Blackheath Fund Management Inc. : Blackheath Sentiment Strategy

archived programs
Year-to-Date
N / A
Mar Performance
-2.20%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.00%
Sharpe (RFR=1%)
0.45
CAROR
9.33%
Assets
$ 15.1M
Worst DD
-33.91
S&P Correlation
0.00

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 Sentiment Strategy -2.20 - - - - -1.30 1.06 221.19
S&P 500 6.60 - - - - 55.32 59.04 281.54
+/- S&P 500 -8.80 - - - - -56.62 -57.98 -60.35

Strategy Description

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.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
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 320 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough
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

Other
100.00%
Strategy Pie Chart

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%
Composition Pie Chart

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 looks to identify: 1. Trending markets that are being ignored by speculative traders 2. Oversold or overbought markets that are ignored by speculative traders

Risk Management

Each position taken does not risk more than 3% of the Strategy assets to the initial stop. Moreover, the overall portfolio risk is monitored closely in order to moderate performance volatility. At a maximum, the Strategy will have no more than six positions, and most typically the portfolio holds three 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
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
-33.91 5 3 1/1/0001 7/1/2003
-28.61 31 - 12/1/2011 7/1/2014
-24.74 4 3 2/1/2004 6/1/2004
-14.26 6 4 2/1/2010 8/1/2010
-13.19 5 9 2/1/2008 7/1/2008
-12.53 8 2 9/1/2004 5/1/2005
-10.77 2 3 4/1/2011 6/1/2011
-9.32 7 2 8/1/2006 3/1/2007
-6.63 1 1 7/1/2007 8/1/2007
-5.34 1 1 5/1/2007 6/1/2007
-5.02 1 3 12/1/2010 1/1/2011
-3.89 2 1 1/1/2006 3/1/2006
-3.46 1 4 7/1/2009 8/1/2009
-1.20 1 1 12/1/2003 1/1/2004
-0.46 1 3 10/1/2007 11/1/2007
-0.11 1 1 9/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
79.77 5 8/1/2003 12/1/2003
40.14 3 7/1/2004 9/1/2004
37.08 6 8/1/2014 1/1/2015
36.09 6 2/1/2009 7/1/2009
31.36 4 6/1/2005 9/1/2005
30.40 2 9/1/2007 10/1/2007
26.87 5 4/1/2006 8/1/2006
21.06 6 7/1/2011 12/1/2011
19.91 3 7/1/2015 9/1/2015
16.66 4 9/1/2010 12/1/2010
13.84 3 2/1/2011 4/1/2011
12.47 2 5/1/2013 6/1/2013
10.50 1 5/1/2003 5/1/2003
10.47 2 2/1/2013 3/1/2013
10.44 2 4/1/2007 5/1/2007
10.42 1 2/1/2005 2/1/2005
10.14 2 11/1/2013 12/1/2013
9.95 3 8/1/2012 10/1/2012
9.61 1 11/1/2015 11/1/2015
8.51 6 9/1/2009 2/1/2010
8.32 2 4/1/2012 5/1/2012
8.21 3 12/1/2007 2/1/2008
6.53 3 10/1/2008 12/1/2008
6.43 1 7/1/2007 7/1/2007
5.05 1 2/1/2004 2/1/2004
4.80 1 8/1/2008 8/1/2008
4.58 1 6/1/2008 6/1/2008
4.58 3 11/1/2005 1/1/2006
3.95 1 12/1/2012 12/1/2012
3.64 2 6/1/2010 7/1/2010
3.53 2 3/1/2014 4/1/2014
1.50 1 4/1/2015 4/1/2015
1.41 1 1/1/2016 1/1/2016
1.40 1 11/1/2004 11/1/2004
0.73 1 2/1/2007 2/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.74 4 3/1/2004 6/1/2004
-23.15 4 7/1/2013 10/1/2013
-22.71 2 6/1/2003 7/1/2003
-22.62 2 3/1/2003 4/1/2003
-15.53 3 1/1/2012 3/1/2012
-13.99 3 5/1/2014 7/1/2014
-13.12 1 10/1/2015 10/1/2015
-13.09 3 3/1/2010 5/1/2010
-12.88 3 3/1/2008 5/1/2008
-12.71 2 5/1/2015 6/1/2015
-11.77 3 3/1/2005 5/1/2005
-10.77 2 5/1/2011 6/1/2011
-8.94 1 4/1/2013 4/1/2013
-8.70 2 6/1/2012 7/1/2012
-8.66 2 2/1/2016 3/1/2016
-8.52 5 9/1/2006 1/1/2007
-7.05 2 12/1/2004 1/1/2005
-7.05 1 1/1/2013 1/1/2013
-6.63 1 8/1/2007 8/1/2007
-5.82 2 2/1/2015 3/1/2015
-5.34 1 6/1/2007 6/1/2007
-5.02 1 1/1/2011 1/1/2011
-4.81 1 8/1/2010 8/1/2010
-4.74 1 10/1/2004 10/1/2004
-4.72 1 7/1/2008 7/1/2008
-4.56 1 1/1/2009 1/1/2009
-3.95 1 11/1/2012 11/1/2012
-3.89 2 2/1/2006 3/1/2006
-3.46 1 8/1/2009 8/1/2009
-2.78 1 12/1/2015 12/1/2015
-1.77 2 1/1/2014 2/1/2014
-1.59 1 3/1/2007 3/1/2007
-1.41 1 9/1/2008 9/1/2008
-1.20 1 1/1/2004 1/1/2004
-0.46 1 11/1/2007 11/1/2007
-0.11 1 10/1/2005 10/1/2005
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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 Profitable57.9660.6566.4573.2982.1484.3381.1584.5594.90
Average Period Return0.983.236.7712.3819.4025.9042.0060.2482.53
Average Gain5.1910.0214.6819.5325.4532.7853.5772.1287.24
Average Loss-4.83-7.23-8.89-7.23-8.39-11.13-7.80-4.75-5.20
Best Period29.2566.0177.6246.1976.69103.34171.47190.58232.13
Worst Period-17.78-22.81-21.89-22.31-22.46-23.53-18.20-12.21-12.63
Standard Deviation6.9312.1215.6016.1120.2025.0438.2348.6662.58
Gain Standard Deviation5.5110.2512.9012.2416.8120.7632.9143.3660.73
Loss Standard Deviation3.755.534.995.826.346.934.553.335.22
Sharpe Ratio (1%)0.130.250.400.710.890.951.021.151.24
Average Gain / Average Loss1.071.391.652.703.032.956.8715.1916.77
Profit / Loss Ratio1.482.143.277.4113.9515.8529.5683.08311.90
Downside Deviation (10%)4.176.337.187.057.459.0410.8812.0110.53
Downside Deviation (5%)4.005.826.155.194.945.855.083.722.61
Downside Deviation (0%)3.955.695.894.774.415.163.902.261.58
Sortino Ratio (10%)0.140.320.601.051.591.732.413.225.22
Sortino Ratio (5%)0.220.511.022.193.624.087.6615.1029.65
Sortino Ratio (0%)0.250.571.152.594.405.0210.7726.6752.27

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.