Blackheath Fund Management Inc. : Blackheath Offshore Limited Class A Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since3/2003 Blackheath Offshore Limited Class A -1.87 - - - - -13.25 16.44 238.75 S&P 500 6.60 - - - - 55.32 59.04 308.42 +/- S&P 500 -8.47 - - - - -68.58 -42.60 -69.66 Strategy Description SummaryBlackheath 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 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% Decision-Making Discretionary 70.00% Systematic 30.00% Strategy Trend-following 50.00% Other 50.00% Composition Precious Metals 29.00% Currency Futures 26.00% Softs 21.00% Energy 13.00% Grains 6.00% Livestock 4.00% Interest Rates 1.00% SummaryBlackheath 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 StrategyBlackheath’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 ManagementMax 6 positions, 3% portfolio max risk per position 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00 Percent Profitable57.9661.9465.7973.2982.8684.3382.7985.4594.90 Average Period Return1.033.387.0512.9020.2227.1444.3163.7287.62 Average Gain5.4110.2415.4320.3326.1334.1955.2875.2592.55 Average Loss-5.02-7.79-9.08-7.47-8.35-10.81-8.48-4.06-4.09 Best Period29.2967.0379.3248.3677.92105.65177.92197.44244.25 Worst Period-17.83-23.02-22.12-22.55-22.53-23.33-18.21-13.01-11.26 Standard Deviation7.1612.5316.1316.6720.7025.8539.5350.4465.02 Gain Standard Deviation5.6710.4913.2712.6517.4621.5534.3645.3363.04 Loss Standard Deviation3.835.655.085.666.106.914.093.844.95 Sharpe Ratio (1%)0.130.250.410.710.900.971.041.181.27 Average Gain / Average Loss1.081.311.702.723.133.166.5218.5422.64 Profit / Loss Ratio1.492.143.277.4615.1317.0231.35108.94421.08 Downside Deviation (10%)4.306.557.377.117.278.9110.7211.479.99 Downside Deviation (5%)4.126.056.335.254.775.735.063.442.35 Downside Deviation (0%)4.085.926.074.824.255.043.892.101.36 Sortino Ratio (10%)0.140.330.621.111.741.902.663.686.01 Sortino Ratio (5%)0.230.521.032.273.924.388.1617.3535.06 Sortino Ratio (0%)0.250.571.162.684.765.3811.3930.3564.34 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 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 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. x {{title}} x {{title}} Add Cancel