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Adalpha Asset Management, LLC - Diversified Med-Term



Principal(s): Gary Polony
Strategy: Short Term Systematic / Diversified
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Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only++
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Statistics & Program Information

Feb Return   0.06% Worst Drawdown (2)    -12.18% Minimum Investment   $2,000,000
YTD Return   -1.33% Losing Streak (3)    -12.12 % AUM (5)   $5,003,090
Annual CROR(1)  N/A Sharpe Ratio (4)   0.01 Calmar Ratio (6)    -0.07
Trading Methodology
100% Systematic
Style Sub-Categories
Trend Following
Momentum
Contrarian
Pattern Recognition
Volatility
Quantitative
Trend Anticipatory
Mean Reversion
Relative Value

Trading Style
50% Trend Following
50% Contrarian
Market Sector
14% Stock Indices
22% Currencies
14% Financials
12% Metals
14% Energies
14% Agriculturals
3% Meats
7% Softs
Holding Period
10% Medium Term
85% Short Term
5% Intraday
Sector
US
Contracts

Start Date   Jan-2021 Currency   US Dollar Margin (7)   0.03
New Money   Yes AUM (5)   $5,003,090 Management Fee    1.00%
Min Investment    $2,000,000 Annual CROR(1)  N/A Incentive Fee    20.00%
Fund Minimum    $0 Losing Streak (3)    -12.12 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -12.18 % Avg Comm (8)   $6.00
NFA Member    Yes Sharpe Ratio (4)    0.01 Max Comm (9)   0.00
NFA Number    0411331 Calmar Ratio (6)    -0.07 Round Turns (10)    2,000
Starting Date:  Jan-2021 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $5,003,090
Open to US Investors:  Yes Annual CROR:  0.87%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -11.64
Minimum Managed Account:  $2,000,000 Current Losing Streak:  -12.12 %
Domocile:   Calmar:  -0.07
Subscriptions:  N/A Sharpe Ratio:  0.01
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  1.00% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  
Type of Fund:
Domicile:
Strategy:
Track Record Prepared By: NAV Consulting, Inc.
Correlations: AG CTA Index: 0.071              AG Systematic CTA Index: 0.098             

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each.

1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return.

2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.

4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.

5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.

6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.

7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.

9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.

10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.

12. Minimum Investment represents the minimum account size.

13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

14. The Number of Winning Months represents the months with positive return.

15. The Number of Losing Months represents the months with negative return.

16. The Percentage of Winning Months represents the % of winning months.

17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Adalpha Asset Management, LLC ("Adalpha") is a Commodity Trading Advisor (CTA) offering a proprietary, diversified, 100% systematic managed futures program (Adalpha Diversified Short-Term) to implement short-term trading strategies. The platform utilizes a unique approach, leveraging multiple momentum and mean reversion based systems which incorporate price, time, volatility and pattern recognition into its dynamic models. Gary Polony, Chief Executive Officer, founded the platform in 2003 as an institutional quality futures program designed to consistently produce high absolute returns adjusted for risk. The primary objective is to achieve superior capital appreciation with sound risk management and low correlation to traditional investments, regardless of the overall direction of individual markets or asset classes. The portfolio is diversified over multiple markets, timeframes and systems and adheres to strict risk management applied at all levels. Adalpha has a track record of proven performance over a wide range of market environments.

The Medium-Term program is a sub-set of the Short-Term program and represents the longer duration trades that exist in the Short-Term program

Gary Polony is the founder and sole principal of the Advisor. He has been a NFA Associate Member, principal and associated person of the Advisor since June, 2009. He is also a member of the CME, CBOT, NYMEX and COMEX exchanges. Mr. Polony graduated from DePaul University in 1994, receiving a Bachelor of Science in Finance degree. During his undergraduate studies, he began independently researching and trading 100% mechanical trading systems for his own proprietary account. This initial research and trading system development, which has been an ongoing evolution, still heavily influences the current structure that Adalpha operates within today. In April 1990, Mr. Polony founded Advanced Marketing, a sole proprietor marketing firm. The company was renamed and incorporated as Quest Marketing Concepts, Corp. (“Quest Marketing”) in May 2002. Mr. Polony’s employment at Quest Marketing ceased as of July 2008. Following the success of Quest Marketing, Mr. Polony founded Chicago, IL based Quest Financial Management Corporation (“QFM”) which became registered as a CTA on October 10, 2003. QFM functioned as an “informational CTA” and published investment advice on financial markets. The current trading program, now known as the Adalpha Diversified Short-Term Institutional Program, commenced trading in April, 2003. Mr. Polony was registered as an associated person and principal of QFM on October 10, 2003. Mr. Polony’s employment at QFM ceased as of April 2009. In May 2009, Adalpha Asset Management, LLC was founded to trade both proprietary capital and managed client assets.

Accounting Notes:

The performance of the Adalpha Diversified Medium-Term Program shown for the period from January 2021 through April 2021 is the performance of the Advisor's proprietary account, adjusted to reflect the advisory fees charged by such program. The results also are net of brokerage commissions charged to such account, which are believed to be similar to what an institutional investor would be charged. The proprietary account is 75% notionally funded. While the use of notional funding created greater leverage based on the cash in the proprietary account, the percentage returns in this account reflect what a client would have achieved during the same periods because the rate of return was calculated by dividing net performance into the total account size, inclusive of notional equity. The performance shown for the period from May 2021 through present represents the composite performance results for all customer accounts that traded the Adalpha Diversified Medium-Term Program. Annual ROR has been calculated by doing SUM of MTD ROR. This is a speculative trading program and losses can and will occur from time to time.

Performance

Pro-Forma Proprietary Performance adjusted for Advisory Fees from January through March 2021

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR* Max DD
2024 -1.39% 0.06%   -1.33% -1.39%
2023 -4.41% 0.05% -0.44% -0.79% -0.41% -0.14% 0.21% -2.01% -0.98% 0.67% -0.14% 0.15% -8.24% -8.65%
2022 3.88% -0.47% 2.26% -0.84% 2.71% 1.34% 1.46% -0.81% 0.49% -2.47% 0.27% -0.03% 7.79% -2.8%
20214.02% 1.18% 1.31% 2.62% -2.21% -0.34% 0.64% 0.29% 1.21% 0.96% 1.08% -5.52% 5.24% -5.52%

*The Annual ROR (Rate of Return) for Fixed Trade Level Accounts has been calculated by adding each monthly return.


Annual Performance

Years2021202220232024 YTD
ROR5.24%7.74%-8.24%-1.33%
Max DD-5.52%-2.80%-8.65%-1.39%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.