Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
The 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.
AUM & Cumulative Returns
Distribution
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
Amplitude Capital International Limited Adagio Strategy
Average RoR
0.51%
Max Gain
6.71%
Gain Frequency
56.67%
Average Gain
2.15%
Gain Deviation
1.87%
Risk
Standard Deviation
2.54%
Worst Loss
-5.08%
Loss Frequency
43.33%
Average Loss
-1.64%
Loss Deviation
1.44%
Reward/Risk
Sharpe (RFR=1%)
0.17
Skewness
0.22
Kurtosis
0.28
Reward
Amplitude Capital International Limited Adagio Strategy
Compound RoR
5.87%
Average RoR
6.01%
Max Gain
8.04%
Gain Frequency
90.00%
Average Gain
8.71%
Gain Deviation
6.48%
Risk
Standard Deviation
8.79%
Worst Loss
-4.56%
Loss Frequency
10.00%
Average Loss
-18.26%
Loss Deviation
4.98%
Reward/Risk
Sharpe (RFR=1%)
0.58
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 (Months)
Recovery (Months)
Peak
Valley
-8.16
2
5
—
11/2016
-3.69
2
3
5/2017
7/2017
-3.66
3
1
8/2018
11/2018
-2.40
5
1
11/2017
4/2018
-0.27
1
1
1/2019
2/2019
-0.19
1
2
5/2018
6/2018
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
8.80
4
2/2017
5/2017
6.71
1
3/2019
3/2019
5.83
2
12/2018
1/2019
3.91
1
12/2016
12/2016
3.52
2
10/2017
11/2017
3.27
1
8/2017
8/2017
2.95
1
5/2018
5/2018
1.27
2
7/2018
8/2018
0.61
3
1/2018
3/2018
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-8.16
2
10/2016
11/2016
-3.69
2
6/2017
7/2017
-3.66
3
9/2018
11/2018
-1.55
1
4/2018
4/2018
-1.47
1
12/2017
12/2017
-1.23
1
1/2017
1/2017
-0.90
1
9/2017
9/2017
-0.27
1
2/2019
2/2019
-0.19
1
6/2018
6/2018
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
