SteppenWolf Capital LLC : SWARM 2XL

Year-to-Date
6.90%
Aug Performance
-4.52%
Min Investment
$ 2,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
25.91%
Sharpe (RFR=1%)
1.27
CAROR
35.57%
Assets
$ 10.0M
Worst DD
-13.03
S&P Correlation
0.10

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
SWARM 2XL -4.52 -3.58 -6.90 2.11 166.32 - - 205.19
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 49.30
+/- S&P 500 -2.71 -9.92 -23.63 1.26 132.89 - - 155.90

Strategy Description

Investment Strategy

The SWARM Program (SWARM) is a fully systematic machine learning investment strategy, designed to achieve superior risk-adjusted returns irrespective of the direction of the broader market.

The strategy screens assets globally and then build positions via 20+... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
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
10000 RT/YR/$M
Avg. Margin-to-Equity
60%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
Sector Focus
Currency 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
Systematic
100.00%

Strategy

Composition

Currency FX
100.00%
Composition Pie Chart

Investment Strategy

The SWARM Program (SWARM) is a fully systematic machine learning investment strategy, designed to achieve superior risk-adjusted returns irrespective of the direction of the broader market.

The strategy screens assets globally and then build positions via 20+ FX crosses. Various sub-strategies diversify trading approaches and contribute their inputs to a regularized neural network.

   

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
-13.03 2 8 2/1/2018 4/1/2018
-12.61 3 3 1/1/0001 3/1/2016
-10.51 7 - 1/1/2019 8/1/2019
-5.79 1 6 11/1/2016 12/1/2016
-2.15 1 1 6/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
122.98 7 8/1/2017 2/1/2018
58.89 8 4/1/2016 11/1/2016
24.92 4 10/1/2018 1/1/2019
10.30 3 5/1/2018 7/1/2018
8.11 2 5/1/2017 6/1/2017
3.07 3 1/1/2017 3/1/2017
2.79 2 3/1/2019 4/1/2019
2.48 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.03 2 3/1/2018 4/1/2018
-12.61 3 1/1/2016 3/1/2016
-8.72 2 8/1/2018 9/1/2018
-7.10 1 5/1/2019 5/1/2019
-5.91 2 7/1/2019 8/1/2019
-5.79 1 12/1/2016 12/1/2016
-2.80 1 2/1/2019 2/1/2019
-2.15 1 7/1/2017 7/1/2017
-1.99 1 4/1/2017 4/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable68.1873.8184.62100.0096.30100.00
Average Period Return2.829.9323.2353.5699.42157.99
Average Gain6.1715.3128.1553.56103.33157.99
Average Loss-4.36-5.22-3.81-2.09
Best Period31.7551.40103.80132.74172.02249.54
Worst Period-9.50-12.61-7.932.11-2.0999.54
Standard Deviation7.4814.8625.0637.2744.4435.52
Gain Standard Deviation6.5513.5824.1337.2740.3335.52
Loss Standard Deviation2.823.282.95
Sharpe Ratio (1%)0.370.650.911.412.204.39
Average Gain / Average Loss1.412.937.3949.34
Profit / Loss Ratio3.038.2740.631282.75
Downside Deviation (10%)3.103.672.680.501.86
Downside Deviation (5%)2.943.221.990.69
Downside Deviation (0%)2.903.111.830.40
Sortino Ratio (10%)0.782.377.7596.4749.26
Sortino Ratio (5%)0.933.0011.40141.41
Sortino Ratio (0%)0.973.1912.69246.67

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.