Capital Trading Group CTA Database

Finalyze Capital LLC - Institutional Program - Client Performance

Principal(s): Joseph Fennessey
Strategy: Multi-Strategy / Diversified
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Statistics & Program Information

Dec 2022 Return 0.24%	Worst Drawdown ⁽²⁾ -5.72%	Minimum Investment $2,500,000
YTD Return: 0%	Losing Streak ⁽³⁾: -2.19%	AUM ⁽⁵⁾: $49,000,000
Annualized CROR⁽¹⁾ 1.21%	Sharpe Ratio 4% RF ROR⁽⁴⁾: -0.56	Calmar Ratio ⁽⁶⁾: N/A
2) Annualized ACROR is based on compounding. Please see Footnotes for more information.

Trading Methodology 100% Systematic	Style Sub-Categories Momentum Pattern Recognition Volatility Quantitative Mean Reversion	Trading Style 85% Contrarian 15% Four Uncorrelated Strategies
Market Sector 28% Stock Indices 24% Currencies 12% Financials 19% Metals 13% Energies 4% Other Markets	Holding Period 78% Short Term 22% Intraday	Geographic Sector US Contracts: Futures

Start Date Feb-2021	Currency US Dollar	Management Fee 2%
Accepting New Accounts Yes	Min Investment $2,500,000	Incentive Fee 20.00
NFA Member Yes	Fund Minimum $0	Other Fees None
NFA Number 0531772	Margin ⁽⁷⁾ 4% avg - 10% peak	Avg Comm ⁽⁸⁾ $0.85 per side
Notional Funds Yes	Round Turns Per Million ⁽¹⁰⁾ 4,476	Max Comm ⁽⁹⁾

Starting Date: Feb-2021	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $49,000,000
Open to US Investors: Yes	Annualized CROR: 1.1%
Minimum Fund Investment: $0
Minimum Managed Account: $2,500,000	Current Losing Streak: -2.19 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 4% RF ROR -0.56
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:

Growth of $1,000 VAMI and Monthly Returns

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.

Performance

Client Performance Results

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2022	-0.88%	2.56%	-3.12%	-1.70%	0.25%	-1.25%	0.01%	1.31%	-0.37%	1.49%	1.02%	0.24%	-0.57%	-5.72%
2021		-2.47%	0.34%	1.14%	0.24%	0.11%	0.24%	0.00%	-0.46%	2.33%	-0.50%	1.79%	2.70%	-2.47%

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

Footnotes

1. The Annualized Compounded ROR ("Rate of Return") is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % the time-period. 3. Sharpe Ratio uses a 4% Risk Free ROR (Rate of Return) 4. Calmar Ratio Uses last 36 months of Data 5. The hypothetical growth of $1,000

RISK DISCLOSURE

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES 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.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS