Blackheath Fund Management Inc. : Blackheath AI Global Macro Strategy

Year-to-Date
9.89%
Oct Performance
-1.08%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.45%
Sharpe (RFR=1%)
0.26
CAROR
4.13%
Assets
$ 1.3M
Worst DD
-27.93
S&P Correlation
0.22

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2017
Blackheath AI Global Macro Strategy -1.08 6.95 9.89 -3.85 - - - 8.44
S&P 500 2.04 1.92 21.16 12.01 - - - 17.51
+/- S&P 500 -3.12 5.03 -11.27 -15.86 - - - -9.07

Strategy Description

Summary

Blackheath AI Global Macro Strategy aims to earn significant uncorrelated returns in foreign exchange by taking speculative 1-month long positions in liquid global currency futures. Starting in July 2018, the track record shows the composite performance of the strategy, calculated... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.00
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
800 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
15.00%
1-30 Days
85.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

Blackheath AI Global Macro Strategy aims to earn significant uncorrelated returns in foreign exchange by taking speculative 1-month long positions in liquid global currency futures. Starting in July 2018, the track record shows the composite performance of the strategy, calculated using the Only Accounts Traded (OAT) method. From Nov 2017 to Jun 2018, (colored background), the performance shown is the proprietary, pro-forma net returns of the strategy, based on the actual trading results as observed in proprietary accounts traded under the strategy, assuming a fee structure of a 2% Management Fee and 20% Incentive Fee paid quarterly. In reality, these accounts could have different fee structure. Such a fee related assumption can lead to moderate leveraging in the account over certain time periods during the course of this track record. Also, please note that the proprietary account has favourably negotiated trading commissions. Additional details of this computation and calculation of the performance are available upon request. **Net returns are calculated assuming a fee structure of a 2% Management Fee accrued monthly and a 20% Incentive Fee paid quarterly. Separately Managed Account performance can be higher or lower than the above reported performance of the program depending on several factors, such as commission and fee levels, investment amount, duration, the actual prices achieved, the portfolio composition and government taxes (if any). While the results here are based on pro-forma adjustments assuming the given fee structure, in reality, accounts may have a different fee structure, a different fee payment periodicity, different (higher or lower) commission levels and government taxes (if applicable) which may significantly distort the net performance observed in an actual account. Also, in reality, some managed accounts can be traded with a higher leverage and such leverage changes over time and this could result in significantly different performance in an actual account.

Investment Strategy

Blackheath AI Global Macro Strategy applies algorithms developed within the field of Machine Learning to filter though macro economic data and develop an understanding of each global currency's fundamental macro-economic environment, bringing to reality actionable economic information that was previously unseen. actionable economic information that was previously unseen. This information is then traded in a truly quantitative and systematic process maximizing capital growth - aside from risk tolerance, there are practically no other discretionary inputs.

Risk Management

There are two discretionary parameters: 1.Should the team believe the Algorithm is not performing to expectations, the connection between the Deep N- et Engine and the markets will be severed. 2. Large geopolitical risks can overwhelm fundamental inputs at any time. If the team believes such risks are present, we will reduce our target volatility and/or liquidate positions.

   

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
-27.93 11 - 5/1/2018 4/1/2019
-2.05 1 1 1/1/2018 2/1/2018
-1.62 1 1 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
18.54 3 3/1/2018 5/1/2018
13.89 2 5/1/2019 6/1/2019
9.40 1 9/1/2019 9/1/2019
5.51 1 11/1/2017 11/1/2017
3.74 1 1/1/2018 1/1/2018
2.60 1 2/1/2019 2/1/2019
0.11 1 10/1/2018 10/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.10 3 11/1/2018 1/1/2019
-9.89 4 6/1/2018 9/1/2018
-4.93 2 3/1/2019 4/1/2019
-2.36 2 7/1/2019 8/1/2019
-2.05 1 2/1/2018 2/1/2018
-1.62 1 12/1/2017 12/1/2017
-1.08 1 10/1/2019 10/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable41.6750.0052.6315.380.00
Average Period Return0.460.830.08-10.23-6.59
Average Gain5.269.1113.297.85
Average Loss-2.97-7.45-14.60-13.52-6.59
Best Period12.1118.5420.3512.79-1.14
Worst Period-9.13-18.10-22.63-26.79-13.24
Standard Deviation5.049.6715.7310.914.13
Gain Standard Deviation3.644.345.946.98
Loss Standard Deviation2.315.187.517.794.13
Sharpe Ratio (1%)0.070.06-0.03-1.03-1.96
Average Gain / Average Loss1.771.220.910.58
Profit / Loss Ratio1.261.221.010.11
Downside Deviation (10%)3.097.0612.7218.3714.69
Downside Deviation (5%)2.896.4711.4815.008.95
Downside Deviation (0%)2.846.3211.1714.197.62
Sortino Ratio (10%)0.02-0.06-0.19-0.83-0.97
Sortino Ratio (5%)0.130.09-0.04-0.75-0.90
Sortino Ratio (0%)0.160.130.01-0.72-0.86

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.