Finalyze Capital LLC : Retail Program

Year-to-Date
1.45%
Apr Performance
0.26%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.33%
Sharpe (RFR=1%)
0.83
CAROR
15.73%
Assets
$ 6.5M
Worst DD
-14.10
S&P Correlation
0.17

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
7/2017
Retail Program 0.26 -1.15 1.45 -6.06 40.60 - - 75.06
S&P 500 5.24 16.22 14.93 48.22 63.01 - - 73.24
+/- S&P 500 -4.98 -17.37 -13.48 -54.29 -22.41 - - 1.82

Strategy Description

Summary

Finalyze Capital is a fully systematic and automated quantitative CTA based in Chicago. We aspire to consistently beat the market without exposure to the market, and with no correlation to other CTA’s, so that our returns are purely Alpha. Our edge lies in our advanced statistical... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $1.70
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 4476 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -7.50%
Worst Peak-to-Trough 14.11%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 80.00%
Intraday 20.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency Futures
33.00%
Stock Indices
33.00%
Precious Metals
17.00%
Energy
17.00%
Composition Pie Chart

Summary

Finalyze Capital is a fully systematic and automated quantitative CTA based in Chicago. We aspire to consistently beat the market without exposure to the market, and with no correlation to other CTA’s, so that our returns are purely Alpha. Our edge lies in our advanced statistical analysis and superior research methodology. We start with the assumption of perfectly efficient markets, and only conclude the existence of an inefficiency when the data strongly rejects this efficiency assumption. We’ve built an Alpha factory, an assembly-line style process for systematically testing trading strategy ideas. Inefficiencies do exist, and we have created the tools to find them. Through our partnership with Maroon Capital, the University of Chicago’s top quant finance club, we have access to more than a dozen interns each year. They find trading strategy ideas and code them up, then we run them through our scalable backtesting infrastructure.

Investment Strategy

Our primary trading strategy is our short-term mean reversion strategy. Our research shows that there tends to be at least a small reversion following a large price swing. We’ll enter opposite the direction of the move and look for a small reversion, with an average holding period of about one day. We trade the strategy across the 6 most liquid futures markets. This strategy was an original idea, not coming from any academic paper, so we believe the Alpha is safe from decay.

Risk Management

Finalyze takes a three prong approach to risk management - diversification, preventative risk management, and reactive risk management. In terms of diversification, we want to trade as many uncorrelated trading strategies as possible across as many futures markets as possible. This protects us from black swan events affecting a given market or a given strategy. Preventative risk management involves reducing the size of new trades when our risk is high. We accomplish this by running linear regressions at both the market and portfolio level to predict the portfolio's daily return magnitude using a variety of factors, including our exposure, market correlations, and implied volatility. Additionally, we cut our trade sizes in half when we're in a "systemic risk" market environment, measured by a VIX spike. Our final layer of defense is reactive risk management, where we stop placing new trades and reduce the size of our current positions upon a breach of our risk limits, which are calculated using a custom VAR (Value at Risk) model utilizing Monte Carlo simulations.

   

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
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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
-14.10 11 - 12/1/2019 11/1/2020
-10.35 3 1 3/1/2019 6/1/2019
-6.73 1 1 7/1/2019 8/1/2019
-2.99 1 1 11/1/2018 12/1/2018
-1.62 4 1 9/1/2017 1/1/2018
-1.44 1 2 1/1/0001 7/1/2017
-0.69 1 3 7/1/2018 8/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
30.84 6 2/1/2018 7/1/2018
26.82 3 1/1/2019 3/1/2019
22.69 4 9/1/2019 12/1/2019
13.08 1 7/1/2019 7/1/2019
10.54 1 4/1/2020 4/1/2020
7.60 2 12/1/2020 1/1/2021
4.36 3 9/1/2018 11/1/2018
4.18 1 6/1/2020 6/1/2020
4.07 1 9/1/2020 9/1/2020
2.10 2 8/1/2017 9/1/2017
0.26 1 4/1/2021 4/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.02 3 1/1/2020 3/1/2020
-10.35 3 4/1/2019 6/1/2019
-9.36 2 7/1/2020 8/1/2020
-7.30 2 10/1/2020 11/1/2020
-6.73 1 8/1/2019 8/1/2019
-3.05 1 5/1/2020 5/1/2020
-2.99 1 12/1/2018 12/1/2018
-1.62 4 10/1/2017 1/1/2018
-1.44 1 7/1/2017 7/1/2017
-1.41 2 2/1/2021 3/1/2021
-0.69 1 8/1/2018 8/1/2018
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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.