Blue Fin Capital Pty Ltd : Managed Commodities Program

archived programs
Year-to-Date
N / A
Apr Performance
0.49%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.74%
Sharpe (RFR=1%)
0.51
CAROR
4.29%
Assets
$ 10.0M
Worst DD
-13.60
S&P Correlation
-0.10

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/2007
Managed Commodities Program 0.49 0.19 - -2.95 1.91 8.18 - 29.15
S&P 500 1.81 6.64 - 14.28 34.60 15.28 - 5.84
+/- S&P 500 -1.32 -6.45 - -17.24 -32.69 -7.10 - 23.31

Strategy Description

Summary

The objective of the Blue Fin Managed Commodities program is to deliver high, consistent and absolute, risk-adjusted alpha returns to participants via the deployment of proprietary trading strategies. The program’s investments will be actively managed in the North American regulated... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
65.00%
Intraday
35.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
20.00%
Momentum
80.00%
Strategy Pie Chart

Composition

Energy
25.00%
Precious Metals
20.00%
Industrial Metals
20.00%
Grains
20.00%
Softs
15.00%
Composition Pie Chart

Summary

The objective of the Blue Fin Managed Commodities program is to deliver high, consistent and absolute, risk-adjusted alpha returns to participants via the deployment of proprietary trading strategies. The program’s investments will be actively managed in the North American regulated commodities futures markets, with a view to achieving positive returns in both rising and falling markets. It is the aim of the Commodities Program to manage the risk and downside volatility in individual proprietary trading models that offer alpha returns in different market conditions and uncorrelated beta returns to traditional assets. The trading models are designed to extract profit from volatility and trend persistence via systematic strategies.

Investment Strategy

Blue Fin’s strategies are systematic in order to remove emotion from the trading operation and to participate in market dynamics our research has identified as efficiently as possible. The market dynamics Blue Fin targets can be seen on intraday timeframes, 1-3 day time frames (sudden range expansion) and more medium to longer-term time frames up to six months (serial correlation and trend persistence). Blue Fin employs short-term models in order to participate in this phenomenon.

Risk Management

Risk is carefully and systematically controlled from both an individual market and entire portfolio perspective. At the portfolio level, a preset risk budget is allocated to each market/system. There is no room for position size to exceed preset computational limits. Capital allocation to each market may be increased (within same limits) or decreased with reference to the strategy’s longer-term performance in any particular market considering both absolute return and volatility of return. Trade size may also be decreased prior to the release of major economic numbers and reports.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-13.60 22 - 5/1/2011 3/1/2013
-5.10 8 3 6/1/2009 2/1/2010
-4.33 1 3 12/1/2010 1/1/2011
-4.17 1 2 3/1/2008 4/1/2008
-2.93 8 2 8/1/2008 4/1/2009
-2.20 1 2 7/1/2007 8/1/2007
-1.02 1 2 7/1/2010 8/1/2010
-0.93 2 1 11/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
9.80 4 2/1/2011 5/1/2011
9.62 4 4/1/2007 7/1/2007
9.21 2 2/1/2008 3/1/2008
9.17 5 3/1/2010 7/1/2010
7.40 3 9/1/2007 11/1/2007
7.11 4 9/1/2010 12/1/2010
7.11 4 5/1/2008 8/1/2008
5.02 2 5/1/2012 6/1/2012
3.88 2 5/1/2009 6/1/2009
1.78 1 12/1/2008 12/1/2008
1.16 1 12/1/2011 12/1/2011
1.12 1 10/1/2008 10/1/2008
0.49 1 4/1/2013 4/1/2013
0.37 1 10/1/2009 10/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.04 9 7/1/2012 3/1/2013
-6.01 6 6/1/2011 11/1/2011
-5.90 4 1/1/2012 4/1/2012
-4.33 1 1/1/2011 1/1/2011
-4.17 1 4/1/2008 4/1/2008
-3.47 4 11/1/2009 2/1/2010
-2.92 4 1/1/2009 4/1/2009
-2.20 1 8/1/2007 8/1/2007
-2.06 3 7/1/2009 9/1/2009
-1.84 1 9/1/2008 9/1/2008
-1.03 1 11/1/2008 11/1/2008
-1.02 1 8/1/2010 8/1/2010
-0.93 2 12/1/2007 1/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable47.9553.5257.3562.9069.6484.00100.00100.00
Average Period Return0.371.062.024.115.798.1613.5117.74
Average Gain2.043.735.969.3110.9410.9213.5117.74
Average Loss-1.17-2.02-3.27-4.70-6.03-6.29
Best Period5.228.5714.4624.5725.5124.8024.9544.21
Worst Period-4.33-5.56-7.50-9.44-12.84-12.111.911.12
Standard Deviation1.953.525.488.6810.088.677.5114.95
Gain Standard Deviation1.172.453.536.366.906.237.5114.95
Loss Standard Deviation1.011.392.053.154.803.70
Sharpe Ratio (1%)0.150.230.280.360.420.711.400.92
Average Gain / Average Loss1.741.851.821.981.811.73
Profit / Loss Ratio1.612.122.453.364.169.10
Downside Deviation (10%)1.352.424.006.348.217.596.6211.97
Downside Deviation (5%)1.161.812.793.954.883.610.180.84
Downside Deviation (0%)1.111.662.513.424.202.87
Sortino Ratio (10%)-0.03-0.07-0.11-0.14-0.22-0.28-0.34-0.32
Sortino Ratio (5%)0.250.450.550.790.881.7057.7416.32
Sortino Ratio (0%)0.330.640.811.201.382.84

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.