Bay Hill Capital Advisors : Bay Hill Commodity Alpha (Prop)

archived programs
Year-to-Date
N / A
Jun Performance
-5.42%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.64%
Sharpe (RFR=1%)
-0.09
CAROR
0.06%
Assets
$ 22.5M
Worst DD
-17.13
S&P Correlation
0.34

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
Bay Hill Commodity Alpha (Prop) -5.42 - - - - - - 0.17
S&P 500 -2.10 - - - - - - 151.19
+/- S&P 500 -3.32 - - - - - - -151.02

Strategy Description

Summary

The BAY HILL COMMODITY ALPHA ("BHCA") strategy is a quantitative commodity futures trading program. The strategy seeks to generate returns that are uncorrelated to traditional benchmarks and the managed futures industry as a whole by quantitatively modeling fundamental and behavioral... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $1.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -12.00%
Worst Peak-to-Trough -16.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 30.00%
1-30 Days 70.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Grains
30.00%
Energy
25.00%
Precious Metals
20.00%
Softs
15.00%
Industrial Metals
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The BAY HILL COMMODITY ALPHA ("BHCA") strategy is a quantitative commodity futures trading program. The strategy seeks to generate returns that are uncorrelated to traditional benchmarks and the managed futures industry as a whole by quantitatively modeling fundamental and behavioral conditions of individual commodity markets. The BHCA program is a unique offering in the CTA space. The strategy is commodities only and approaches the market using a diversified inter-commodity relative value approach. Bay Hill has identified multiple uncorrelated alpha signals that have predictive value for forecasting the movement of commodities relative to one another on multiple timeframes. This approach creates an opportunity to realize a high Sharpe Ratio (>1.5 expected) and also allows for the targeting of a more consistent volatility profile when compared with other futures strategies. The BHCA strategy utilizes rigorous portfolio construction and risk control algorithms to combine the signals into a dynamic, well diversified portfolio which targets an annualized volatility of 12%.

Investment Strategy

The program is a commodities only strategy and looks to profit within a relative value framework. We have multiple signals working within the strategy that we believe describe relative fundamental and behavioral conditions within groups of commodities. The system buys the commodities that our algorithms predict will outperform and sells those that are likely to underperform.

Risk Management

The BHCA system has been designed to target a realized annual volatility of 12% computed using daily gross returns. We strive to realize a high Sharpe Ratio. Central to this goal, we maintain a very well diversified portfolio given the number of commodities in our tradable universe. We have several layers of risk controls working in the strategy. Due to the relative value nature of the portfolio, the system does not use stop-loss orders to control risk. Our risk methodology is to limit the net exposure, long or short, in individual commodities, within multiple groupings of commodities and the portfolio as a whole. Additionally we have a cap on the maximum overall leverage of the portfolio.

   

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
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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
-17.13 6 - 12/1/2014 6/1/2015
-3.77 2 4 5/1/2014 7/1/2014
-3.49 4 2 8/1/2012 12/1/2012
-2.36 6 3 8/1/2013 2/1/2014
-0.10 1 1 5/1/2013 6/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
11.99 5 1/1/2013 5/1/2013
6.83 5 8/1/2014 12/1/2014
4.44 2 7/1/2012 8/1/2012
4.12 1 5/1/2014 5/1/2014
1.84 2 7/1/2013 8/1/2013
1.09 3 10/1/2013 12/1/2013
0.75 1 3/1/2014 3/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.13 6 1/1/2015 6/1/2015
-3.77 2 6/1/2014 7/1/2014
-3.49 4 9/1/2012 12/1/2012
-1.98 2 1/1/2014 2/1/2014
-1.47 1 9/1/2013 9/1/2013
-0.10 1 6/1/2013 6/1/2013
-0.05 1 4/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable52.7855.8867.7476.0073.6876.92
Average Period Return0.030.321.354.005.327.88
Average Gain1.603.314.226.949.2211.99
Average Loss-1.72-3.46-4.68-5.28-5.59-5.79
Best Period4.127.2912.3913.4915.3419.92
Worst Period-5.42-9.53-17.13-12.22-12.43-11.17
Standard Deviation2.214.286.156.847.749.26
Gain Standard Deviation1.272.353.854.313.845.12
Loss Standard Deviation1.632.955.784.654.435.58
Sharpe Ratio (1%)-0.020.020.140.440.490.63
Average Gain / Average Loss0.930.960.901.311.652.07
Profit / Loss Ratio1.041.211.894.164.626.90
Downside Deviation (10%)1.823.655.185.637.268.41
Downside Deviation (5%)1.653.114.283.714.174.34
Downside Deviation (0%)1.612.984.093.323.523.54
Sortino Ratio (10%)-0.21-0.25-0.22-0.18-0.31-0.28
Sortino Ratio (5%)-0.030.020.200.810.911.35
Sortino Ratio (0%)0.020.110.331.211.512.23

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.