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Manager List    »    Finalyze Capital LLC    »   

Finalyze Capital LLC - Retail Program

Principal(s): Joseph Fennessey
Strategy: Short Term Mean Reversion / Diversified
Request a Stat Report & Disclosure Document

Statistics & Program Information

Dec Return   0.28% Worst Drawdown (2)    -17.69% Minimum Investment   $500,000
YTD Return   -9.76% Losing Streak (3)    -16.63 % AUM (5)   $2,750,000
Annual CROR:1 8.89% Sharpe Ratio (4)   0.55 Calmar Ratio (6)    N/A
Trading Methodology
100% Systematic
 Style Sub-Categories
Pattern Recognition
Quantitative
Mean Reversion
 Trading Style
100% Contrarian
Market Sector
33% Stock Indices
33% Currencies
17% Metals
17% Energies
 Holding Period
80% Short Term
20% Intraday
 Geographic Sector:
US
Contracts:
Futures
Start Date   Jul-2017 Currency   US Dollar Margin (7)   4% avg - 10% peak
New Money   Yes AUM (5)   $2,750,000 Management Fee    2%
Min Investment    $500,000 Annual CROR 1    8.89% Incentive Fee    20%
Fund Minimum    $0 Losing Streak (3)    -16.63 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -17.69 % Avg Comm (8)   $0.85 per side
NFA Member    Yes Sharpe Ratio (4)    0.55 Max Comm (9)   
NFA Number    0531772 Calmar Ratio (6)    N/A Round Turns (10)    3,177
Starting Date:  Jul-2017 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $2,750,000
Open to US Investors:  Yes Annual CROR:  8.89%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -17.69
Minimum Managed Account:  $500,000 Current Losing Streak:  -16.63 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio:  0.55
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  2.00% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Selling Fee:  0.00% FINRA Member:  No
Other Fees:  None Other Memberships:  306238
Type of Fund:
 Domicile:
 Strategy:
Track Record Prepared By: Turnkey Trading Partners
Correlations:

Trading Description, Risk Strategy & Background

Trading Description

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.

Risk Strategy

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.

Background

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.

Accounting Notes:

The Retail Program was previously named Original 1. Pro-Forma Results have been adjusted for a 2% Management Fee and 20% Incentive Fee. Prior to becoming registered, Finalyze Capital, LLC traded under a 4.14(a)(10) Exemption under the management of Joe Fennessy.

The differences between the "Original 1" Program and the "Retail" Program come down to standardization. Before, for the Original 1 Program, clients may have had slightly different desired risk preferences and desired level of volatility due to the differences in account size. The Retail program offering is a continuation of this program, Original 1, 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.

ProForma Results adjusted for a 2% Mgt Fee and 20% Incentive Fee

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2022 0.97% 1.45% -7.44% -2.59% -1.18% -1.09% -0.33% -0.21% -0.77% 0.35% 0.66% 0.28% -9.76% -13.03%
2021 2.63% -0.92% -0.24% 0.26% 0.49% 0.37% 0.64% 0.11% -0.01% -0.56% -0.49% 0.32% 2.59% -1.16%
2020 -1.42% -0.61% -10.20% 10.54% -3.05% 4.18% -7.60% -1.91% 4.07% -0.66% -6.68% 4.84% -9.95% -14.1%
2019 13.20% 6.39% 5.30% -2.76% -1.71% -6.20% 13.08% -6.73% 8.68% 10.07% 1.87% 0.68% 47.09% -10.36%
2018 -0.20% 3.64% 9.63% 10.69% 2.78% 0.46% 0.76% -0.69% 0.08% 0.58% 3.68% -2.99% 31.34% -2.99%
2017  -1.44% 1.02% 1.07% -0.40% -0.34% -0.69% -0.8% -1.44%

Annual Performance

Years201720182019202020212022
ROR-0.80%31.34%47.09%-9.95%2.59%-9.76%
Max DD-1.44%-2.99%-10.36%-14.10%-1.16%-13.03%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

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.

Footnotes & Definitions:

  • P - Proprietary Trading Results
  • C - Client Trading Results
  • Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.
  1. Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. Annual CROR is not applicable to CTAs that sum their monthly returns.
  2. Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
  3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
  4. Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
  5. Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
  6. Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
  7. Sharpe Ratio: Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
  8. Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
  9. Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
  10. Calmar Ratio: Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
  11. Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
  12. Minimum Investment: Minimum Investment represents the minimum account size.
  13. Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
  14. Number of Winning Months: Number of Winning Months represents the months with positive return.
  15. Number of Losing Months: Number of Losing Months represents the months with negative return.
  16. Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
  17. Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
  18. Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
  19. Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
  20. Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS