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Finalyze Capital LLC 

Institutional Program

Manager: Joseph Fennessey

Address: 401 N Michigan Ave, Suite 1255, Chicago, IL, 60611, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Mar 1, 2016
AUM:$34,000,000
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$2,500,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:66.80%134.07%
Annual ROR:9.75%16.72%
YTD:-0.38%20.41%
1 Year:6.05%29.21%
Alpha:0.90
Beta:-0.04
Statistics Program S&P 500
Average Monthly Gain:2.67%3.03%
Average Monthly Loss:-2.58%-3.78%
Winning Months:4350
Losing Months:2316
Current DD:9.120.00
Max DD:14.3120.00
Sharpe Ratio (RF 1%):0.72
Annualized Std Dev:12.23

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Quantitative:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20211.29-3.130.600.920.40-0.630.40-0.16-0.38
2020-10.463.08-4.477.04-2.574.44-8.84-2.124.090.35-1.143.09-8.78
20190.620.953.66-0.470.020.222.411.483.614.811.570.1720.62
2018-5.268.424.467.021.25-0.17-1.320.230.05-0.071.631.8518.81
2017-0.21-0.18-4.951.775.402.330.383.802.52-0.18-0.180.1410.77
20164.484.89-1.28-4.57-4.344.993.06-2.657.743.1615.62

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Program description included in company description.

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 swan 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.

Company Info

Finalyze Capital is a fully systematic and automated quantitative CTA based in Chicago. We aspire to consistently beat the market without exposure to the market, and with no correlation to other CTA’s, so that our returns are purely Alpha. Our edge lies in our advanced statistical analysis and superior research methodology.

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. Through our partnership with Maroon Capital, the University of Chicago’s top quant finance club, we have access to more than a dozen interns each year. They find trading strategy ideas and code them up, then we run them through our scalable backtesting infrastructure.

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.

Manager Info

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.