EMC Capital Advisors, LLC : EMC Alpha Plus Program

Year-to-Date: 15.80%
Dec Performance: 2.02%

Min Investment: $ 3,000k
Mgmt. Fee: 1.00%
Perf. Fee: 10.00%

Annualized Vol: 11.36%
Sharpe (RFR=1%): 0.67
CAROR: 8.26%

Assets: $ 7.8M
Worst DD: -15.56
S&P Correlation: 0.24

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Growth of 1,000 - VAMI

Monthly Performance

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	2019	1yr	3yr	5yr	10yr	Since 5/2014
EMC Alpha Plus Program	2.02	0.45	15.80	15.80	22.41	24.85	-	56.79
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	-	66.25
+/- S&P 500	-0.84	-8.09	-13.07	-13.07	-20.43	-30.47	-	-9.46

Strategy Description

Summary

EMC’s Alpha Plus Program is a multi-asset alternative strategy that seeks to generate long-term absolute returns in any market environment. ... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 3,000k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor: 2.00
Management Fee: 1.00%
Performance Fee: 10.00%
Average Commission: $3.00
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: 550 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD: -20.00%
Worst Peak-to-Trough: 20.00%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 20.00%
4-12 Months: 0%
1-3 Months: 60.00%
1-30 Days: 20.00%
Intraday: 0%

Summary

EMC’s Alpha Plus Program is a multi-asset alternative strategy that seeks to generate long-term absolute returns in any market environment.

Investment Strategy

The Program combines a statistically biased allocation to global equity, interest rate and commodity markets with a tactical overlay of discrete sector specific quantitative models that are responsive to current macro trends. The sector specific models include an unconstrained interest rate strategy, a dynamic commodity strategy and a long/short global financials strategy.

Risk Management

The Program is designed to produce superior risk adjusted returns.

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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.

Compare to:

Index:

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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
-15.56	9	10	1/1/2018	10/1/2018
-11.69	4	13	7/1/2016	11/1/2016
-10.87	5	10	3/1/2015	8/1/2015
-4.44	2	-	8/1/2019	10/1/2019
-0.47	1	1	1/1/2015	2/1/2015

Consecutive Gains

Run-up	Length (Mos.)	Start	End
35.74	9	5/1/2014	1/1/2015
17.69	4	10/1/2017	1/1/2018
17.41	6	3/1/2019	8/1/2019
10.66	2	6/1/2016	7/1/2016
9.72	2	1/1/2016	2/1/2016
6.39	2	7/1/2017	8/1/2017
6.23	3	12/1/2016	2/1/2017
6.08	3	9/1/2015	11/1/2015
3.90	3	11/1/2018	1/1/2019
2.80	2	4/1/2017	5/1/2017
2.22	2	11/1/2019	12/1/2019
2.05	1	7/1/2015	7/1/2015
1.64	1	3/1/2015	3/1/2015
0.58	2	7/1/2018	8/1/2018
0.34	1	9/1/2016	9/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-11.45	5	2/1/2018	6/1/2018
-9.73	2	10/1/2016	11/1/2016
-7.92	3	4/1/2015	6/1/2015
-5.19	2	9/1/2018	10/1/2018
-5.15	1	8/1/2015	8/1/2015
-5.00	3	3/1/2016	5/1/2016
-4.45	1	12/1/2015	12/1/2015
-4.44	2	9/1/2019	10/1/2019
-4.31	1	9/1/2017	9/1/2017
-3.60	1	6/1/2017	6/1/2017
-2.50	1	8/1/2016	8/1/2016
-1.86	1	3/1/2017	3/1/2017
-0.47	1	2/1/2015	2/1/2015
-0.39	1	2/1/2019	2/1/2019

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	68.00	66.00	63.00	57.00	51.00	45.00	33.00	21.00
Percent Profitable	63.24	60.61	65.08	68.42	86.27	82.22	100.00	100.00
Average Period Return	0.72	2.11	4.17	5.93	7.19	9.84	14.00	19.97
Average Gain	2.70	5.87	8.98	10.57	8.58	12.38	14.00	19.97
Average Loss	-2.70	-3.69	-4.80	-4.11	-1.56	-1.91
Best Period	8.09	19.15	29.56	34.09	28.52	36.59	34.08	42.84
Worst Period	-6.49	-9.43	-11.40	-12.27	-5.39	-4.70	0.44	1.11
Standard Deviation	3.28	5.95	8.94	9.64	7.39	10.10	8.70	11.94
Gain Standard Deviation	2.06	4.04	7.12	7.96	6.97	9.31	8.70	11.94
Loss Standard Deviation	1.84	2.99	3.12	2.94	1.74	1.80
Sharpe Ratio (1%)	0.19	0.31	0.41	0.51	0.77	0.78	1.26	1.33
Average Gain / Average Loss	1.00	1.59	1.87	2.57	5.49	6.48
Profit / Loss Ratio	1.72	2.45	3.49	5.57	34.48	29.95
Downside Deviation (10%)	2.18	3.60	4.68	5.52	4.39	6.23	6.54	9.11
Downside Deviation (5%)	2.01	3.08	3.61	3.30	1.30	1.82	0.45	0.90
Downside Deviation (0%)	1.97	2.96	3.36	2.82	0.83	1.07
Sortino Ratio (10%)	0.14	0.24	0.36	0.17	-0.09	-0.07	-0.27	-0.17
Sortino Ratio (5%)	0.32	0.60	1.02	1.50	4.38	4.30	24.31	17.71
Sortino Ratio (0%)	0.36	0.71	1.24	2.11	8.64	9.17

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	7	1.97	11/2017

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

^#7

Top Performer

DIVERSIFIED TRADER INDEX

NOVEMBER
2017

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More Programs by EMC Capital Advisors, LLC

Program Name	CAROR
Classic	16.79%
EMC Alpha Plus Program	8.26%
EMC Alpha Program	5.66%
EMC Balance Program	-

IASG Activity

Blends 26
Portfolios 10
Watchlists 24

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EMC Capital Advisors, LLC : EMC Alpha Plus 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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