Blackheath Fund Management Inc. : Blackheath Offshore Limited Class A

Year-to-Date: N / A
Mar Performance: -1.87%

Min Investment: $ 100k
Mgmt. Fee: 1.50%
Perf. Fee: 15.00%

Annualized Vol: 24.82%
Sharpe (RFR=1%): 0.46
CAROR: 9.77%

Assets: $ 1.3M
Worst DD: -34.10
S&P Correlation: 0.01

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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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 3/2003
Blackheath Offshore Limited Class A	-1.87	-6.22	-	-9.03	-11.21	-1.97	122.85	238.75
S&P 500	6.60	0.77	-	-0.39	31.26	55.32	59.04	142.80
+/- S&P 500	-8.47	-7.00	-	-8.63	-42.47	-57.29	63.81	95.95

Strategy Description

Summary

Blackheath Offshore Limited utilizes Blackheath's Sentiment Strategy with the objective of earning a positive return on capital every year uncorrelated to major market indices. ... Read More

Account & Fees

Type: Fund
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 10k
CTA Max Funding Factor
Management Fee: 1.50%
Performance Fee: 15.00%
Average Commission: $0
Available to US Investors: No

Subscriptions

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

Trading

Trading Frequency: 320 RT/YR/$M
Avg. Margin-to-Equity: 8%
Targeted Worst DD: N/A
Worst Peak-to-Trough: -37.44%
Sector Focus: Diversified Traders

Holding Periods

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

Summary

Blackheath Offshore Limited utilizes Blackheath's Sentiment Strategy with the objective of earning a positive return on capital every year uncorrelated to major market indices.

Investment Strategy

Blackheath’s Sentiment Strategy is a pure sentiment-driven approach to futures markets, which is unique in its field. At the heart of our system is a systematic trading methodology to understand and employ sentiment data to exploit hard-wired human biases and crowd behaviour. Our system attempts to identify: 1. Trending markets that are being ignored by speculative traders 2. Oversold or overbought markets where sentiment and positioning are stretched to extremes

Risk Management

Max 6 positions, 3% portfolio max risk per position

Compare to:

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Index: Chart Type:

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:

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
-34.10	5	3	1/1/0001	7/1/2003
-28.50	31	-	12/1/2011	7/1/2014
-25.09	4	3	2/1/2004	6/1/2004
-14.93	3	7	2/1/2010	5/1/2010
-13.81	5	9	2/1/2008	7/1/2008
-13.20	8	2	9/1/2004	5/1/2005
-11.85	2	4	4/1/2011	6/1/2011
-9.91	7	4	8/1/2006	3/1/2007
-7.07	1	1	7/1/2007	8/1/2007
-5.59	1	3	12/1/2010	1/1/2011
-4.02	2	1	1/1/2006	3/1/2006
-3.67	1	4	7/1/2009	8/1/2009
-1.24	1	1	12/1/2003	1/1/2004
-0.53	1	3	10/1/2007	11/1/2007
-0.16	1	1	9/1/2005	10/1/2005

Consecutive Gains

Run-up	Length (Mos.)	Start	End
81.57	5	8/1/2003	12/1/2003
40.97	3	7/1/2004	9/1/2004
37.99	6	8/1/2014	1/1/2015
37.84	6	2/1/2009	7/1/2009
32.87	4	6/1/2005	9/1/2005
32.31	2	9/1/2007	10/1/2007
28.20	5	4/1/2006	8/1/2006
21.46	3	7/1/2015	9/1/2015
20.63	6	7/1/2011	12/1/2011
18.93	4	9/1/2010	12/1/2010
16.17	3	2/1/2011	4/1/2011
12.88	2	5/1/2013	6/1/2013
10.84	2	4/1/2007	5/1/2007
10.82	2	2/1/2013	3/1/2013
10.81	1	2/1/2005	2/1/2005
10.47	1	5/1/2003	5/1/2003
10.42	3	8/1/2012	10/1/2012
10.16	2	11/1/2013	12/1/2013
9.77	1	11/1/2015	11/1/2015
9.30	2	4/1/2012	5/1/2012
8.61	3	12/1/2007	2/1/2008
8.23	6	9/1/2009	2/1/2010
6.81	1	7/1/2007	7/1/2007
6.71	3	10/1/2008	12/1/2008
5.58	2	6/1/2010	7/1/2010
5.27	1	2/1/2004	2/1/2004
4.78	1	8/1/2008	8/1/2008
4.71	3	11/1/2005	1/1/2006
4.58	1	12/1/2012	12/1/2012
4.55	1	6/1/2008	6/1/2008
3.50	2	3/1/2014	4/1/2014
1.63	1	1/1/2016	1/1/2016
1.45	1	11/1/2004	11/1/2004
1.44	1	4/1/2015	4/1/2015
0.69	1	2/1/2007	2/1/2007

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-25.09	4	3/1/2004	6/1/2004
-23.42	4	7/1/2013	10/1/2013
-22.81	2	6/1/2003	7/1/2003
-22.71	2	3/1/2003	4/1/2003
-16.50	3	1/1/2012	3/1/2012
-14.93	3	3/1/2010	5/1/2010
-14.36	3	5/1/2014	7/1/2014
-14.18	1	10/1/2015	10/1/2015
-13.47	2	5/1/2015	6/1/2015
-13.44	3	3/1/2008	5/1/2008
-12.24	3	3/1/2005	5/1/2005
-11.85	2	5/1/2011	6/1/2011
-9.12	2	6/1/2012	7/1/2012
-9.04	5	9/1/2006	1/1/2007
-8.96	1	4/1/2013	4/1/2013
-7.73	2	2/1/2016	3/1/2016
-7.34	2	12/1/2004	1/1/2005
-7.07	1	8/1/2007	8/1/2007
-6.98	1	1/1/2013	1/1/2013
-6.48	2	2/1/2015	3/1/2015
-5.70	1	6/1/2007	6/1/2007
-5.59	1	1/1/2011	1/1/2011
-5.05	1	10/1/2004	10/1/2004
-4.77	1	7/1/2008	7/1/2008
-4.60	1	1/1/2009	1/1/2009
-4.46	1	8/1/2010	8/1/2010
-4.24	1	11/1/2012	11/1/2012
-4.02	2	2/1/2006	3/1/2006
-3.67	1	8/1/2009	8/1/2009
-3.40	1	12/1/2015	12/1/2015
-1.63	1	3/1/2007	3/1/2007
-1.57	2	1/1/2014	2/1/2014
-1.45	1	9/1/2008	9/1/2008
-1.24	1	1/1/2004	1/1/2004
-0.53	1	11/1/2007	11/1/2007
-0.16	1	10/1/2005	10/1/2005

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	157.00	155.00	152.00	146.00	140.00	134.00	122.00	110.00	98.00
Percent Profitable	57.96	61.94	65.79	73.29	82.86	84.33	82.79	85.45	94.90
Average Period Return	1.03	3.38	7.05	12.90	20.22	27.14	44.31	63.72	87.62
Average Gain	5.41	10.24	15.43	20.33	26.13	34.19	55.28	75.25	92.55
Average Loss	-5.02	-7.79	-9.08	-7.47	-8.35	-10.81	-8.48	-4.06	-4.09
Best Period	29.29	67.03	79.32	48.36	77.92	105.65	177.92	197.44	244.25
Worst Period	-17.83	-23.02	-22.12	-22.55	-22.53	-23.33	-18.21	-13.01	-11.26
Standard Deviation	7.16	12.53	16.13	16.67	20.70	25.85	39.53	50.44	65.02
Gain Standard Deviation	5.67	10.49	13.27	12.65	17.46	21.55	34.36	45.33	63.04
Loss Standard Deviation	3.83	5.65	5.08	5.66	6.10	6.91	4.09	3.84	4.95
Sharpe Ratio (1%)	0.13	0.25	0.41	0.71	0.90	0.97	1.04	1.18	1.27
Average Gain / Average Loss	1.08	1.31	1.70	2.72	3.13	3.16	6.52	18.54	22.64
Profit / Loss Ratio	1.49	2.14	3.27	7.46	15.13	17.02	31.35	108.94	421.08
Downside Deviation (10%)	4.30	6.55	7.37	7.11	7.27	8.91	10.72	11.47	9.99
Downside Deviation (5%)	4.12	6.05	6.33	5.25	4.77	5.73	5.06	3.44	2.35
Downside Deviation (0%)	4.08	5.92	6.07	4.82	4.25	5.04	3.89	2.10	1.36
Sortino Ratio (10%)	0.14	0.33	0.62	1.11	1.74	1.90	2.66	3.68	6.01
Sortino Ratio (5%)	0.23	0.52	1.03	2.27	3.92	4.38	8.16	17.35	35.06
Sortino Ratio (0%)	0.25	0.57	1.16	2.68	4.76	5.38	11.39	30.35	64.34

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	3	4.59	8/2015
Trend Following Strategy Index	Month	9	4.59	8/2015
Discretionary Trader Index	Month	2	14.24	7/2015
Trend Following Strategy Index	Month	4	14.24	7/2015
Diversified Trader Index	Month	4	14.24	7/2015
IASG CTA Index	Month	5	14.24	7/2015
Trend Following Strategy Index	Month	10	1.44	4/2015
Discretionary Trader Index	Month	6	9.03	1/2015
Trend Following Strategy Index	Month	6	8.08	10/2014
IASG CTA Index	Month	7	8.08	10/2014
Diversified Trader Index	Month	4	8.08	10/2014
Discretionary Trader Index	Month	5	8.08	10/2014
Discretionary Trader Index	Month	6	13.84	9/2014
Discretionary Trader Index	Month	9	3.37	12/2013
Discretionary Trader Index	Month	5	6.57	11/2013
Discretionary Trader Index	Month	4	8.39	5/2013
Trend Following Strategy Index	Month	4	8.39	5/2013
Diversified Trader Index	Month	7	8.39	5/2013
IASG CTA Index	Month	8	8.39	5/2013
Discretionary Trader Index	Month	8	1.62	3/2013
Discretionary Trader Index	Month	3	9.05	2/2013
Diversified Trader Index	Month	3	9.05	2/2013
IASG CTA Index	Month	4	9.05	2/2013
Trend Following Strategy Index	Month	3	9.05	2/2013
Discretionary Trader Index	Month	3	4.58	12/2012
Trend Following Strategy Index	Month	1	4.29	10/2012
Discretionary Trader Index	Month	9	4.29	10/2012
Diversified Trader Index	Month	10	4.29	10/2012
Trend Following Strategy Index	Month	9	3.03	8/2012
Discretionary Trader Index	Month	7	6.94	4/2012
Trend Following Strategy Index	Month	2	6.94	4/2012
Diversified Trader Index	Month	5	6.94	4/2012
Trend Following Strategy Index	Month	9	3.31	10/2011
Discretionary Trader Index	Month	6	9.82	4/2011
Discretionary Trader Index	Month	10	5.68	2/2011
Trend Following Strategy Index	Month	9	1.30	11/2010
Trend Following Strategy Index	Month	10	3.30	7/2010
IASG CTA Index	5 Year Rolling	9	169.87	2004 - 2009
Diversified Trader Index	Month	6	7.01	7/2009
IASG CTA Index	Month	7	7.01	7/2009
Discretionary Trader Index	Month	2	7.01	7/2009
Trend Following Strategy Index	Month	3	7.01	7/2009
Discretionary Trader Index	Month	5	15.86	5/2009
Trend Following Strategy Index	Month	10	15.86	5/2009
Trend Following Strategy Index	Month	7	2.04	4/2009
Trend Following Strategy Index	Month	4	2.42	3/2009
Trend Following Strategy Index	Month	2	6.05	2/2009
Diversified Trader Index	Month	5	6.05	2/2009
IASG CTA Index	Month	10	6.05	2/2009
Discretionary Trader Index	Month	7	6.05	2/2009
Discretionary Trader Index	Month	8	2.17	10/2008
Discretionary Trader Index	Month	10	4.78	8/2008
IASG CTA Index	3 Year Rolling	10	97.06	2004 - 2007
Discretionary Trader Index	Month	7	6.45	10/2007
IASG CTA Index	Month	8	24.29	9/2007
Diversified Trader Index	Month	8	24.29	9/2007
Trend Following Strategy Index	Month	6	24.29	9/2007
Discretionary Trader Index	Month	2	24.29	9/2007
Discretionary Trader Index	Month	2	6.81	7/2007
Diversified Trader Index	Month	6	6.81	7/2007
Trend Following Strategy Index	Month	7	6.81	7/2007
IASG CTA Index	Month	10	6.81	7/2007
Discretionary Trader Index	Month	2	9.79	4/2007
Trend Following Strategy Index	Month	3	6.40	8/2006
Diversified Trader Index	Month	3	6.40	8/2006
Discretionary Trader Index	Month	1	6.40	8/2006
IASG CTA Index	Month	5	6.40	8/2006
Trend Following Strategy Index	Month	1	5.85	7/2006
Diversified Trader Index	Month	2	5.85	7/2006
Discretionary Trader Index	Month	2	5.85	7/2006
IASG CTA Index	Month	3	5.85	7/2006
Trend Following Strategy Index	Month	5	2.29	6/2006
Discretionary Trader Index	Month	6	2.29	6/2006
Diversified Trader Index	Month	6	2.29	6/2006
Discretionary Trader Index	Month	7	1.99	5/2006
Discretionary Trader Index	Month	5	9.11	4/2006
Discretionary Trader Index	Month	3	3.34	11/2005
Discretionary Trader Index	Month	2	9.52	9/2005
Trend Following Strategy Index	Month	6	9.52	9/2005
IASG CTA Index	Month	8	9.52	9/2005
Diversified Trader Index	Month	7	9.52	9/2005
Discretionary Trader Index	Month	10	2.07	8/2005
Diversified Trader Index	Month	5	4.80	7/2005
IASG CTA Index	Month	6	4.80	7/2005
Discretionary Trader Index	Month	4	4.80	7/2005
Trend Following Strategy Index	Month	2	4.80	7/2005
Trend Following Strategy Index	Month	2	13.42	6/2005
Diversified Trader Index	Month	2	13.42	6/2005
Discretionary Trader Index	Month	2	13.42	6/2005
IASG CTA Index	Month	4	13.42	6/2005
Trend Following Strategy Index	Month	4	10.81	2/2005
Discretionary Trader Index	Month	4	10.81	2/2005
Diversified Trader Index	Month	7	10.81	2/2005
IASG CTA Index	Month	8	10.81	2/2005
Discretionary Trader Index	Month	10	1.45	11/2004
IASG CTA Index	Month	1	29.18	9/2004
Trend Following Strategy Index	Month	1	29.18	9/2004
Discretionary Trader Index	Month	1	29.18	9/2004
Diversified Trader Index	Month	1	29.18	9/2004
Diversified Trader Index	Month	4	7.66	8/2004

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#3

Top Performer

DISCRETIONARY TRADER INDEX

AUGUST
2015

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Blackheath Fund Management Inc. : Blackheath Offshore Limited Class A

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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