Stein Investment Management : Trading Edge

archived programsClosed to new investments
Year-to-Date
N / A
Jan Performance
0.00%
Min Investment
$ 60k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
25.72%
Sharpe (RFR=1%)
0.28
CAROR
9.31%
Assets
$ 0k
Worst DD
-40.54
S&P Correlation
-0.01

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
11/2009
Trading Edge 0.00 - - 2.44 -8.01 - - 41.71
S&P 500 -3.56 - - 18.99 38.59 - - 69.69
+/- S&P 500 3.56 - - -16.55 -46.59 - - -27.97

Strategy Description

Summary

Stein Investment Management LLC is a limited liability company formed in the state of New Jersey in April 2006 to provide advisory services previously conducted by its president, director, sole shareholder and sole principal Boris Stein. Mr. Stein was involved in market research and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 60k
Trading Level Incremental Increase
$ 15k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
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
17000 RT/YR/$M
Avg. Margin-to-Equity
40%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
70.00%
Intraday
30.00%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Counter-trend
90.00%
Pattern Recognition
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Stein Investment Management LLC is a limited liability company formed in the state of New Jersey in April 2006 to provide advisory services previously conducted by its president, director, sole shareholder and sole principal Boris Stein. Mr. Stein was involved in market research and development of advanced market trading methodologies for over 15 years. During all those years he actively traded stocks, currency and commodity markets. In 2006, Mr.Stein won a second place at the World Cup Trading Championship, Futures Division, sponsored by Robbins Trading Company. Mr.Stein was featured and have publications in many industry magazies. Stein Investment Management has been registered with the Commodity Futures Trading Commission (CFTC) and the National Futures Association (NFA) as a Commodity Trading Advisor (CTA) since May 2006. SIM became a member of the National Futures Association (NFA) in November 2006.

Investment Strategy

Short-Term CTA strategy which buys long and sells short exclusively index futures (S&P 500 e-minis). Average holding period is 1 day. Strategy is 80% systematic with 20% discretionary overlay. Uncorrelated with the market: benefit from rising and declining market conditions. Decision Making Process: Incorporates approximately 30 rigorously designed and tested independent mechanical trading systems all of which are proprietary.

Risk Management

Stop Loss Triggers are ALWAYS in place. Risk reduction by diversification amongst 30+ computerized mechanical systems (components of the strategy). Dynamic trade size adjustments according to proprietary algorithms.

   

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
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=0%)
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=0%)
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
-40.54 17 - 2/1/2012 7/1/2013
-15.06 6 2 2/1/2011 8/1/2011
-7.94 1 1 4/1/2010 5/1/2010
-6.62 1 3 6/1/2010 7/1/2010
-4.75 1 1 2/1/2010 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
49.14 6 9/1/2011 2/1/2012
29.00 7 8/1/2010 2/1/2011
22.65 4 11/1/2009 2/1/2010
22.13 5 8/1/2013 12/1/2013
15.60 3 5/1/2011 7/1/2011
13.62 2 10/1/2012 11/1/2012
10.83 1 6/1/2010 6/1/2010
10.67 1 8/1/2012 8/1/2012
7.29 1 4/1/2010 4/1/2010
5.67 1 5/1/2013 5/1/2013
5.02 1 1/1/2013 1/1/2013
2.09 1 4/1/2012 4/1/2012
0.11 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.45 3 5/1/2012 7/1/2012
-16.33 2 6/1/2013 7/1/2013
-14.75 1 8/1/2011 8/1/2011
-13.80 2 3/1/2011 4/1/2011
-9.41 1 9/1/2012 9/1/2012
-8.13 1 2/1/2013 2/1/2013
-7.94 1 5/1/2010 5/1/2010
-6.92 1 12/1/2012 12/1/2012
-6.62 1 7/1/2010 7/1/2010
-5.24 1 4/1/2013 4/1/2013
-4.75 1 3/1/2010 3/1/2010
-3.78 1 3/1/2012 3/1/2012
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Time Windows Analysis

 5 Year1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods14.0047.0049.0046.0040.0034.0028.0016.00
Percent Profitable7.1463.8355.1054.3555.0055.8850.0062.50
Average Period Return-35.980.681.441.503.656.0910.555.84
Average Gain11.775.4411.4815.7722.8128.6138.6320.72
Average Loss-39.65-8.22-11.39-15.49-19.76-22.43-17.52-18.95
Best Period11.7714.5341.7149.1444.3761.9962.4450.98
Worst Period-56.53-14.75-29.45-28.30-35.08-47.83-43.16-32.68
Standard Deviation20.257.4314.1018.9923.5431.5234.6024.51
Gain Standard Deviation3.789.4311.1910.2919.5323.3116.32
Loss Standard Deviation15.483.417.2610.209.2117.0915.6911.99
Sharpe Ratio (1%)-2.030.080.080.050.110.150.250.11
Average Gain / Average Loss0.300.661.011.021.151.282.211.09
Profit / Loss Ratio0.021.241.301.211.411.622.211.82
Downside Deviation (10%)66.545.399.4713.8717.6722.8122.3722.97
Downside Deviation (5%)45.455.218.9212.7215.1619.3117.4615.05
Downside Deviation (0%)40.815.178.7812.4414.5518.5016.3613.40
Sortino Ratio (10%)-0.960.050.02-0.07-0.08-0.070.01-0.43
Sortino Ratio (5%)-0.900.110.130.080.180.240.490.19
Sortino Ratio (0%)-0.880.130.160.120.250.330.650.44

Top Performer Badges

Index Award Type Rank Performance Period

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