Blackbird Asset Management : BlackBird Alpha Spread 1x (Legal Name: BlackBird Alpha LLC Series 2) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance 0.37% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 5.82% Sharpe (RFR=1%) 3.88 CAROR - Assets $ 84.1M Worst DD -0.15 S&P Correlation -0.42 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since9/2019 BlackBird Alpha Spread 1x (Legal Name: BlackBird Alpha LLC Series 2) 0.37 0.37 - 22.61 - - - 33.60 S&P 500 10.75 3.47 - 15.30 - - - 24.78 +/- S&P 500 -10.38 -3.10 - 7.31 - - - 8.82 Strategy Description SummarySince 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% Composition Grains 45.00% Livestock 30.00% Softs 20.00% Energy 5.00% SummarySince 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. The BlackBird Alpha spread strategy was traded before August 2019 in the RCube Commodity Spread program. More information on: https://www.iasg.com/en-us/groups/group/rcube-asset-management/program/commodity-spread-program *There is a substantial risk of loss in trading futures.Investment StrategyBlackBird Alpha Spread 1x Fund (BAS 1x) alpha* (legal name: BlackBird Alpha LLC Series 2) 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 Commitment of Trader, 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. Risk Management*There is a substantial risk of loss in trading futures. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. Fees are 2% management and 20% incentive fee. Performance is from the BlackBird Alpha Spread 1x fund (Legal name: BlackBird Alpha LLC Series 2). Trading commodity futures and options involves a substantial risk of loss. The same strategy was traded since 2011 as proprieraty and in managed accounts. More information on: https://www.iasg.com/en-us/groups/group/rcube-asset-management/program/commodity-spread-program *There is a substantial risk of loss in trading futures. This documentation is intended for Qualified Investor as defined by US regulation and eventually others persons who are authorized to receive such information under any other applicable laws and is for information purposes only. It does not constitute an offer to sell nor a solicitation to invest, nor a recommendation to trade commodity futures or options. it is not intended for distribution to or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. The content of this document is based upon BlackBird AM sources of information believed to be reliable, but no warranty or declaration, either explicit or implicit, is given as to their accuracy or completeness. Strategy AUM is total of funds and managed accounts of the strategy expressed at a 1x leverage. If the fund is labelled as "closed" it means that there is no available capacity for new investors. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -0.15 1 1 1/1/0001 9/1/2019 Show More Consecutive Gains Run-up Length (Mos.) Start End 33.80 14 10/1/2019 11/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -0.15 1 9/1/2019 9/1/2019 Show More Time Windows Analysis 18 Month2 Year3 Year4 Year5 Year1 Month3 Month6 Month Number of Periods93.0087.0075.0063.0051.0027.0015.0013.0010.00 Percent Profitable97.85100.00100.00100.00100.00100.0093.33100.00100.00 Average Period Return19.3225.0935.5950.0967.02112.111.966.5915.09 Average Gain19.7625.0935.5950.0967.02112.112.116.5915.09 Average Loss-0.82-0.15 Best Period50.5658.9872.0676.96104.86143.235.8913.4520.70 Worst Period-1.155.6416.8424.1734.5678.27-0.153.006.17 Standard Deviation12.8212.7112.0612.8319.3019.591.683.845.46 Gain Standard Deviation12.6012.7112.0612.8319.3019.591.633.845.46 Loss Standard Deviation0.46 Sharpe Ratio (1%)1.391.822.703.593.215.351.121.652.67 Average Gain / Average Loss23.9914.09 Profit / Loss Ratio1091.39197.27 Downside Deviation (10%)2.110.740.14 Downside Deviation (5%)0.360.06 Downside Deviation (0%)0.130.04 Sortino Ratio (10%)5.5620.1410.78 Sortino Ratio (5%)49.6331.25 Sortino Ratio (0%)148.7650.68 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. x {{title}} x {{title}} Add Cancel