Blackheath Fund Management Inc. : Blackheath Tactical FI Strategy

Year-to-Date
18.02%
Aug Performance
-14.47%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.64%
Sharpe (RFR=1%)
0.79
CAROR
10.67%
Assets
$ 3.8M
Worst DD
-22.86
S&P Correlation
0.12

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
10/2011
Blackheath Tactical FI Strategy -14.47 -16.91 -18.02 -22.86 -11.56 13.47 - 123.13
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 131.11
+/- S&P 500 -12.66 -23.25 -34.75 -23.71 -44.99 -31.12 - -7.98

Strategy Description

Summary

The strategy sells short term options (generally 10 days to expiry or less) on Fixed Income (FI) futures, in particular the US Treasury Bond Futures. Positions may consist of a combination of puts and calls. Risk is closely controlled using Delta Hedging Analysis to arrive at the targeted... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
35%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
8.00%
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The strategy sells short term options (generally 10 days to expiry or less) on Fixed Income (FI) futures, in particular the US Treasury Bond Futures. Positions may consist of a combination of puts and calls. Risk is closely controlled using Delta Hedging Analysis to arrive at the targeted market exposure, while risk is monitored on a continuous basis and adjusted as needed upon changes in market.

Starting in November 2015, the track record shows the composite performance of the strategy, calculated using the Only Accounts Traded (OAT) method. From October 2011 to October 2015, (colored background), the performance shown is the proprietary, pro-forma net returns of the strategy, based on the actual trading results as observed in a single, proprietary flagship account traded under the strategy, assuming a beginning trading size of approximately US$90,000. Please note that the results for this period are based on certain assumptions that have inherent limitations, some of which are described herein. The actual broker records of this proprietary account are stated in Canadian dollars (CAD); the month-end account value was converted and restated in USD, assuming the USD/CAD exchange rate as the last price on the last trading day of each month [Data Source: Bloomberg]. Such a currency related assumption, combined with the difference in fee structure from the one assumed for this calculation, 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

It starts with the top down fundamental picture and the considers event based influences. It also incorporates trend analysis, sentiment analysis, and trader surveys.

Risk Management

Max delta of 1.5 per US $50,000 unit, with a max of four options positions per side of the market per US $50,000 unit. If the max delta level is reached, options positions are either rolled, hedged, or liquidated.

   

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
-22.86 12 - 8/1/2018 8/1/2019
-12.86 2 16 5/1/2016 7/1/2016
-10.14 2 7 4/1/2013 6/1/2013
-6.24 3 2 5/1/2015 8/1/2015
-5.84 1 2 2/1/2015 3/1/2015
-5.76 1 2 7/1/2012 8/1/2012
-3.88 2 1 3/1/2012 5/1/2012
-2.56 2 1 12/1/2017 2/1/2018
-1.72 1 1 6/1/2018 7/1/2018
-1.56 1 1 6/1/2014 7/1/2014
-1.53 1 1 4/1/2018 5/1/2018
-0.83 1 1 3/1/2016 4/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
30.05 10 9/1/2013 6/1/2014
27.75 8 9/1/2012 4/1/2013
26.80 7 8/1/2014 2/1/2015
24.34 5 11/1/2011 3/1/2012
17.44 7 9/1/2015 3/1/2016
10.62 9 4/1/2017 12/1/2017
10.58 3 8/1/2016 10/1/2016
10.40 2 6/1/2012 7/1/2012
9.24 2 4/1/2015 5/1/2015
6.24 5 12/1/2018 4/1/2019
4.21 1 8/1/2018 8/1/2018
3.47 2 3/1/2018 4/1/2018
3.36 1 12/1/2016 12/1/2016
3.33 1 7/1/2013 7/1/2013
2.93 1 6/1/2018 6/1/2018
2.68 1 5/1/2016 5/1/2016
0.66 1 2/1/2017 2/1/2017
0.62 1 7/1/2019 7/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.47 1 8/1/2019 8/1/2019
-12.86 2 6/1/2016 7/1/2016
-10.14 2 5/1/2013 6/1/2013
-8.41 2 5/1/2019 6/1/2019
-7.88 3 9/1/2018 11/1/2018
-6.24 3 6/1/2015 8/1/2015
-6.07 1 11/1/2016 11/1/2016
-5.84 1 3/1/2015 3/1/2015
-5.76 1 8/1/2012 8/1/2012
-3.88 2 4/1/2012 5/1/2012
-2.56 2 1/1/2018 2/1/2018
-2.52 1 3/1/2017 3/1/2017
-1.72 1 7/1/2018 7/1/2018
-1.56 1 7/1/2014 7/1/2014
-1.53 1 5/1/2018 5/1/2018
-0.91 1 8/1/2013 8/1/2013
-0.83 1 4/1/2016 4/1/2016
-0.53 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods95.0093.0090.0084.0078.0072.0060.0048.0036.00
Percent Profitable70.5372.0475.5685.7192.3195.8396.6797.92100.00
Average Period Return0.923.106.3213.3921.2129.8950.0470.5991.03
Average Gain2.716.009.6916.5423.4031.4752.0072.1591.03
Average Loss-3.51-4.38-4.13-5.49-5.00-6.43-6.71-2.48
Best Period8.1418.5324.3447.1362.3369.16104.19146.23163.66
Worst Period-14.47-16.91-19.38-22.86-17.15-15.84-11.56-2.4813.47
Standard Deviation3.656.168.4313.4218.3222.6633.2738.1431.10
Gain Standard Deviation1.924.026.4711.6117.2721.7632.0636.9931.10
Loss Standard Deviation3.174.034.065.956.368.166.86
Sharpe Ratio (1%)0.230.460.690.921.081.231.411.742.76
Average Gain / Average Loss0.771.372.353.014.684.897.7529.09
Profit / Loss Ratio1.923.537.2618.0956.10112.54224.791367.14
Downside Deviation (10%)2.673.633.834.624.324.375.504.582.36
Downside Deviation (5%)2.543.223.013.262.422.201.990.94
Downside Deviation (0%)2.503.122.832.992.131.891.510.36
Sortino Ratio (10%)0.190.521.001.823.154.496.2310.7026.88
Sortino Ratio (5%)0.330.881.933.808.1412.6423.6770.47
Sortino Ratio (0%)0.370.992.234.489.9815.8233.11197.18

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 7 0.62 7/2019
Option Strategy Index Month 10 -3.51 6/2019
Option Strategy Index Month 4 0.79 4/2019
Option Strategy Index Month 4 0.79 4/2019
Option Strategy Index Month 2 1.48 3/2019
Discretionary Trader Index Month 8 1.48 3/2019
Option Strategy Index Month 6 0.63 2/2019
Option Strategy Index Month 6 0.63 2/2019
Option Strategy Index Month 6 0.63 2/2019
Option Strategy Index Month 3 0.63 2/2019
Option Strategy Index Month 8 1.05 1/2019
Discretionary Trader Index Month 10 2.16 12/2018
Option Strategy Index Month 2 2.16 12/2018
Discretionary Trader Index Month 1 4.21 8/2018
Option Strategy Index Month 1 4.21 8/2018
Option Strategy Index Month 9 -1.72 7/2018
Discretionary Trader Index Month 6 2.93 6/2018
Option Strategy Index Month 2 2.93 6/2018
Option Strategy Index Month 10 0.33 4/2018
Option Strategy Index Month 10 0.33 4/2018
Option Strategy Index Month 3 3.13 3/2018
Discretionary Trader Index Month 5 3.13 3/2018
Option Strategy Index Month 4 -0.65 2/2018
Option Strategy Index Month 8 -1.92 1/2018
Option Strategy Index Month 5 0.41 12/2017
IASG CTA Index 5 Year Rolling 7 93.38 2012 - 2017
Option Strategy Index Month 5 0.84 11/2017
Option Strategy Index Month 2 2.08 10/2017
Option Strategy Index Month 6 0.85 9/2017
Option Strategy Index Month 9 0.06 7/2017
Option Strategy Index Month 6 1.29 6/2017
Option Strategy Index Month 1 3.15 5/2017
Discretionary Trader Index Month 9 3.15 5/2017
Option Strategy Index Month 9 1.35 4/2017
IASG CTA Index 5 Year Rolling 7 126.29 2011 - 2016
Option Strategy Index Month 2 3.39 12/2016
Discretionary Trader Index Month 5 3.39 12/2016
Option Strategy Index Month 5 1.58 10/2016

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