STRM Capital Management LLC : STRM Capital Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since3/2013 STRM Capital Fund 1.36 - - - - 16.94 - 41.65 S&P 500 0.05 - - - - 75.45 - 136.93 +/- S&P 500 1.31 - - - - -58.52 - -95.28 Strategy Description SummarySTRM 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% Composition Interest Rates 45.00% Stock Indices 30.00% Currency Futures 15.00% Precious Metals 5.00% Energy 5.00% SummarySTRM 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 ManagementSTRM 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%. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel