Blackheath Fund Management Inc. : Blackheath Offshore Limited Class A

Year-to-Date
1.63%
Jan Performance
1.63%
Min Investment
$ 100k
Mgmt Fee
1.50%
Perf Fee
15.00%
Annualized Vol
24.89%
Sharpe (RFR=1%)
0.49
CAROR
10.59%
Assets
$ 1.4M
Worst DD
-34.10
S&P Correlation
0.01

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
3/2003
Blackheath Offshore Limited Class A 1.63 7.77 1.63 -7.79 6.64 12.39 131.80 267.13
S&P 500 -5.07 -6.69 -5.07 -2.74 29.51 50.84 51.55 128.72
+/- S&P 500 6.70 14.46 6.70 -5.05 -22.88 -38.45 80.26 138.41

Strategy Description

Summary

Blackheath Offshore Limited utilizes Blackheath's Sentiment Strategy with the objective of earning a positive return on capital every year uncorrelated to major market indices. ... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 10k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
15.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
320 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
N/A
Worst Peak-to-Trough
-37.44%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
30.00%
1-30 Days
60.00%
Intraday
0%

Decision-Making

Discretionary
70.00%
Systematic
30.00%

Strategy

Trend-following
50.00%
Other
50.00%
Strategy Pie Chart

Composition

Precious Metals
29.00%
Currency Futures
26.00%
Softs
21.00%
Energy
13.00%
Grains
6.00%
Livestock
4.00%
Interest Rates
1.00%
Composition Pie Chart

Summary

Blackheath Offshore Limited utilizes Blackheath's Sentiment Strategy with the objective of earning a positive return on capital every year uncorrelated to major market indices.

Investment Strategy

Blackheath’s Sentiment Strategy is a pure sentiment-driven approach to futures markets, which is unique in its field. At the heart of our system is a systematic trading methodology to understand and employ sentiment data to exploit hard-wired human biases and crowd behaviour. Our system attempts to identify: 1. Trending markets that are being ignored by speculative traders 2. Oversold or overbought markets where sentiment and positioning are stretched to extremes

Risk Management

Max 6 positions, 3% portfolio max risk per position

   

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

Statistics & Ratios

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
-34.10 5 3 1/1/0001 7/1/2003
-28.50 31 - 12/1/2011 7/1/2014
-25.09 4 3 2/1/2004 6/1/2004
-14.93 3 7 2/1/2010 5/1/2010
-13.81 5 9 2/1/2008 7/1/2008
-13.20 8 2 9/1/2004 5/1/2005
-11.85 2 4 4/1/2011 6/1/2011
-9.91 7 4 8/1/2006 3/1/2007
-7.07 1 1 7/1/2007 8/1/2007
-5.59 1 3 12/1/2010 1/1/2011
-4.02 2 1 1/1/2006 3/1/2006
-3.67 1 4 7/1/2009 8/1/2009
-1.24 1 1 12/1/2003 1/1/2004
-0.53 1 3 10/1/2007 11/1/2007
-0.16 1 1 9/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
81.57 5 8/1/2003 12/1/2003
40.97 3 7/1/2004 9/1/2004
37.99 6 8/1/2014 1/1/2015
37.84 6 2/1/2009 7/1/2009
32.87 4 6/1/2005 9/1/2005
32.31 2 9/1/2007 10/1/2007
28.20 5 4/1/2006 8/1/2006
21.46 3 7/1/2015 9/1/2015
20.63 6 7/1/2011 12/1/2011
18.93 4 9/1/2010 12/1/2010
16.17 3 2/1/2011 4/1/2011
12.88 2 5/1/2013 6/1/2013
10.84 2 4/1/2007 5/1/2007
10.82 2 2/1/2013 3/1/2013
10.81 1 2/1/2005 2/1/2005
10.47 1 5/1/2003 5/1/2003
10.42 3 8/1/2012 10/1/2012
10.16 2 11/1/2013 12/1/2013
9.77 1 11/1/2015 11/1/2015
9.30 2 4/1/2012 5/1/2012
8.61 3 12/1/2007 2/1/2008
8.23 6 9/1/2009 2/1/2010
6.81 1 7/1/2007 7/1/2007
6.71 3 10/1/2008 12/1/2008
5.58 2 6/1/2010 7/1/2010
5.27 1 2/1/2004 2/1/2004
4.78 1 8/1/2008 8/1/2008
4.71 3 11/1/2005 1/1/2006
4.58 1 12/1/2012 12/1/2012
4.55 1 6/1/2008 6/1/2008
3.50 2 3/1/2014 4/1/2014
1.63 1 1/1/2016 1/1/2016
1.45 1 11/1/2004 11/1/2004
1.44 1 4/1/2015 4/1/2015
0.69 1 2/1/2007 2/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.09 4 3/1/2004 6/1/2004
-23.42 4 7/1/2013 10/1/2013
-22.81 2 6/1/2003 7/1/2003
-22.71 2 3/1/2003 4/1/2003
-16.50 3 1/1/2012 3/1/2012
-14.93 3 3/1/2010 5/1/2010
-14.36 3 5/1/2014 7/1/2014
-14.18 1 10/1/2015 10/1/2015
-13.47 2 5/1/2015 6/1/2015
-13.44 3 3/1/2008 5/1/2008
-12.24 3 3/1/2005 5/1/2005
-11.85 2 5/1/2011 6/1/2011
-9.12 2 6/1/2012 7/1/2012
-9.04 5 9/1/2006 1/1/2007
-8.96 1 4/1/2013 4/1/2013
-7.34 2 12/1/2004 1/1/2005
-7.07 1 8/1/2007 8/1/2007
-6.98 1 1/1/2013 1/1/2013
-6.48 2 2/1/2015 3/1/2015
-5.70 1 6/1/2007 6/1/2007
-5.59 1 1/1/2011 1/1/2011
-5.05 1 10/1/2004 10/1/2004
-4.77 1 7/1/2008 7/1/2008
-4.60 1 1/1/2009 1/1/2009
-4.46 1 8/1/2010 8/1/2010
-4.24 1 11/1/2012 11/1/2012
-4.02 2 2/1/2006 3/1/2006
-3.67 1 8/1/2009 8/1/2009
-3.40 1 12/1/2015 12/1/2015
-1.63 1 3/1/2007 3/1/2007
-1.57 2 1/1/2014 2/1/2014
-1.45 1 9/1/2008 9/1/2008
-1.24 1 1/1/2004 1/1/2004
-0.53 1 11/1/2007 11/1/2007
-0.16 1 10/1/2005 10/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods155.00153.00150.00144.00138.00132.00120.00108.0096.00
Percent Profitable58.7162.7566.6774.3182.6184.0984.1786.1196.88
Average Period Return1.093.517.3213.2220.3627.4945.2164.9589.47
Average Gain5.4110.2415.4320.3326.4134.7355.2876.0692.55
Average Loss-5.05-7.82-8.92-7.33-8.35-10.81-8.36-3.92-6.16
Best Period29.2967.0379.3248.3677.92105.65177.92197.44244.25
Worst Period-17.83-23.02-22.12-22.55-22.53-23.33-18.21-13.01-11.26
Standard Deviation7.1812.5616.0716.5620.7925.8839.2350.0764.40
Gain Standard Deviation5.6710.4913.2712.6517.4521.3534.3644.9063.04
Loss Standard Deviation3.865.755.105.786.106.914.263.945.66
Sharpe Ratio (1%)0.140.260.420.740.910.981.071.221.31
Average Gain / Average Loss1.071.311.732.773.163.216.6119.3815.03
Profit / Loss Ratio1.522.213.468.0215.0316.9835.15120.17465.99
Downside Deviation (10%)4.296.537.206.937.318.9410.3011.099.21
Downside Deviation (5%)4.126.036.175.124.815.784.833.312.21
Downside Deviation (0%)4.085.915.924.714.285.083.712.041.36
Sortino Ratio (10%)0.160.350.671.191.751.932.863.916.72
Sortino Ratio (5%)0.240.541.112.393.924.418.7318.3838.26
Sortino Ratio (0%)0.270.591.242.814.765.4112.1831.8965.73

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 3 4.59 8/2015
Trend Following Strategy Index Month 9 4.59 8/2015
Discretionary Trader Index Month 2 14.24 7/2015
Trend Following Strategy Index Month 4 14.24 7/2015
Diversified Trader Index Month 4 14.24 7/2015
IASG CTA Index Month 5 14.24 7/2015
Trend Following Strategy Index Month 10 1.44 4/2015
Discretionary Trader Index Month 6 9.03 1/2015
Trend Following Strategy Index Month 6 8.08 10/2014
IASG CTA Index Month 7 8.08 10/2014
Diversified Trader Index Month 4 8.08 10/2014
Discretionary Trader Index Month 5 8.08 10/2014
Discretionary Trader Index Month 6 13.84 9/2014
Discretionary Trader Index Month 9 3.37 12/2013
Discretionary Trader Index Month 5 6.57 11/2013
Discretionary Trader Index Month 4 8.39 5/2013
Trend Following Strategy Index Month 4 8.39 5/2013
Diversified Trader Index Month 7 8.39 5/2013
IASG CTA Index Month 8 8.39 5/2013
Discretionary Trader Index Month 8 1.62 3/2013
Discretionary Trader Index Month 3 9.05 2/2013
Diversified Trader Index Month 3 9.05 2/2013
IASG CTA Index Month 4 9.05 2/2013
Trend Following Strategy Index Month 3 9.05 2/2013
Discretionary Trader Index Month 3 4.58 12/2012
Trend Following Strategy Index Month 1 4.29 10/2012
Discretionary Trader Index Month 9 4.29 10/2012
Diversified Trader Index Month 10 4.29 10/2012
Trend Following Strategy Index Month 9 3.03 8/2012
Discretionary Trader Index Month 7 6.94 4/2012
Trend Following Strategy Index Month 2 6.94 4/2012
Diversified Trader Index Month 5 6.94 4/2012
Trend Following Strategy Index Month 9 3.31 10/2011
Discretionary Trader Index Month 6 9.82 4/2011
Discretionary Trader Index Month 10 5.68 2/2011
Trend Following Strategy Index Month 9 1.30 11/2010
Trend Following Strategy Index Month 10 3.30 7/2010
IASG CTA Index 5 Year Rolling 9 169.87 2004 - 2009
Diversified Trader Index Month 6 7.01 7/2009
IASG CTA Index Month 7 7.01 7/2009
Discretionary Trader Index Month 2 7.01 7/2009
Trend Following Strategy Index Month 3 7.01 7/2009
Discretionary Trader Index Month 5 15.86 5/2009
Trend Following Strategy Index Month 10 15.86 5/2009
Trend Following Strategy Index Month 7 2.04 4/2009
Trend Following Strategy Index Month 4 2.42 3/2009
Trend Following Strategy Index Month 2 6.05 2/2009
Diversified Trader Index Month 5 6.05 2/2009
IASG CTA Index Month 10 6.05 2/2009
Discretionary Trader Index Month 7 6.05 2/2009
Discretionary Trader Index Month 8 2.17 10/2008
Discretionary Trader Index Month 10 4.78 8/2008
IASG CTA Index 3 Year Rolling 10 97.06 2004 - 2007
Discretionary Trader Index Month 7 6.45 10/2007
IASG CTA Index Month 8 24.29 9/2007
Diversified Trader Index Month 8 24.29 9/2007
Trend Following Strategy Index Month 6 24.29 9/2007
Discretionary Trader Index Month 2 24.29 9/2007
Discretionary Trader Index Month 2 6.81 7/2007
Diversified Trader Index Month 6 6.81 7/2007
Trend Following Strategy Index Month 7 6.81 7/2007
IASG CTA Index Month 10 6.81 7/2007
Discretionary Trader Index Month 2 9.79 4/2007
Trend Following Strategy Index Month 3 6.40 8/2006
Diversified Trader Index Month 3 6.40 8/2006
Discretionary Trader Index Month 1 6.40 8/2006
IASG CTA Index Month 5 6.40 8/2006
Trend Following Strategy Index Month 1 5.85 7/2006
Diversified Trader Index Month 2 5.85 7/2006
Discretionary Trader Index Month 2 5.85 7/2006
IASG CTA Index Month 3 5.85 7/2006
Trend Following Strategy Index Month 5 2.29 6/2006
Discretionary Trader Index Month 6 2.29 6/2006
Diversified Trader Index Month 6 2.29 6/2006
Discretionary Trader Index Month 7 1.99 5/2006
Discretionary Trader Index Month 5 9.11 4/2006
Discretionary Trader Index Month 3 3.34 11/2005
Discretionary Trader Index Month 2 9.52 9/2005
Trend Following Strategy Index Month 6 9.52 9/2005
IASG CTA Index Month 8 9.52 9/2005
Diversified Trader Index Month 7 9.52 9/2005
Discretionary Trader Index Month 10 2.07 8/2005
Diversified Trader Index Month 5 4.80 7/2005
IASG CTA Index Month 6 4.80 7/2005
Discretionary Trader Index Month 4 4.80 7/2005
Trend Following Strategy Index Month 2 4.80 7/2005
Trend Following Strategy Index Month 2 13.42 6/2005
Diversified Trader Index Month 2 13.42 6/2005
Discretionary Trader Index Month 2 13.42 6/2005
IASG CTA Index Month 4 13.42 6/2005
Trend Following Strategy Index Month 4 10.81 2/2005
Discretionary Trader Index Month 4 10.81 2/2005
Diversified Trader Index Month 7 10.81 2/2005
IASG CTA Index Month 8 10.81 2/2005
Discretionary Trader Index Month 10 1.45 11/2004
IASG CTA Index Month 1 29.18 9/2004
Trend Following Strategy Index Month 1 29.18 9/2004
Discretionary Trader Index Month 1 29.18 9/2004
Diversified Trader Index Month 1 29.18 9/2004
Diversified Trader Index Month 4 7.66 8/2004

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