Finalyze Capital

Institutional Program Prop.

Investment Strategy

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.

Performance (VAMI)

Monthly Returns

Fund Manager

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.

General Information

Inception DateMar 2016
Minimum Investment2,500,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone7737592140
E-mail[email protected]
Websitefinalyze.io

Statistics

Total Return Cumulative 77.56%
Sharpe Ratio 0.74
Sortino Ratio 1.05
Winning Months (%) 65.63%
Correlation vs. S&P 500 TR 0.06

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.18 1.71 1.53
2023 0.22 0.63 1.33 1.17 -0.31 0.75 0.58 0.30 -0.54 0.33 -0.39 0.87 5.03
2022 -0.93 2.81 -3.85 -1.48 0.45 -4.98 0.72 1.00 -0.45 2.23 0.92 0.46 -3.34
2021 1.29 -3.13 0.60 0.92 0.40 -0.63 0.40 -0.16 0.17 1.85 -0.19 1.42 2.89
2020 -10.46 3.08 -4.47 7.04 -2.57 4.44 -8.84 -2.12 4.09 0.35 -1.14 3.09 -8.78
2019 0.62 0.95 3.66 -0.47 0.02 0.22 2.41 1.48 3.61 4.81 1.57 0.17 20.62
2018 -5.26 8.42 4.46 7.02 1.25 -0.17 -1.32 0.23 0.05 -0.07 1.63 1.85 18.81
2017 -0.21 -0.18 -4.95 1.77 5.40 2.33 0.38 3.80 2.52 -0.18 -0.18 0.14 10.77
2016 4.48 4.89 -1.28 -4.57 -4.34 4.99 3.06 -2.65 7.74 3.16 15.62
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING COMMODITY FUTURES AND OPTIONS IS SPECULATIVE, INVOLVES RISK, AND IS NOT SUITABLE FOR ALL INVESTORS.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING COMMODITY FUTURES AND OPTIONS IS SPECULATIVE, INVOLVES RISK, AND IS NOT SUITABLE FOR ALL INVESTORS.

Return Statistics

Last Month -
Year To Date 1.53%
3 Month ROR 2.41%
12 Months ROR 5.74%
36 Month ROR 8.08%
Total Return Cumulative 77.56%
Total Return Annualized 7.44%
Best Month 8.42%
Winning Months (%) 65.63%
Gain Deviation 2.07

Risk Statistics

Standard Deviation Annualized 10.55%
Max Drawdown (Monthly) -14.31%
Max Drawdown Length 8
Worst Month -10.46%
Losing Months (%) 34.38%
Average Losing Month -2.20%
Loss Deviation 2.56
Correlation vs S&P 500 0.06
Correlation vs DJ/CS MF -0.31

Risk/Reward Statistics

Sharpe Ratio 0.74
Sortino Ratio 1.05
Omega Ratio 0.83
Skewness -0.53
Kurtosis 2.35

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -14.31% 8 0 01/2020 -
2 -9.88% 3 4 05/2016 11/2016
3 -5.47% 4 1 10/2017 02/2018
4 -5.32% 3 2 01/2017 05/2017
5 -1.49% 2 4 06/2018 11/2018

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 8.42%-10.46%0.65%0.46%1.71%65.63%
3 Months 21.21%-11.83%1.80%1.90%2.41%70.21%
6 Months 20.90%-8.02%3.66%3.54%1.79%76.92%
1 Year 32.01%-11.36%7.54%5.98%5.74%75.29%
2 Years 48.53%-10.00%15.15%6.29%1.20%83.56%
3 Years 73.41%-9.54%22.25%13.52%8.08%83.61%
5 Years 69.16%14.02%36.87%32.02%14.88%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg7.44%21.96%50.74%128.06%378.75%813.65%
% Positive65.63%70.21%76.92%75.29%83.56%83.61%
Avg. Pos. Period2.14%4.21%5.98%11.37%18.81%27.47%
Avg. Neg. Period-2.20%-3.88%-4.07%-4.13%-3.48%-4.39%
Sharpe Ratio0.741.212.052.703.083.40
Sortino Ratio1.052.105.2410.0125.7830.56
Standard Deviation3.04%5.16%6.19%9.67%17.01%22.67%
Downside Deviation1.98%2.76%2.30%2.46%1.87%2.29%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING COMMODITY FUTURES AND OPTIONS IS SPECULATIVE, INVOLVES RISK, AND IS NOT SUITABLE FOR ALL INVESTORS.

Company Information

Minimum Investment2,500,000 USD (notional funding: )
AUM43,000,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million4476
Margin to Equity4.00%
Legal StructureManaged Account
Investment RestrictionNone

Company Information

CompanyFinalyze Capital
Principal -
Phone7737592140
E-mail[email protected]
License NumberNFA 0531772
LocationChicago, United States
Performance Compiled byTurnkey Trading Partners

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.18 1.71 1.53
2023 0.22 0.63 1.33 1.17 -0.31 0.75 0.58 0.30 -0.54 0.33 -0.39 0.87 5.03
2022 -0.93 2.81 -3.85 -1.48 0.45 -4.98 0.72 1.00 -0.45 2.23 0.92 0.46 -3.34
2021 1.29 -3.13 0.60 0.92 0.40 -0.63 0.40 -0.16 0.17 1.85 -0.19 1.42 2.89
2020 -10.46 3.08 -4.47 7.04 -2.57 4.44 -8.84 -2.12 4.09 0.35 -1.14 3.09 -8.78
2019 0.62 0.95 3.66 -0.47 0.02 0.22 2.41 1.48 3.61 4.81 1.57 0.17 20.62
2018 -5.26 8.42 4.46 7.02 1.25 -0.17 -1.32 0.23 0.05 -0.07 1.63 1.85 18.81
2017 -0.21 -0.18 -4.95 1.77 5.40 2.33 0.38 3.80 2.52 -0.18 -0.18 0.14 10.77
2016 4.48 4.89 -1.28 -4.57 -4.34 4.99 3.06 -2.65 7.74 3.16 15.62
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

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.

Return Statistics

Last Month -
Year To Date 1.53%
3 Month ROR 2.41%
12 Months ROR 5.74%
36 Month ROR 8.08%
Total Return Cumulative 77.56%
Total Return Annualized 7.44%
Best Month 8.42%
Winning Months (%) 65.63%
Gain Deviation 2.07

Risk Statistics

Standard Deviation Annualized 10.55%
Max Drawdown (Monthly) -14.31%
Max Drawdown Length 8
Worst Month -10.46%
Losing Months (%) 34.38%
Average Losing Month -2.20%
Loss Deviation 2.56
Correlation vs S&P 500 0.06
Correlation vs DJ/CS MF -0.31

Risk/Reward Statistics

Sharpe Ratio 0.74
Sortino Ratio 1.05
Omega Ratio 0.83
Skewness -0.53
Kurtosis 2.35

Monthly Returns

Performance (VAMI)

Fund Manager

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.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -14.31% 8 0 01/2020 -
2 -9.88% 3 4 05/2016 11/2016
3 -5.47% 4 1 10/2017 02/2018
4 -5.32% 3 2 01/2017 05/2017
5 -1.49% 2 4 06/2018 11/2018

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 8.42%-10.46%0.65%0.46%1.71%65.63%
3 Months 21.21%-11.83%1.80%1.90%2.41%70.21%
6 Months 20.90%-8.02%3.66%3.54%1.79%76.92%
1 Year 32.01%-11.36%7.54%5.98%5.74%75.29%
2 Years 48.53%-10.00%15.15%6.29%1.20%83.56%
3 Years 73.41%-9.54%22.25%13.52%8.08%83.61%
5 Years 69.16%14.02%36.87%32.02%14.88%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg7.44%21.96%50.74%128.06%378.75%813.65%
% Positive65.63%70.21%76.92%75.29%83.56%83.61%
Avg. Pos. Period2.14%4.21%5.98%11.37%18.81%27.47%
Avg. Neg. Period-2.20%-3.88%-4.07%-4.13%-3.48%-4.39%
Sharpe Ratio0.741.212.052.703.083.40
Sortino Ratio1.052.105.2410.0125.7830.56
Standard Deviation3.04%5.16%6.19%9.67%17.01%22.67%
Downside Deviation1.98%2.76%2.30%2.46%1.87%2.29%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

For the latest performance, please scan the image above with a QR Reader.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING COMMODITY FUTURES AND OPTIONS IS SPECULATIVE, INVOLVES RISK, AND IS NOT SUITABLE FOR ALL INVESTORS.