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Adalpha Asset Management, LLC

Adalpha Diversified Short-Term QEP only

Investment Strategy

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.

Performance (VAMI)

Monthly Returns

Fund Manager

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 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.

General Information

Inception DateApr 2003
Minimum Investment1,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
Phone+1 312 922 5667
E-mail[email protected]
Websitewww.adalphaasset.com

Statistics

Total Return Cumulative 318.73%
Sharpe Ratio 0.68
Sortino Ratio 1.16
Winning Months (%) 56.35%
Correlation vs. S&P 500 TR -0.16

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.11 -0.67 2.47 1.90
2023 -2.42 -1.04 0.68 -3.43 0.68 -1.06 -0.12 -0.83 0.48 0.45 -1.07 0.36 -7.17
2022 1.52 -2.13 1.67 1.61 4.99 0.34 1.13 -2.05 -0.15 -5.14 -2.32 1.86 0.94
2021 2.38 4.19 2.92 0.75 -1.50 -0.80 -1.18 -0.56 0.21 1.23 2.15 -7.93 1.33
2020 -0.02 2.51 4.92 -4.34 -0.82 4.64 0.44 -1.89 -3.54 -0.90 3.06 -0.03 3.61
2019 1.63 0.25 1.11 2.58 0.98 -0.32 1.44 5.88 -2.85 0.10 0.60 0.68 12.52
2018 4.66 1.98 0.47 1.61 -0.55 1.64 -1.37 2.56 0.74 4.13 -0.80 -0.41 15.46
2017 -3.38 -3.52 4.96 1.26 3.07 -0.02 4.94 -5.09 2.26 -1.67 -1.47 2.55 3.31
2016 7.16 0.60 5.15 0.27 -1.06 2.77 -2.07 -0.43 -2.27 -0.96 -0.52 -0.09 8.41
2015 1.51 0.34 1.26 -1.53 0.68 -1.61 1.94 -2.50 -0.60 -0.90 -0.66 -2.10 -4.21
2014 0.51 0.49 -1.28 -3.29 1.93 2.93 -1.06 -1.29 6.52 3.34 1.76 0.15 10.84
2013 -0.11 3.00 -0.85 1.61 1.04 -2.35 -1.38 0.84 1.98 3.69 -0.96 0.72 7.28
2012 -1.91 -2.23 -1.38 -1.04 4.62 2.80 -2.90 -1.91 0.37 -4.02 6.25 -1.52 -3.36
2011 -0.41 1.35 -4.67 2.32 0.75 -1.34 1.86 4.62 2.96 -2.28 -1.67 1.69 4.92
2010 0.07 -3.41 -0.49 -1.07 7.39 -0.27 0.41 0.64 1.59 -0.44 -2.23 -1.76 0.05
2009 -1.54 1.11 1.06 0.61 5.54 -3.61 -2.59 0.95 -0.94 0.64 4.27 -2.09 3.06
2008 -0.58 5.99 0.65 -1.70 0.69 0.29 -1.52 3.75 -2.55 19.78 0.90 0.15 26.88
2007 2.88 -5.25 -3.56 3.88 2.46 2.86 -0.20 -8.61 2.41 7.45 2.32 -0.26 5.42
2006 3.26 -0.24 6.47 2.50 -2.71 1.92 0.66 1.28 -0.58 1.37 -0.51 1.06 15.16
2005 -3.31 -5.71 0.95 -3.42 5.65 7.04 3.48 -2.16 2.51 -3.58 5.51 2.78 9.08
2004 6.17 4.18 1.84 1.44 5.10 -1.52 0.83 -5.01 5.47 -3.21 6.47 -2.60 19.92
2003 -0.85 1.68 -7.85 -1.38 5.53 4.57 8.36 1.77 7.30 19.64
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
​* The performance of the Adalpha Diversified Short-Term Program shown for the period from April 2003 through July 2019 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 Advisor’s principal commenced trading this proprietary trading account pursuant to the Program prior to registering with the CFTC as a CTA and becoming a Member of the NFA. Beginning January 1, 2007, the proprietary account was 50% notionally funded and beginning December 2011, the proprietary account was 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 August 2019 through present represents the composite performance results for all customer accounts that traded the Adalpha Diversified Short-Term Program. From June 2020, annual ROR has been calculated by doing SUM of MTD ROR. Till May 2020, annual ROR has been calculated by compounding the MTD ROR. This is a speculative trading program and losses can and will occur from time to time. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

​* The performance of the Adalpha Diversified Short-Term Program shown for the period from April 2003 through July 2019 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 Advisor’s principal commenced trading this proprietary trading account pursuant to the Program prior to registering with the CFTC as a CTA and becoming a Member of the NFA. Beginning January 1, 2007, the proprietary account was 50% notionally funded and beginning December 2011, the proprietary account was 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 August 2019 through present represents the composite performance results for all customer accounts that traded the Adalpha Diversified Short-Term Program. From June 2020, annual ROR has been calculated by doing SUM of MTD ROR. Till May 2020, annual ROR has been calculated by compounding the MTD ROR. This is a speculative trading program and losses can and will occur from time to time. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Return Statistics

Last Month 2.47%
Year To Date 1.90%
3 Month ROR 1.90%
12 Months ROR -2.71%
36 Month ROR -11.87%
Total Return Cumulative 318.73%
Total Return Annualized 7.06%
Best Month 19.78%
Winning Months (%) 56.35%
Gain Deviation 2.49

Risk Statistics

Standard Deviation Annualized 10.83%
Max Drawdown (Monthly) -14.79%
Max Drawdown Length 19
Worst Month -8.61%
Losing Months (%) 43.65%
Average Losing Month -1.94%
Loss Deviation 1.68
Correlation vs S&P 500 -0.16
Correlation vs DJ/CS MF 0.33

Risk/Reward Statistics

Sharpe Ratio 0.68
Sortino Ratio 1.16
Omega Ratio 0.82
Skewness 0.94
Kurtosis 5.28

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -14.79% 19 0 08/2022 -
2 -13.42% 5 3 12/2004 07/2005
3 -12.56% 8 5 07/2016 07/2017
4 -9.75% 13 12 10/2011 10/2013
5 -9.12% 2 2 06/2003 09/2003

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 19.78%-8.61%0.62%0.46%2.47%56.35%
3 Months 21.10%-11.20%1.86%1.44%1.90%60.80%
6 Months 38.64%-10.32%3.86%2.52%1.62%66.40%
1 Year 55.71%-13.77%7.53%5.35%-2.71%77.18%
2 Years 62.88%-14.03%15.02%14.65%-5.48%88.21%
3 Years 91.66%-11.87%23.90%22.22%-11.87%92.17%
5 Years 117.73%3.19%41.83%38.84%9.49%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg7.06%22.66%52.55%125.23%391.85%1046.81%
% Positive56.35%60.80%66.40%77.18%88.21%92.17%
Avg. Pos. Period2.60%5.07%7.55%11.05%17.87%26.32%
Avg. Neg. Period-1.94%-3.11%-3.43%-4.40%-6.31%-4.59%
Sharpe Ratio0.681.171.712.373.774.41
Sortino Ratio1.162.434.979.0919.0047.88
Standard Deviation3.13%5.52%7.81%11.01%13.80%18.78%
Downside Deviation1.70%2.44%2.50%2.67%2.59%1.63%
​* The performance of the Adalpha Diversified Short-Term Program shown for the period from April 2003 through July 2019 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 Advisor’s principal commenced trading this proprietary trading account pursuant to the Program prior to registering with the CFTC as a CTA and becoming a Member of the NFA. Beginning January 1, 2007, the proprietary account was 50% notionally funded and beginning December 2011, the proprietary account was 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 August 2019 through present represents the composite performance results for all customer accounts that traded the Adalpha Diversified Short-Term Program. From June 2020, annual ROR has been calculated by doing SUM of MTD ROR. Till May 2020, annual ROR has been calculated by compounding the MTD ROR. This is a speculative trading program and losses can and will occur from time to time. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Company Information

Minimum Investment1,000,000 USD (notional funding: )
AUM23,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million4000
Margin to Equity4.00%
Legal StructureManaged Account
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyAdalpha Asset Management, LLC
PrincipalGary Polony
Phone+1 312 922 5667
E-mail[email protected]
License NumberNFA 411331
LocationUnited States
Performance Compiled byNAV Consulting

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.11 -0.67 2.47 1.90
2023 -2.42 -1.04 0.68 -3.43 0.68 -1.06 -0.12 -0.83 0.48 0.45 -1.07 0.36 -7.17
2022 1.52 -2.13 1.67 1.61 4.99 0.34 1.13 -2.05 -0.15 -5.14 -2.32 1.86 0.94
2021 2.38 4.19 2.92 0.75 -1.50 -0.80 -1.18 -0.56 0.21 1.23 2.15 -7.93 1.33
2020 -0.02 2.51 4.92 -4.34 -0.82 4.64 0.44 -1.89 -3.54 -0.90 3.06 -0.03 3.61
2019 1.63 0.25 1.11 2.58 0.98 -0.32 1.44 5.88 -2.85 0.10 0.60 0.68 12.52
2018 4.66 1.98 0.47 1.61 -0.55 1.64 -1.37 2.56 0.74 4.13 -0.80 -0.41 15.46
2017 -3.38 -3.52 4.96 1.26 3.07 -0.02 4.94 -5.09 2.26 -1.67 -1.47 2.55 3.31
2016 7.16 0.60 5.15 0.27 -1.06 2.77 -2.07 -0.43 -2.27 -0.96 -0.52 -0.09 8.41
2015 1.51 0.34 1.26 -1.53 0.68 -1.61 1.94 -2.50 -0.60 -0.90 -0.66 -2.10 -4.21
2014 0.51 0.49 -1.28 -3.29 1.93 2.93 -1.06 -1.29 6.52 3.34 1.76 0.15 10.84
2013 -0.11 3.00 -0.85 1.61 1.04 -2.35 -1.38 0.84 1.98 3.69 -0.96 0.72 7.28
2012 -1.91 -2.23 -1.38 -1.04 4.62 2.80 -2.90 -1.91 0.37 -4.02 6.25 -1.52 -3.36
2011 -0.41 1.35 -4.67 2.32 0.75 -1.34 1.86 4.62 2.96 -2.28 -1.67 1.69 4.92
2010 0.07 -3.41 -0.49 -1.07 7.39 -0.27 0.41 0.64 1.59 -0.44 -2.23 -1.76 0.05
2009 -1.54 1.11 1.06 0.61 5.54 -3.61 -2.59 0.95 -0.94 0.64 4.27 -2.09 3.06
2008 -0.58 5.99 0.65 -1.70 0.69 0.29 -1.52 3.75 -2.55 19.78 0.90 0.15 26.88
2007 2.88 -5.25 -3.56 3.88 2.46 2.86 -0.20 -8.61 2.41 7.45 2.32 -0.26 5.42
2006 3.26 -0.24 6.47 2.50 -2.71 1.92 0.66 1.28 -0.58 1.37 -0.51 1.06 15.16
2005 -3.31 -5.71 0.95 -3.42 5.65 7.04 3.48 -2.16 2.51 -3.58 5.51 2.78 9.08
2004 6.17 4.18 1.84 1.44 5.10 -1.52 0.83 -5.01 5.47 -3.21 6.47 -2.60 19.92
2003 -0.85 1.68 -7.85 -1.38 5.53 4.57 8.36 1.77 7.30 19.64
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

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.

Return Statistics

Last Month 2.47%
Year To Date 1.90%
3 Month ROR 1.90%
12 Months ROR -2.71%
36 Month ROR -11.87%
Total Return Cumulative 318.73%
Total Return Annualized 7.06%
Best Month 19.78%
Winning Months (%) 56.35%
Gain Deviation 2.49

Risk Statistics

Standard Deviation Annualized 10.83%
Max Drawdown (Monthly) -14.79%
Max Drawdown Length 19
Worst Month -8.61%
Losing Months (%) 43.65%
Average Losing Month -1.94%
Loss Deviation 1.68
Correlation vs S&P 500 -0.16
Correlation vs DJ/CS MF 0.33

Risk/Reward Statistics

Sharpe Ratio 0.68
Sortino Ratio 1.16
Omega Ratio 0.82
Skewness 0.94
Kurtosis 5.28

Performance (VAMI)

Fund Manager

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 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.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -14.79% 19 0 08/2022 -
2 -13.42% 5 3 12/2004 07/2005
3 -12.56% 8 5 07/2016 07/2017
4 -9.75% 13 12 10/2011 10/2013
5 -9.12% 2 2 06/2003 09/2003

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 19.78%-8.61%0.62%0.46%2.47%56.35%
3 Months 21.10%-11.20%1.86%1.44%1.90%60.80%
6 Months 38.64%-10.32%3.86%2.52%1.62%66.40%
1 Year 55.71%-13.77%7.53%5.35%-2.71%77.18%
2 Years 62.88%-14.03%15.02%14.65%-5.48%88.21%
3 Years 91.66%-11.87%23.90%22.22%-11.87%92.17%
5 Years 117.73%3.19%41.83%38.84%9.49%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg7.06%22.66%52.55%125.23%391.85%1046.81%
% Positive56.35%60.80%66.40%77.18%88.21%92.17%
Avg. Pos. Period2.60%5.07%7.55%11.05%17.87%26.32%
Avg. Neg. Period-1.94%-3.11%-3.43%-4.40%-6.31%-4.59%
Sharpe Ratio0.681.171.712.373.774.41
Sortino Ratio1.162.434.979.0919.0047.88
Standard Deviation3.13%5.52%7.81%11.01%13.80%18.78%
Downside Deviation1.70%2.44%2.50%2.67%2.59%1.63%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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​* The performance of the Adalpha Diversified Short-Term Program shown for the period from April 2003 through July 2019 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 Advisor’s principal commenced trading this proprietary trading account pursuant to the Program prior to registering with the CFTC as a CTA and becoming a Member of the NFA. Beginning January 1, 2007, the proprietary account was 50% notionally funded and beginning December 2011, the proprietary account was 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 August 2019 through present represents the composite performance results for all customer accounts that traded the Adalpha Diversified Short-Term Program. From June 2020, annual ROR has been calculated by doing SUM of MTD ROR. Till May 2020, annual ROR has been calculated by compounding the MTD ROR. This is a speculative trading program and losses can and will occur from time to time. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.