Stein Investment Management : Trading Edge

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

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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

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%

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.

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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.

Compare to:

Index:

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Sharpe Ratio: (RF=1%)
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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
-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

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

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

Time Windows Analysis

	5 Year	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	14.00	47.00	49.00	46.00	40.00	34.00	28.00	16.00
Percent Profitable	7.14	63.83	55.10	54.35	55.00	55.88	50.00	62.50
Average Period Return	-35.98	0.68	1.44	1.50	3.65	6.09	10.55	5.84
Average Gain	11.77	5.44	11.48	15.77	22.81	28.61	38.63	20.72
Average Loss	-39.65	-8.22	-11.39	-15.49	-19.76	-22.43	-17.52	-18.95
Best Period	11.77	14.53	41.71	49.14	44.37	61.99	62.44	50.98
Worst Period	-56.53	-14.75	-29.45	-28.30	-35.08	-47.83	-43.16	-32.68
Standard Deviation	20.25	7.43	14.10	18.99	23.54	31.52	34.60	24.51
Gain Standard Deviation		3.78	9.43	11.19	10.29	19.53	23.31	16.32
Loss Standard Deviation	15.48	3.41	7.26	10.20	9.21	17.09	15.69	11.99
Sharpe Ratio (1%)	-2.03	0.08	0.08	0.05	0.11	0.15	0.25	0.11
Average Gain / Average Loss	0.30	0.66	1.01	1.02	1.15	1.28	2.21	1.09
Profit / Loss Ratio	0.02	1.24	1.30	1.21	1.41	1.62	2.21	1.82
Downside Deviation (10%)	66.54	5.39	9.47	13.87	17.67	22.81	22.37	22.97
Downside Deviation (5%)	45.45	5.21	8.92	12.72	15.16	19.31	17.46	15.05
Downside Deviation (0%)	40.81	5.17	8.78	12.44	14.55	18.50	16.36	13.40
Sortino Ratio (10%)	-0.96	0.05	0.02	-0.07	-0.08	-0.07	0.01	-0.43
Sortino Ratio (5%)	-0.90	0.11	0.13	0.08	0.18	0.24	0.49	0.19
Sortino Ratio (0%)	-0.88	0.13	0.16	0.12	0.25	0.33	0.65	0.44

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.

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Stein Investment Management : Trading Edge

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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