SteppenWolf Capital LLC : Swarm Strategy

Year-to-Date
1.66%
May Performance
-3.55%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
13.22%
Sharpe (RFR=1%)
1.34
CAROR
19.39%
Assets
$ 9.5M
Worst DD
-6.61
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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Swarm Strategy -3.55 -2.23 -1.66 5.25 84.13 - - 83.21
S&P 500 -6.58 -1.17 9.77 1.72 29.91 - - 40.40
+/- S&P 500 3.03 -1.06 -11.43 3.53 54.22 - - 42.82

Strategy Description

Investment Strategy

The SWARM program is a fully systematic and globally diversified investment strategy focused on FX, designed to achieve superior risk-adjusted returns irrespective of the direction of the broader market. The machine learning strategy is diversified across 20+ currency pairs.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
1.00%
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
20000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-10.00%
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
80.00%
Intraday
20.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
10.00%
Counter-trend
10.00%
Fundamental
10.00%
Pattern Recognition
10.00%
Seasonal/cyclical
10.00%
Technical
10.00%
Other
40.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Investment Strategy

The SWARM program is a fully systematic and globally diversified investment strategy focused on FX, designed to achieve superior risk-adjusted returns irrespective of the direction of the broader market. The machine learning strategy is diversified across 20+ currency pairs. The strategy is formed by a SWARM of individual sub-strategies with more than 130.000 trades per annum. Each sub-strategy trades a subset of the full product universe with its own set of parameters controlling a highly 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
-6.61 2 8 2/1/2018 4/1/2018
-6.44 3 3 1/1/0001 3/1/2016
-3.60 4 - 1/1/2019 5/1/2019
-2.89 1 6 11/1/2016 12/1/2016
-1.07 1 1 6/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
51.83 7 8/1/2017 2/1/2018
26.73 8 4/1/2016 11/1/2016
11.96 4 10/1/2018 1/1/2019
5.09 3 5/1/2018 7/1/2018
4.01 2 5/1/2017 6/1/2017
1.53 3 1/1/2017 3/1/2017
1.37 2 3/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.61 2 3/1/2018 4/1/2018
-6.44 3 1/1/2016 3/1/2016
-4.35 2 8/1/2018 9/1/2018
-3.55 1 5/1/2019 5/1/2019
-2.89 1 12/1/2016 12/1/2016
-1.40 1 2/1/2019 2/1/2019
-1.07 1 7/1/2017 7/1/2017
-0.99 1 4/1/2017 4/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable70.7379.4991.67100.00100.00100.00
Average Period Return1.565.3912.1526.4146.7166.05
Average Gain3.157.5013.3626.4146.7166.05
Average Loss-2.29-2.79-1.12
Best Period15.8724.3745.0155.1868.3591.31
Worst Period-4.75-6.44-1.873.6320.0451.51
Standard Deviation3.827.1610.9114.7913.4710.39
Gain Standard Deviation3.316.4510.5914.7913.4710.39
Loss Standard Deviation1.461.880.95
Sharpe Ratio (1%)0.390.721.071.723.356.16
Average Gain / Average Loss1.372.6911.90
Profit / Loss Ratio3.3210.42130.91
Downside Deviation (10%)1.651.991.060.25
Downside Deviation (5%)1.491.590.52
Downside Deviation (0%)1.451.490.39
Sortino Ratio (10%)0.702.099.1085.60
Sortino Ratio (5%)0.993.2322.45
Sortino Ratio (0%)1.073.6130.83

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.