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/ EMC Capital Advisors, LLC / EMC Alpha Plus Program

EMC Capital Advisors, LLC : EMC Alpha Plus Program

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Year-to-Date
11.13%
Dec Performance
7.01%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
11.20%
Sharpe (RFR=1%)
0.71
CAROR
8.69%
Assets
$ 8.7M
Worst DD
-15.56
S&P Correlation
0.31
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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 2020 1yr 3yr 5yr 10yr Since
5/2014
EMC Alpha Plus Program 7.01 11.08 11.13 11.13 19.84 40.46 - 74.25
S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 - 93.28
+/- S&P 500 3.30 -0.61 -5.13 -5.13 -20.64 -41.44 - -19.03

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%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
40.00%
Trend-following
40.00%
Other
20.00%
Strategy Pie Chart

Composition

Interest Rates
29.00%
Currency Futures
19.00%
Stock Indices
17.00%
Energy
8.00%
Softs
8.00%
Grains
7.00%
Industrial Metals
6.00%
Precious Metals
4.00%
Livestock
2.00%
Composition Pie Chart

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.

   

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

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
-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
-5.74 2 2 8/1/2020 10/1/2020
-4.44 2 9 8/1/2019 10/1/2019
-0.47 1 1 1/1/2015 2/1/2015
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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
13.52 2 11/1/2020 12/1/2020
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
3.18 2 4/1/2020 5/1/2020
2.80 2 4/1/2017 5/1/2017
2.63 2 7/1/2020 8/1/2020
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
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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
-5.74 2 9/1/2020 10/1/2020
-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
-1.92 3 1/1/2020 3/1/2020
-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
-0.01 1 6/1/2020 6/1/2020
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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 Profitable61.2561.5466.6773.9188.8984.21100.00100.00
Average Period Return0.752.003.816.008.4210.6314.8919.61
Average Gain2.765.427.979.579.6712.9614.8919.61
Average Loss-2.43-3.47-4.50-4.11-1.56-1.76
Best Period8.0919.1529.5634.0928.5236.5934.0842.84
Worst Period-6.49-9.43-11.40-12.27-5.39-4.700.441.11
Standard Deviation3.235.668.338.947.369.687.7410.34
Gain Standard Deviation2.124.046.897.496.818.737.7410.34
Loss Standard Deviation1.832.913.052.941.741.75
Sharpe Ratio (1%)0.210.310.400.560.940.891.531.50
Average Gain / Average Loss1.141.561.772.336.197.38
Profit / Loss Ratio1.802.503.546.5949.4939.36
Downside Deviation (10%)2.093.424.415.103.965.765.678.01
Downside Deviation (5%)1.922.913.363.001.171.650.390.72
Downside Deviation (0%)1.882.793.122.560.750.96
Sortino Ratio (10%)0.160.230.300.200.210.07-0.15-0.24
Sortino Ratio (5%)0.350.600.991.675.935.2230.7021.70
Sortino Ratio (0%)0.400.721.222.3411.2511.12

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.

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