SYNERGIE CAPITAL MANAGEMENT LLC : Synergie Focused Strategy

Year-to-Date
4.96%
Oct Performance
-2.74%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
17.50%
Sharpe (RFR=1%)
0.62
CAROR
10.87%
Assets
$ 31.5M
Worst DD
-16.88
S&P Correlation
0.15

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2015
Synergie Focused Strategy -2.74 -9.16 -4.96 -8.00 11.06 - - 64.63
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 50.71
+/- S&P 500 -4.78 -11.08 -26.12 -20.01 -30.35 - - 13.92

Strategy Description

Summary

The Synergie “Focused Strategy” is a systematic tactical index trading strategy. Statistical analysis coupled with disciplined rules provide a framework to exploit human behavior. The strategy represents an evolution of analysis, refinement and optimization of a series of rules based... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.50
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
900 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Trend-following
28.00%
Other
22.00%
Strategy Pie Chart

Composition

Stock Indices
78.00%
VIX
22.00%
Composition Pie Chart

Summary

The Synergie “Focused Strategy” is a systematic tactical index trading strategy. Statistical analysis coupled with disciplined rules provide a framework to exploit human behavior. The strategy represents an evolution of analysis, refinement and optimization of a series of rules based trading concepts and models which target; •A strategy that thrives in volatility, •A low to negative correlation to the broader markets, •A high probability of successful trades, and •Is short-term in nature, designed to avoid prolonged drawdowns.

Investment Strategy

The portfolio will allocate assets to a “focused” number of investment strategies that have behavioral or fundamental basis, with an emphasis on tactical strategies designed to take advantage of short to intermediate term mispricing in liquid markets. Underlying strategies will look to exploit these anomalies through managed, index futures trading in highly liquid markets.
•Strategies have been additive to a portfolio historically in both up and down markets
•Investment team has significant experience managing quantitative strategies
•Systematic implementation avoids emotional decisions

   

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
-16.88 20 - 2/1/2018 10/1/2019
-12.82 2 1 5/1/2015 7/1/2015
-10.74 1 7 5/1/2016 6/1/2016
-8.45 6 2 8/1/2015 2/1/2016
-3.76 4 1 7/1/2017 11/1/2017
-1.66 1 2 3/1/2017 4/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
32.56 5 1/1/2015 5/1/2015
25.01 3 3/1/2016 5/1/2016
21.45 6 10/1/2016 3/1/2017
19.55 1 8/1/2015 8/1/2015
9.51 5 12/1/2018 4/1/2019
8.89 3 12/1/2017 2/1/2018
7.00 2 7/1/2016 8/1/2016
6.82 3 5/1/2017 7/1/2017
5.75 2 6/1/2019 7/1/2019
3.86 2 7/1/2018 8/1/2018
2.39 1 1/1/2016 1/1/2016
1.59 1 4/1/2018 4/1/2018
1.23 1 9/1/2019 9/1/2019
0.46 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.82 2 6/1/2015 7/1/2015
-11.89 3 9/1/2018 11/1/2018
-10.74 1 6/1/2016 6/1/2016
-8.80 1 5/1/2019 5/1/2019
-7.74 1 8/1/2019 8/1/2019
-5.70 4 9/1/2015 12/1/2015
-5.18 1 2/1/2016 2/1/2016
-3.67 1 3/1/2018 3/1/2018
-3.38 2 8/1/2017 9/1/2017
-3.26 2 5/1/2018 6/1/2018
-2.74 1 10/1/2019 10/1/2019
-1.90 1 9/1/2016 9/1/2016
-1.66 1 4/1/2017 4/1/2017
-0.85 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable62.0760.7171.7072.3473.1782.86100.00
Average Period Return0.992.785.1210.3817.7526.6540.56
Average Gain3.847.289.5017.2826.8733.4540.56
Average Loss-3.69-4.17-5.98-7.65-7.12-6.24
Best Period19.5525.0130.0538.0245.9863.5590.43
Worst Period-11.14-11.89-12.39-14.14-15.58-10.268.39
Standard Deviation5.057.769.7313.8118.5522.1922.97
Gain Standard Deviation3.576.417.629.1812.0617.7822.97
Loss Standard Deviation3.343.123.773.524.943.04
Sharpe Ratio (1%)0.180.330.470.680.881.111.63
Average Gain / Average Loss1.041.741.592.263.775.36
Profit / Loss Ratio1.712.694.025.9110.2925.91
Downside Deviation (10%)3.233.894.936.918.117.292.13
Downside Deviation (5%)3.073.373.954.895.093.61
Downside Deviation (0%)3.033.243.724.404.422.83
Sortino Ratio (10%)0.180.400.540.781.252.2511.65
Sortino Ratio (5%)0.290.751.171.923.196.83
Sortino Ratio (0%)0.330.861.372.364.019.42

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 1 2.75 7/2019
Stock Index Trader Index Month 9 2.92 6/2019
Stock Index Trader Index Month 2 3.59 4/2019
Stock Index Trader Index Month 2 3.59 4/2019
Stock Index Trader Index Month 7 2.26 2/2019
Stock Index Trader Index Month 7 2.26 2/2019
Stock Index Trader Index Month 7 2.26 2/2019
Stock Index Trader Index Month 6 2.26 2/2019
Stock Index Trader Index Month 8 0.95 12/2018
Stock Index Trader Index Month 8 1.60 8/2018
Stock Index Trader Index Month 10 2.13 7/2018
Stock Index Trader Index Month 7 2.91 2/2018
Stock Index Trader Index Month 2 4.69 12/2017
IASG CTA Index 3 Year Rolling 4 90.43 2014 - 2017
IASG CTA Index Year Rolling 9 22.20 2016 - 2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.