STRM Capital Management LLC : STRM Capital Fund

archived programsClosed to new investments
Year-to-Date
N / A
Aug Performance
1.36%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.58%
Sharpe (RFR=1%)
1.06
CAROR
8.04%
Assets
$ 2.0M
Worst DD
-8.17
S&P Correlation
-0.17

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
3/2013
STRM Capital Fund 1.36 - - - - 12.25 - 41.65
S&P 500 0.05 - - - - 75.45 - 112.13
+/- S&P 500 1.31 - - - - -63.20 - -70.49

Strategy Description

Summary

STRM Capital is a global alternative investment firm specializing in the short-term systematic trading of highly liquid exchange listed futures including G7 interest rates, currency, and equity index products. STRM uses a well-defined research and investment methodology designed to... Read More

Account & Fees

Type Fund
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 14000 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD
Worst Peak-to-Trough -7.34%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 35.00%
Intraday 65.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
50.00%
Pattern Recognition
25.00%
Technical
25.00%
Strategy Pie Chart

Composition

Interest Rates
45.00%
Stock Indices
30.00%
Currency Futures
15.00%
Precious Metals
5.00%
Energy
5.00%
Composition Pie Chart

Summary

STRM Capital is a global alternative investment firm specializing in the short-term systematic trading of highly liquid exchange listed futures including G7 interest rates, currency, and equity index products. STRM uses a well-defined research and investment methodology designed to create scalable and repeatable investment models which simply expand upon already widely accepted market principles. All of our systems are designed to recognize and self-adapt to changing market paradigms. This unique feature has allowed the firm to deliver highly positive uncorrelated returns since its inception in March 2013. Our proprietary methods for testing, strategy implementation, and risk mitigation are just a few of the elements that define our edge and provide our investors with the clarity they desire.

Risk Management

STRM employs systems designed to avoid overnight and weekend margin requirements Average fund VaR of 1.87% (10 day 95% confidence). All models are designed to automatically avoid "known event risks" (for more information on this please contact the managers directly) A stop losses are used on all trades. Stop loss orders are entered immediately upon trade entry to ensure first in line exit in the event of any sudden shock to the market. The stop loss level will be determined before entering into a trade and will depend upon the historical drawdown versus recovery profile for each instrument. On a daily basis, all systematic trades are reviewed and compared to a parallel “benchmark” model ensure that the model is performing exactly as designed. 100% of the exposure is limited to electronically traded exchange listed products and markets so that even in times of market stress every position can be closed in a matter of minutes with little to no market impact. Real-time monitoring of portfolio exposure and P&L. Market and position liquidity is monitored. This includes both geographic and product concentration review. Stress test and scenario analysis is performed across asset classes for price and volatility and a breakdown in correlations. Risk limits are also implemented on the portfolio as a whole. Correlation analysis between models and their open positions is run individually in real-time and on the portfolio as a whole . On the daily report stops are aggregated to determine the fund’s total risk if all stops were to be hit at the same time. Assuming all stop loss targets are hit on all positions at the same time the average theoretical drawdown will be 6% - 8%.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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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
-8.17 8 2 9/1/2015 5/1/2016
-5.13 10 10 9/1/2013 7/1/2014
-0.97 1 2 1/1/2017 2/1/2017
-0.53 1 1 11/1/2016 12/1/2016
-0.24 1 1 6/1/2015 7/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
17.13 7 3/1/2013 9/1/2013
15.98 6 6/1/2016 11/1/2016
6.91 5 2/1/2015 6/1/2015
5.82 6 3/1/2017 8/1/2017
5.75 2 8/1/2015 9/1/2015
2.79 3 8/1/2014 10/1/2014
2.07 1 1/1/2016 1/1/2016
1.10 1 1/1/2017 1/1/2017
0.88 2 11/1/2013 12/1/2013
0.70 1 3/1/2014 3/1/2014
0.62 1 5/1/2014 5/1/2014
0.16 1 12/1/2014 12/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.27 4 2/1/2016 5/1/2016
-4.01 3 10/1/2015 12/1/2015
-2.07 2 6/1/2014 7/1/2014
-2.03 1 4/1/2014 4/1/2014
-1.98 1 10/1/2013 10/1/2013
-1.42 1 1/1/2015 1/1/2015
-1.31 2 1/1/2014 2/1/2014
-0.97 1 2/1/2017 2/1/2017
-0.79 1 11/1/2014 11/1/2014
-0.53 1 12/1/2016 12/1/2016
-0.24 1 7/1/2015 7/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable66.6765.3875.5176.7491.89100.00100.00
Average Period Return0.661.993.536.118.4512.1517.57
Average Gain1.603.965.578.509.3012.1517.57
Average Loss-1.21-1.75-2.74-1.80-1.26
Best Period7.1111.1916.6318.5915.2720.8126.84
Worst Period-3.03-5.70-6.06-4.33-2.752.139.85
Standard Deviation1.903.675.285.744.935.015.11
Gain Standard Deviation1.552.844.354.184.135.015.11
Loss Standard Deviation0.861.451.701.071.30
Sharpe Ratio (1%)0.310.470.570.891.412.032.85
Average Gain / Average Loss1.322.272.034.737.40
Profit / Loss Ratio2.654.286.2615.6283.84
Downside Deviation (10%)1.051.952.773.453.362.512.34
Downside Deviation (5%)0.891.441.801.430.84
Downside Deviation (0%)0.851.321.580.990.47
Sortino Ratio (10%)0.240.390.380.320.250.760.77
Sortino Ratio (5%)0.651.211.693.568.22
Sortino Ratio (0%)0.781.502.246.1418.04

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.