Stein Investment Management, LLC

Trading Evolution Program *QEP*


Monthly Performance (%)

Date Range: 04/19 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 1.50 1.50 -2.92 1.99 3.48 1.74 1.68 2.21 -3.21 3.34   11.63 
2019 0.35 0.90 1.52 2.43 2.09 -3.62 -1.35 0.03  2.23 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The Trading Evolution Program is a multi-system managed futures CTA strategy that launched in May 2019. It utilizes 50+ proprietary mechanical systems, both trend and anti-trend. The program trades e-mini S&P 500 futures contracts, with the ability to go long or short the market at any time, and positions are typically held from several hours to 2 days. The program is 70% systematic with a 30% discretionary overlay.

Performance Statistics

Date Range: 04/19 - 10/20
  Program S&P 500 Coquest 40 
Total Return 14.12% 18.92% 1.33% 
Annualized Return 9.21% 11.57% 0.84% 
Annualized Std. Deviation 7.27% 20.03% 6.53% 
Correlation 0.34 0.17 
Sharpe Ratio (rf=2.5%) 0.92 0.45 -0.25 
Worst Month -3.62% -12.35% -2.77% 
Date of Worst Month 10/2019 03/2020 09/2019 
Worst Drawdown -4.92% -19.60% -7.96% 
Date of Worst Drawdown 9/19 - 3/20 12/19 - 3/20 8/19 - 10/20 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/19 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 11.63 2.77 -3.54 
2019 2.23 11.22 2.24 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/19 - 10/20
Date: 10/31/2020
Perf: $986.21 Date: 9/30/2020
Perf: $989.38 Date: 8/31/2020
Perf: $1,004.04 Date: 7/31/2020
Perf: $1,015.51 Date: 6/30/2020
Perf: $996.48 Date: 5/31/2020
Perf: $1,009.40 Date: 4/30/2020
Perf: $1,021.35 Date: 3/31/2020
Perf: $1,017.99 Date: 2/29/2020
Perf: $1,017.38 Date: 1/31/2020
Perf: $1,032.77 Date: 12/31/2019
Perf: $1,022.44 Date: 11/30/2019
Perf: $1,028.82 Date: 10/31/2019
Perf: $1,018.84 Date: 9/30/2019
Perf: $1,041.86 Date: 8/31/2019
Perf: $1,071.54 Date: 7/31/2019
Perf: $1,034.11 Date: 6/30/2019
Perf: $1,000.01 Date: 5/31/2019
Perf: $980.40 Date: 4/30/2019
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,142.96 Date: 9/30/2020
Perf: $1,174.19 Date: 8/31/2020
Perf: $1,220.58 Date: 7/31/2020
Perf: $1,138.70 Date: 6/30/2020
Perf: $1,077.91 Date: 5/31/2020
Perf: $1,056.88 Date: 4/30/2020
Perf: $1,008.86 Date: 3/31/2020
Perf: $894.22 Date: 2/29/2020
Perf: $1,020.21 Date: 1/31/2020
Perf: $1,111.71 Date: 12/31/2019
Perf: $1,112.15 Date: 11/30/2019
Perf: $1,079.55 Date: 10/31/2019
Perf: $1,041.73 Date: 9/30/2019
Perf: $1,019.61 Date: 8/31/2019
Perf: $1,000.89 Date: 7/31/2019
Perf: $1,016.96 Date: 6/30/2019
Perf: $1,002.52 Date: 5/31/2019
Perf: $936.50 Date: 4/30/2019
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,141.25 Date: 9/30/2020
Perf: $1,104.36 Date: 8/31/2020
Perf: $1,140.99 Date: 7/31/2020
Perf: $1,116.32 Date: 6/30/2020
Perf: $1,097.87 Date: 5/31/2020
Perf: $1,079.10 Date: 4/30/2020
Perf: $1,042.81 Date: 3/31/2020
Perf: $1,022.46 Date: 2/29/2020
Perf: $1,053.21 Date: 1/31/2020
Perf: $1,037.65 Date: 12/31/2019
Perf: $1,022.32 Date: 11/30/2019
Perf: $1,022.01 Date: 10/31/2019
Perf: $1,035.99 Date: 9/30/2019
Perf: $1,074.91 Date: 8/31/2019
Perf: $1,052.90 Date: 7/31/2019
Perf: $1,027.92 Date: 6/30/2019
Perf: $1,012.53 Date: 5/31/2019
Perf: $1,003.50 Date: 4/30/2019
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 04/19 - 10/20
Date: 10/31/2020
Return: 3.34 % Date: 9/30/2020
Return: -3.21 % Date: 8/31/2020
Return: 2.21 % Date: 7/31/2020
Return: 1.68 % Date: 6/30/2020
Return: 1.74 % Date: 5/31/2020
Return: 3.48 % Date: 4/30/2020
Return: 1.99 % Date: 3/31/2020
Return: -2.92 % Date: 2/29/2020
Return: 1.50 % Date: 1/31/2020
Return: 1.50 % Date: 12/31/2019
Return: 0.03 % Date: 11/30/2019
Return: -1.35 % Date: 10/31/2019
Return: -3.62 % Date: 9/30/2019
Return: 2.09 % Date: 8/31/2019
Return: 2.43 % Date: 7/31/2019
Return: 1.52 % Date: 6/30/2019
Return: 0.90 % Date: 5/31/2019
Return: 0.35 % Date: 4/30/2019
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/19 - 10/20
Return: 3.00 %
Count: 2 Return: -3.00 %
Count: 2 Return: -1.00 %
Count: 1 Return: -4.00 %
Count: 1 Return: 2.00 %
Count: 8 Return: 1.00 %
Count: 2 Return: 0.00 %
Count: 3

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 04/19 - 10/20
Date: 10/31/2020
Drawdown: 0.00 % Date: 9/30/2020
Drawdown: -3.21 % Date: 8/31/2020
Drawdown: 0.00 % Date: 7/31/2020
Drawdown: 0.00 % Date: 6/30/2020
Drawdown: 0.00 % Date: 5/31/2020
Drawdown: 0.00 % Date: 4/30/2020
Drawdown: -2.99 % Date: 3/31/2020
Drawdown: -4.88 % Date: 2/29/2020
Drawdown: -2.02 % Date: 1/31/2020
Drawdown: -3.47 % Date: 12/31/2019
Drawdown: -4.89 % Date: 11/30/2019
Drawdown: -4.92 % Date: 10/31/2019
Drawdown: -3.62 % Date: 9/30/2019
Drawdown: 0.00 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: 0.00 % Date: 6/30/2019
Drawdown: 0.00 % Date: 5/31/2019
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Stein Investment Management, LLC
Address: 2180 Kent Court
City: Mahwah
State: NJ
Zip: 07430
Country: USA

Key People

Name:  Boris Stein
Position:  Principal
Biography: 

Mr. Stein graduated from Minsk University in the former Soviet Union with dual Masters Degree in Physics and Computer Science. Mr. Stein was involved in scientific research, mathematical modelling and computer simulations of sophisticated processes, where he applied advanced statistical methods and the latest mathematical breakthroughs. After working as a Chief Information Officer for a major commercial company for many years, Mr. Stein focused his interests on the emerging commodity market and became one of the first foreign currency traders in newly independent State of Belarus. Upon arrival to USA, Mr. Stein established himself as a successful businessman and computer engineer through the ownership of two profitable companies and lucrative contracts in information systems industry. He used his solid mathematical background, strong analytical skills, extensive knowledge of markets and scientific methods of research to pioneer new technical trading ideas and systems as well as innovative approaches to asset management. Being well educated in the world of technical trading (Welles Wilder, Gerald Appel, Bruce Babcock, Larry Williams, Tom DeMark, Steve Nison), he widely used his computer programming skills for back testing various trading ideas to identify, verify and synthesize all the advantages of many popular systems and leverage them by introducing his proprietary weighting signals produced by multiple proprietary trading systems of original design. Mr. Stein left his successful computer consulting business in 2002 to form his trading firm, Stein Investment Management LLC, which is currently registered as a CTA. As the managing member, president, and sole principal of SIM, Mr. Stein brought to the company his extensive experience of over 15 years in market research, development of advanced market trading methodologies, and active personal trading. Mr. Stein has published articles and was featured in numerous industry publications including: Futures, Traders World, FINalternatives, FutureSource, Technical Analyst, Futures & Options Trader, Active Trader. As president, director, and sole principal of SIM, Mr. Stein is responsible for all trading decisions as well as the day-to-day operations of SIM.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Investment Methodology
 Technical Yes 
 Systematic Yes 
 Discretionary Yes 
 Sector Specialist Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $200,000 
 Margin / Equity Ratio: 15% 
 Managed Account Availability: Open 
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