ADG Capital Management LLP

ADG Systematic Macro *QEP*

Methodology: Systematic
Strategy: Macro / Fundamental
Sub-Strategy: N/A
Market Focus: Financials

Strategy Description

The ADG Systematic Macro Strategy is a systematic global macro program that seeks to profit by forecasting long term price changes across global financial markets. These forecasts are driven entirely by fundamental and/or econometric data rather than price based technical patterns. The strategy deploys a combination of approximately 25% directional models and 75% relative value models. The directional models attempt to forecast the outright directional rates of return across global financial markets, while the relative value models are designed to be market neutral at the asset class level and seek to profit from divergence between global markets within an asset class.

Risk Management

Risk is managed via portfolio construction and volatility targeting. At the portfolio level, the program places limits on asset class exposures as well as the individual factors that may be driving those exposures. Additionally, the program targets a long term volatility level of 15% at both the model and portfolio level, with positions being reduced when volatility spikes above expectations.

General Information

Management Fee: 2.00%
Performance Fee: 20.00%
Manager Assets: $1,214,000,000
Strategy Assets: $622,000,000
Typical Trade Duration: 2 Years
Round Turns per Million: 300
Typical Margin‐to‐Equity: 10-25%
Managed Account Minimum: $20,000,000

Performance Statistics

Date Range: 05/13–04/20
Annualized ROR: 5.61%
Standard Deviation: 7.85%
Maximum Drawdown: -8.35%
Sharpe Ratio (0% RFR): 0.72
Correlation to S&P 500: -0.03

Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.

Coquest Strategy Summary · ADG Capital Management LLP
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · April 2020
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.

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