Mahwah, N.J.-based Stein Investment Management's Trading Edge Program, which trades only Standard & Poor’s 500 Index futures, was lights out in its first seven months in 2006, returning 179.85%. And the program, which currently manages $9 million in assets, picked up where it left off last year, returning 18.14% in January.
“I think the secret is that it is a combination of more than 20 uncorrelated mechanical trading systems, all of them of my own design” explains Boris Stein, SIM's president. “I take only the strongest buy or sell signals, and use some discretion.”
The S&P 500 Index futures program currently trades 80 e-mini contracts and employs a computer-based risk management system for adjusting the trade size depending on the equity in the accounts, most recent performance results of the employed mechanical systems and market volatility.
“We also use stop-loss orders and time stops,” says Stein. “We plan to add options for the purpose of hedging and are currently doing intensive research in this direction.”
The Trading Edge program charges 2% for management and 20% for performance with a $60,000 minimum investment requirement for managed accounts. Stein also mentioned that he might start to trade mini-Dow and mini-NASDAQ futures contracts once his assets under management approach the $100 million mark.