Finalyze Capital LLC
Institutional Program
Principal(s): Joseph Fennessey
Strategy: Multi-Strategy / Diversified
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
Our primary trading strategy is our short-term mean reversion strategy. Our research shows that there tends to be at least a small reversion following a large price swing. We'll enter opposite the direction of the move and look for a small reversion, with an average holding period of about one day. We trade the strategy across the 20 most liquid futures markets. This strategy was an original idea, not coming from any academic paper, so we believe the Alpha is safe from decay.
We're also trading four other uncorrelated quantitative trading strategies. Finalyze's long-term vision is to grow into a multi-strategy quant fund, trading dozens of strategies for maximal diversification, and putting us in the best position to profit in any market environment.
We start with the assumption of perfectly efficient markets, and only conclude the existence of an inefficiency when the data strongly rejects this efficiency assumption. We've built an Alpha factory, an assembly-line style process for systematically testing trading strategy ideas. Inefficiencies do exist, and we have created the tools to find them.
Finalyze takes a three prong approach to risk management - diversification, preventative risk management, and reactive risk management. In terms of diversification, we want to trade as many uncorrelated trading strategies as possible across as many futures markets as possible. This protects us from black swam events affecting a given market or a given strategy.
Preventative risk management involves reducing the size of new trades when our risk is high. We accomplish this by running linear regressions at both the market and portfolio level to predict the portfolio's daily return magnitude using a variety of factors, including our exposure, market correlations, and implied volatility. Additionally, we cut our trade sizes in half when we're in a "systemic risk" market environment, measured by a VIX spike. Our final layer of defense is reactive risk management, where we stop placing new trades and reduce the size of our current positions upon a breach of our risk limits, which are calculated using a custom VAR (Value at Risk) model utilizing Monte Carlo simulations.
Joe Fennessey is the CEO and Portfolio Manager of Finalyze Capital. Joe developed Finalyze's mean-reversion trading strategy while in college at the University of Chicago and started trading it in his personal account in March of 2016. He started managing client capital in July of 2017, Finalyze's inception. Joe's been running Finalyze full-time since graduating from the University of Chicago in June of 2018 with degrees in Mathematics, Statistics, and Economics.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -0.93% | 2.84% | -3.85% | -1.48% | 0.45% | -4.98% | 0.72% | 1.00% | -0.45% | 2.23% | 0.92% | 0.46% | -3.31% | -9.59% |
| 2021 | 1.29% | -3.13% | 0.60% | 0.92% | 0.40% | -0.63% | 0.41% | -0.16% | 0.17% | 1.85% | -0.19% | 1.42% | 2.90% | -3.13% |
| 2020 | -10.46% | 3.08% | -4.47% | 7.04% | -2.57% | 4.44% | -8.84% | -2.12% | 4.09% | 0.36% | -1.14% | 3.09% | -8.76% | -14.29% |
| 2019 | 0.62% | 0.95% | 3.66% | -0.47% | 0.02% | 0.22% | 2.41% | 1.48% | 3.61% | 4.82% | 1.57% | 0.18% | 20.62% | -0.47% |
| 2018 | -5.26% | 8.42% | 4.46% | 7.02% | 1.26% | -0.17% | -1.32% | 0.23% | 0.05% | -0.07% | 1.63% | 1.85% | 18.80% | -5.26% |
| 2017 | -0.21% | -0.18% | -4.95% | 1.77% | 5.40% | 2.33% | 0.39% | 3.80% | 2.52% | -0.18% | -0.18% | 0.14% | 10.76% | -5.32% |
| 2016 | – | – | 4.48% | 4.89% | -1.28% | -4.57% | -4.34% | 4.99% | 3.06% | -2.65% | 7.74% | 3.16% | 15.63% | -9.88% |
Track Record Compiled By: Turnkey Trading Partners
Accounting Notes: Pro-Forma Results adjusted for a 2% Management Fee and 20% Incentive Fee. Prior to Registration Finalyze Capital, LLC traded under a 4.14(a)(10) Exemption under the management of Joe Fennessy.<br><br> The Institutional Program was previously named Original 2. Pro-Forma Results adjusted for a 2% Management Fee and 20% Incentive Fee. Prior to Registration Finalyze Capital, LLC traded under a 4.14(a)(10) Exemption under the management of Joe Fennessy.<br><br> The differences between the "Original 2" and "Institutional" programs come down to standardization. Before, for the Original 2 Program, clients may have had slightly different desired risk preferences and desired level of volatility due to the differences in account size. The Institutional program offering is a continuation of this program, Original 2, where every client will now have the same level of volatility. There was also more discretion used in the prior program, whereas the new program is completely systematic.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.