Blackbird Asset Management : BlackBird Alpha Spread 1x (Legal Name: BlackBird Alpha LLC Series 2)

Closed to new investments
Year-to-Date
17.59%
Apr Performance
4.04%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.90%
Sharpe (RFR=1%)
4.56
CAROR
-
Assets
$ 68.0M
Worst DD
-0.15
S&P Correlation
-0.37

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
9/2019
BlackBird Alpha Spread 1x (Legal Name: BlackBird Alpha LLC Series 2) 4.04 4.04 17.59 - - - - 23.62
S&P 500 12.68 -9.71 -9.85 - - - - 4.15
+/- S&P 500 -8.64 13.75 27.45 - - - - 19.47

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
45.00%
Livestock
30.00%
Softs
20.00%
Energy
5.00%
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. 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 Strategy

BlackBird 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.

   

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
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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
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Consecutive Gains

Run-up Length (Mos.) Start End
23.80 7 10/1/2019 4/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.15 1 9/1/2019 9/1/2019
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Time Windows Analysis

 12 Month18 Month2 Year3 Year4 Year5 Year1 Month3 Month
Number of Periods99.0093.0087.0075.0063.0051.0027.008.006.00
Percent Profitable93.9497.85100.00100.00100.00100.00100.0087.50100.00
Average Period Return12.9019.3225.0935.5950.0967.02112.112.708.20
Average Gain13.9219.7625.0935.5950.0967.02112.113.118.20
Average Loss-2.86-0.82-0.15
Best Period40.4050.5658.9872.0676.96104.86143.235.8913.45
Worst Period-4.45-1.155.6416.8424.1734.5678.27-0.154.25
Standard Deviation10.0712.8212.7112.0612.8319.3019.591.994.05
Gain Standard Deviation9.5212.6012.7112.0612.8319.3019.591.764.05
Loss Standard Deviation1.810.46
Sharpe Ratio (1%)1.181.391.822.703.593.215.351.311.96
Average Gain / Average Loss4.8623.9920.73
Profit / Loss Ratio75.401091.39145.13
Downside Deviation (10%)2.282.110.740.20
Downside Deviation (5%)1.040.360.08
Downside Deviation (0%)0.810.130.05
Sortino Ratio (10%)3.475.5620.1411.65
Sortino Ratio (5%)11.4849.6331.81
Sortino Ratio (0%)15.86148.7650.96

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.