-0.18 1 1 3/1/2015 4/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
11.49 5 1/1/2014 5/1/2014
9.12 7 4/1/2016 10/1/2016
8.96 4 2/1/2017 5/1/2017
7.79 2 1/1/2016 2/1/2016
7.07 3 10/1/2020 12/1/2020
6.73 3 2/1/2018 4/1/2018
6.62 1 2/1/2021 2/1/2021
6.38 3 9/1/2013 11/1/2013
6.08 2 10/1/2014 11/1/2014
4.79 1 1/1/2015 1/1/2015
4.77 1 8/1/2014 8/1/2014
4.68 2 9/1/2019 10/1/2019
3.88 1 3/1/2015 3/1/2015
3.81 1 7/1/2015 7/1/2015
3.05 1 10/1/2018 10/1/2018
3.00 1 12/1/2016 12/1/2016
2.85 1 7/1/2013 7/1/2013
2.79 3 8/1/2017 10/1/2017
2.77 1 9/1/2015 9/1/2015
2.03 1 4/1/2019 4/1/2019
1.90 2 7/1/2020 8/1/2020
1.44 1 5/1/2015 5/1/2015
1.22 1 11/1/2015 11/1/2015
0.66 1 2/1/2019 2/1/2019
0.42 1 5/1/2013 5/1/2013
0.40 1 3/1/2020 3/1/2020
0.38 1 12/1/2019 12/1/2019
0.28 1 7/1/2019 7/1/2019
0.18 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.53 3 4/1/2020 6/1/2020
-5.60 2 1/1/2020 2/1/2020
-4.89 2 6/1/2017 7/1/2017
-4.73 3 11/1/2017 1/1/2018
-4.01 1 11/1/2016 11/1/2016
-3.90 1 6/1/2015 6/1/2015
-3.60 1 12/1/2015 12/1/2015
-3.52 1 8/1/2015 8/1/2015
-2.83 1 12/1/2013 12/1/2013
-2.65 2 5/1/2019 6/1/2019
-2.58 3 7/1/2018 9/1/2018
-2.35 3 11/1/2018 1/1/2019
-2.09 1 9/1/2020 9/1/2020
-2.02 1 6/1/2013 6/1/2013
-1.71 1 8/1/2019 8/1/2019
-1.63 1 3/1/2016 3/1/2016
-1.49 2 6/1/2014 7/1/2014
-1.35 1 8/1/2013 8/1/2013
-1.13 1 2/1/2015 2/1/2015
-0.97 1 10/1/2015 10/1/2015
-0.86 1 12/1/2014 12/1/2014
-0.84 1 11/1/2019 11/1/2019
-0.81 1 3/1/2019 3/1/2019
-0.79 1 1/1/2021 1/1/2021
-0.71 1 9/1/2014 9/1/2014
-0.66 1 5/1/2018 5/1/2018
-0.53 1 1/1/2017 1/1/2017
-0.18 1 4/1/2015 4/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods94.0092.0089.0083.0077.0071.0059.0047.0035.00
Percent Profitable57.4564.1367.4274.7074.0378.8779.6687.23100.00
Average Period Return0.511.422.685.278.3911.1517.6824.2930.06
Average Gain2.113.585.408.7313.0615.9423.7628.3030.06
Average Loss-1.66-2.45-2.93-4.94-4.93-6.73-6.15-3.07
Best Period6.629.4214.6421.3328.6834.5645.5959.4861.00
Worst Period-4.01-7.53-12.36-12.03-11.12-12.50-10.14-5.403.46
Standard Deviation2.353.585.178.2310.8612.9017.0919.2318.88
Gain Standard Deviation1.562.243.506.238.339.8713.3817.2018.88
Loss Standard Deviation1.201.813.123.543.873.813.641.94
Sharpe Ratio (1%)0.180.330.420.520.630.710.861.051.32
Average Gain / Average Loss1.271.461.841.772.652.373.879.21
Profit / Loss Ratio1.722.613.815.227.568.8415.1562.93
Downside Deviation (10%)1.562.463.595.507.038.6610.7811.3211.48
Downside Deviation (5%)1.381.942.633.463.804.384.442.710.31
Downside Deviation (0%)1.331.822.423.033.163.533.191.27
Sortino Ratio (10%)0.060.080.060.050.110.100.180.240.21
Sortino Ratio (5%)0.310.600.831.241.812.093.307.4581.17
Sortino Ratio (0%)0.380.781.111.742.653.165.5519.17

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.