Stein Investment Management : Trading Evolution

Year-to-Date
11.63%
Oct Performance
3.34%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.48%
Sharpe (RFR=1%)
1.08
CAROR
-
Assets
$ 120k
Worst DD
-4.92
S&P Correlation
0.35

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2019
Trading Evolution 3.34 2.23 11.63 10.16 - - - 14.13
S&P 500 -2.77 -0.04 1.21 7.65 - - - 18.82
+/- S&P 500 6.11 2.27 10.42 2.51 - - - -4.69

Strategy Description

Summary

Trading Evolution is a systematic strategy with a discretionary overlay. It currently invests exclusively in S&P 500 index futures (e-mini S&P). The program can be as much profitable in rising stock market as in falling market, because it assumes both long and short positions. The... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 40k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $3.70
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 4000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 10.00%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Counter-trend
40.00%
Pattern Recognition
30.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Trading Evolution is a systematic strategy with a discretionary overlay. It currently invests exclusively in S&P 500 index futures (e-mini S&P). The program can be as much profitable in rising stock market as in falling market, because it assumes both long and short positions. The program incorporates more than 50 f rigorously designed and tested independent mechanical trading systems, all of which are proprietary. The decision to take a certain position in the market is based on a bias indicated by these independent systems. The trades are taken only if their possible outcomes meet the strict requirements of the proprietary risk control system. Due to their complex and unique design, the returns of Trading Evolution are uncorrelated with both market indices and with other alternative investments, making it an ideal product to add real diversification to most investor’s portfolios.

Investment Strategy

Trading Evolution is a systematic strategy with a discretionary overlay. It currently invests exclusively in S&P 500 index futures (e-mini S&P). The program can be as much profitable in rising stock market as in falling market, because it assumes both long and short positions. The program incorporates more than 50 of rigorously designed and tested independent mechanical trading systems, all of which are proprietary. The decision to take a certain position in the market is based on a bias indicated by these independent systems. The trades are taken only if their possible outcomes meet the strict requirements of the proprietary risk control system. Due to their complex and unique design, the returns of Trading Evolution are uncorrelated with both market indices and with other alternative investments, making it an ideal product to add real diversification to most investor’s portfolios.

Risk Management

Proprietary algorithm determines the maximum risk before placing each trade. The stop-loss orders are always in place.

   

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=1%)
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=1%)
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
-4.92 2 6 9/1/2019 11/1/2019
-3.21 1 1 8/1/2020 9/1/2020
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
11.59 5 4/1/2020 8/1/2020
7.49 5 5/1/2019 9/1/2019
3.34 1 10/1/2020 10/1/2020
3.05 3 12/1/2019 2/1/2020
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-4.92 2 10/1/2019 11/1/2019
-3.21 1 9/1/2020 9/1/2020
-2.92 1 3/1/2020 3/1/2020
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable77.7887.5092.31100.00
Average Period Return0.762.253.817.16
Average Gain1.773.134.537.16
Average Loss-2.78-3.91-4.88
Best Period3.487.389.4410.16
Worst Period-3.62-4.89-4.882.74
Standard Deviation2.163.474.282.65
Gain Standard Deviation0.972.653.542.65
Loss Standard Deviation0.991.38
Sharpe Ratio (1%)0.310.580.772.32
Average Gain / Average Loss0.640.800.93
Profit / Loss Ratio2.235.6011.15
Downside Deviation (10%)1.561.912.290.90
Downside Deviation (5%)1.411.511.50
Downside Deviation (0%)1.371.431.35
Sortino Ratio (10%)0.230.530.582.41
Sortino Ratio (5%)0.481.322.21
Sortino Ratio (0%)0.551.582.81

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.