STRM Capital Management LLC : STRM Capital Fund

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%.