Stein Investment Management : Trading Evolution

Year-to-Date
3.60%
Oct Performance
-3.62%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
7.65%
Sharpe (RFR=1%)
0.83
CAROR
-
Assets
$ 40k
Worst DD
-3.62
S&P Correlation
-0.09

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 -3.62 0.79 3.60 - - - - 3.60
S&P 500 2.04 1.92 21.16 - - - - 10.37
+/- S&P 500 -5.66 -1.13 -17.56 - - - - -6.77

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
$ 200k
Trading Level Incremental Increase
$ 40k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
20.00%
Average Commission
$3.80
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 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 two dozens 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.

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 two dozens 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
-3.62 1 - 9/1/2019 10/1/2019
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
7.49 5 5/1/2019 9/1/2019
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-3.62 1 10/1/2019 10/1/2019
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable83.33100.00
Average Period Return0.613.67
Average Gain1.463.67
Average Loss-3.62
Best Period2.436.16
Worst Period-3.620.79
Standard Deviation2.212.37
Gain Standard Deviation0.852.37
Loss Standard Deviation
Sharpe Ratio (1%)0.241.44
Average Gain / Average Loss0.40
Profit / Loss Ratio2.01
Downside Deviation (10%)1.640.22
Downside Deviation (5%)1.51
Downside Deviation (0%)1.48
Sortino Ratio (10%)0.1211.04
Sortino Ratio (5%)0.35
Sortino Ratio (0%)0.41

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.