BlackBird Asset Management : BlackBird Alpha Spread 1x

Closed to new investments
Year-to-Date
N / A
Dec Performance
0.84%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.46%
Sharpe (RFR=1%)
1.48
CAROR
12.37%
Assets
$ 35.0M
Worst DD
-6.62
S&P Correlation
-0.09

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
BlackBird Alpha Spread 1x 0.84 5.28 - 25.07 62.44 98.27 - 185.77
S&P 500 2.86 8.53 - 28.87 42.84 55.32 - 148.62
+/- S&P 500 -2.02 -3.25 - -3.80 19.60 42.95 - 37.15

Strategy Description

Summary

Since 2011, Olivier MERLE traded world agricultural spreads with a focus on high returns, low risk strategies. He holds a Msc in Econometrics from the London School of Economis and a Msc in statistics from ENSAI. Olivier founded Agritel's quantitative departement. Agritel is the leader... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
9000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
10.00%
Worst Peak-to-Trough
-6.80%
Sector Focus
Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Grains
50.00%
Livestock
30.00%
Softs
20.00%
Composition Pie Chart

Summary

Since 2011, Olivier MERLE traded world agricultural spreads with a focus on high returns, low risk strategies. He holds a Msc in Econometrics from the London School of Economis and a Msc in statistics from ENSAI. Olivier founded Agritel's quantitative departement. Agritel is the leader in consulting for european agricultural cash traders. He is the author of Highlight of the week, a weekly letter on agricultural spreads and a speaker for the Paris Grain Day international conference. Olivier is passionate about advanced statistics, the agricultural world and talking with cash traders on cash markets.

Investment Strategy

BlackBird Alpha Spread 1x Fund (BAS 1x) alpha is generated by its unique approach using quantitative and qualitative analysis to select uncorrelated spreads in agricultural markets. RCSP trades agricultural and energy calendar, cross products and location spreads with a global reach (CBOT, CME, ICE, Euronext, Kuala Lumpur, Winnipeg etc.). Firstly, we select the spreads with the strongest statistical signal from our modelisation based on advanced statistics and a large database containing futures prices, cash prices, CFTC, USDA, FX, exports etc. Secondly, within this selection, we use our fundamental knowledge and cash contacts to make a qualitative selection. Lastly, BAS 1x builds a portfolio containing around 20 uncorrelated of the selected spreads. The portfolio targets a 7.5 % volatility and risk by spread is limited.

   

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=1%)
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=1%)
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
-6.62 2 5 4/1/2016 6/1/2016
-5.92 13 4 6/1/2013 7/1/2014
-4.41 4 1 3/1/2012 7/1/2012
-4.19 3 3 1/1/2018 4/1/2018
-3.36 3 1 5/1/2011 8/1/2011
-2.70 1 2 5/1/2019 6/1/2019
-2.61 6 1 11/1/2016 5/1/2017
-1.51 1 1 3/1/2015 4/1/2015
-1.32 1 1 9/1/2015 10/1/2015
-1.16 1 2 1/1/2016 2/1/2016
-1.15 1 1 9/1/2017 10/1/2017
-0.80 1 1 9/1/2011 10/1/2011
-0.64 1 1 11/1/2018 12/1/2018
-0.15 1 1 8/1/2019 9/1/2019
-0.04 1 1 1/1/0001 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
29.17 11 8/1/2012 6/1/2013
23.42 7 5/1/2018 11/1/2018
16.74 5 1/1/2019 5/1/2019
16.51 8 8/1/2014 3/1/2015
12.35 5 5/1/2015 9/1/2015
7.16 5 11/1/2011 3/1/2012
6.96 3 11/1/2017 1/1/2018
6.61 4 2/1/2011 5/1/2011
6.28 4 6/1/2017 9/1/2017
5.75 1 7/1/2016 7/1/2016
5.28 3 10/1/2019 12/1/2019
4.74 2 7/1/2019 8/1/2019
4.28 1 9/1/2011 9/1/2011
3.37 3 11/1/2015 1/1/2016
3.12 1 11/1/2016 11/1/2016
2.32 2 3/1/2016 4/1/2016
1.59 2 1/1/2014 2/1/2014
1.54 1 6/1/2014 6/1/2014
1.20 1 7/1/2011 7/1/2011
1.08 1 2/1/2017 2/1/2017
0.78 1 3/1/2018 3/1/2018
0.70 1 9/1/2016 9/1/2016
0.60 1 5/1/2012 5/1/2012
0.39 1 8/1/2013 8/1/2013
0.18 1 11/1/2013 11/1/2013
0.14 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.62 2 5/1/2016 6/1/2016
-4.64 3 3/1/2014 5/1/2014
-3.82 2 6/1/2012 7/1/2012
-3.64 1 4/1/2018 4/1/2018
-2.70 1 6/1/2019 6/1/2019
-2.65 1 8/1/2011 8/1/2011
-2.46 1 7/1/2014 7/1/2014
-2.29 1 5/1/2017 5/1/2017
-1.91 1 6/1/2011 6/1/2011
-1.86 1 7/1/2013 7/1/2013
-1.71 1 10/1/2016 10/1/2016
-1.51 1 4/1/2015 4/1/2015
-1.34 1 2/1/2018 2/1/2018
-1.32 1 10/1/2015 10/1/2015
-1.31 2 12/1/2016 1/1/2017
-1.21 1 4/1/2012 4/1/2012
-1.16 1 2/1/2016 2/1/2016
-1.15 1 10/1/2017 10/1/2017
-0.80 1 10/1/2011 10/1/2011
-0.64 1 12/1/2018 12/1/2018
-0.54 2 9/1/2013 10/1/2013
-0.23 1 3/1/2017 3/1/2017
-0.15 1 9/1/2019 9/1/2019
-0.11 1 12/1/2013 12/1/2013
-0.04 1 1/1/2011 1/1/2011
-0.03 1 8/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods108.00106.00103.0097.0091.0085.0073.0061.0049.00
Percent Profitable70.3777.3684.4793.8197.80100.00100.00100.00100.00
Average Period Return1.003.066.1512.6618.7424.3734.6349.3365.63
Average Gain2.034.537.7313.6819.1824.3734.6349.3365.63
Average Loss-1.44-1.95-2.41-2.86-0.82
Best Period6.4611.7221.0540.4050.5654.3062.7970.50104.86
Worst Period-4.91-4.78-5.50-4.45-1.155.6416.8424.1734.56
Standard Deviation2.153.886.1910.0212.3311.9310.7112.2918.39
Gain Standard Deviation1.553.045.359.4812.1111.9310.7112.2918.39
Loss Standard Deviation1.221.581.811.810.46
Sharpe Ratio (1%)0.430.720.911.161.401.872.953.683.29
Average Gain / Average Loss1.412.323.214.7823.28
Profit / Loss Ratio3.357.9317.4672.521035.98
Downside Deviation (10%)1.201.692.092.302.130.75
Downside Deviation (5%)1.051.281.341.050.36
Downside Deviation (0%)1.021.181.170.820.13
Sortino Ratio (10%)0.491.081.763.335.2318.95
Sortino Ratio (5%)0.872.204.2311.1347.50
Sortino Ratio (0%)0.982.595.2415.41142.74

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.