Amplitude Capital International Limited : Adagio Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance 6.71% Min Investment $ 20,000k Mgmt. Fee 0.70% Perf. Fee 15.00% Annualized Vol 8.79% Sharpe (RFR=1%) 0.58 CAROR 5.87% Assets $ 111.5M Worst DD -8.16 S&P Correlation 0.01 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since10/2016 Adagio Strategy 6.71 - - - 13.05 - - 15.31 S&P 500 1.79 - - - 36.22 - - 62.96 +/- S&P 500 4.92 - - - -23.17 - - -47.64 Strategy Description SummaryThe Adagio Strategy currently trades via managed accounts only. It trades a global universe of exchange traded futures across all asset classes and spot FX markets. The strategy utilizes a systematic and fully automated directional program which uses extensive quantitative analysis... Read More Account & Fees Type Managed Account Minimum Investment $ 20,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 0.70% Performance Fee 15.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 740 RT/YR/$M Avg. Margin-to-Equity 14% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 15.00% 1-3 Months 30.00% 1-30 Days 55.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 20.00% Trend-following 80.00% Composition Stock Indices 39.00% Interest Rates 21.00% Currency Futures 12.00% Energy 9.00% Industrial Metals 4.00% Currency FX 3.00% Grains 3.00% Softs 3.00% Precious Metals 2.00% VIX 2.00% Livestock 1.00% Other 1.00% SummaryThe Adagio Strategy currently trades via managed accounts only. It trades a global universe of exchange traded futures across all asset classes and spot FX markets. The strategy utilizes a systematic and fully automated directional program which uses extensive quantitative analysis of real time price data and sophisticated portfolio methodology to detect medium term market trends on multiple time frames. The strategy incorporates a small mean reversion component and some pattern recognition. Execution is entirely electronic. Execution costs and slippage are closely monitored. The risk management function is also monitored real-time and is fully automated. Currently, 158 markets are traded, with each instrument independently analyzed. Presently, 8 of these markets are alternative markets such as electricity futures. The average holding period is 6 weeks. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -8.16 2 5 1/1/0001 11/1/2016 -3.69 2 3 5/1/2017 7/1/2017 -3.66 3 1 8/1/2018 11/1/2018 -2.40 5 1 11/1/2017 4/1/2018 -0.27 1 1 1/1/2019 2/1/2019 -0.19 1 2 5/1/2018 6/1/2018 Show More Consecutive Gains Run-up Length (Mos.) Start End 8.80 4 2/1/2017 5/1/2017 6.71 1 3/1/2019 3/1/2019 5.83 2 12/1/2018 1/1/2019 3.91 1 12/1/2016 12/1/2016 3.52 2 10/1/2017 11/1/2017 3.27 1 8/1/2017 8/1/2017 2.95 1 5/1/2018 5/1/2018 1.27 2 7/1/2018 8/1/2018 0.61 3 1/1/2018 3/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.16 2 10/1/2016 11/1/2016 -3.69 2 6/1/2017 7/1/2017 -3.66 3 9/1/2018 11/1/2018 -1.55 1 4/1/2018 4/1/2018 -1.47 1 12/1/2017 12/1/2017 -1.23 1 1/1/2017 1/1/2017 -0.90 1 9/1/2017 9/1/2017 -0.27 1 2/1/2019 2/1/2019 -0.19 1 6/1/2018 6/1/2018 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods30.0028.0025.0019.0013.00 Percent Profitable56.6764.2988.0089.4792.31 Average Period Return0.511.622.855.247.93 Average Gain2.153.493.566.098.60 Average Loss-1.64-1.74-2.35-1.96-0.16 Best Period6.717.9111.6613.9414.48 Worst Period-5.08-4.56-2.62-2.16-0.16 Standard Deviation2.543.223.324.184.31 Gain Standard Deviation1.872.272.873.523.72 Loss Standard Deviation1.441.370.270.28 Sharpe Ratio (1%)0.170.430.711.011.49 Average Gain / Average Loss1.312.011.513.1052.93 Profit / Loss Ratio1.713.6211.1026.36635.20 Downside Deviation (10%)1.631.941.832.662.86 Downside Deviation (5%)1.451.420.990.960.46 Downside Deviation (0%)1.411.300.820.640.05 Sortino Ratio (10%)0.060.200.210.090.12 Sortino Ratio (5%)0.290.972.384.4013.90 Sortino Ratio (0%)0.361.253.488.19175.89 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 8 6.71 3/2019 Past performance is not necessarily indicative of future results. 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