Blackheath Fund Management Inc. : Blackheath Volatility Arbitrage Fund, LP Class A

Year-to-Date: N / A
Jun Performance: -5.74%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 11.52%
Sharpe (RFR=1%): -0.12
CAROR: -1.04%

Assets: $ 1.6M
Worst DD: -28.66
S&P Correlation: 0.36

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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	Jun	Qtr	2019	1yr	3yr	5yr	10yr	Since 10/2010
Blackheath Volatility Arbitrage Fund, LP Class A	-5.74	-10.65	-	-26.87	-14.74	-	-	-4.87
S&P 500	-2.10	-0.23	-	5.25	51.46	-	-	74.33
+/- S&P 500	-3.64	-10.41	-	-32.12	-66.20	-	-	-79.20

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 10k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
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: 5000 RT/YR/$M
Avg. Margin-to-Equity: 25%
Targeted Worst DD: -10.00%
Worst Peak-to-Trough: 4.19%
Sector Focus: Arbitrage & Spread Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 10.00%
1-30 Days: 90.00%
Intraday: 0%

Summary

The Blackheath Volatility Arbitrage Fund, LP (the Fund) is an alpha generating fund with low correlation to equity markets. The Fund uses a proprietary trading methodology that trades volatility across a broad range of futures and futures options markets including the S&P 500, gold, natural gas, 30 year bond, crude oil, corn, soybeans and all major currencies. The Fund arbitrages the difference between implied and realized volatility. The Fund is dedicated to achieving absolute returns regardless of market trends.

The fund is only offered to Canadian Investors.

Investment Strategy

The investment process involves trading both futures and futures options to exploit the fact that implied volatility (a measure of what investors are willing to pay for options) consistently outstrips realized volatility (a determinant of the fair value of options). The investment strategy attempts to remain delta neutral and does not take a view on assets it sells or purchases. The Fund trades a diversified basket of futures and futures options. There are 20 different major contracts in which the Fund trades. The portfolio is dynamically hedged using real-time tick by tick risk monitoring driven by an in-house algorithmic risk management system. Our system monitors such variables as implied volatility and time to expiration and creates multiple stop levels for each open position. These levels are updated frequently according to the algorithm.

Risk Management

We have built a proprietary algorithmic risk management system. The system monitors all our positions in real-time. We monitor and adjust for following risks: Delta, Gamma, Tenor and Concentration Risk. The system automatically creates multiple stop levels in the underlying for each of our positions. These stop levels are updated daily.

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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.

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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
-28.66	27	-	3/1/2013	6/1/2015
-11.69	8	4	1/1/2011	9/1/2011
-5.45	2	1	4/1/2012	6/1/2012
-3.16	1	1	10/1/2010	11/1/2010
-1.41	2	1	12/1/2012	2/1/2013
-0.11	1	1	8/1/2012	9/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
23.07	7	10/1/2011	4/1/2012
14.53	2	7/1/2012	8/1/2012
8.50	2	12/1/2010	1/1/2011
8.37	3	4/1/2014	6/1/2014
5.41	1	9/1/2013	9/1/2013
4.14	3	10/1/2012	12/1/2012
3.35	1	10/1/2010	10/1/2010
2.70	2	11/1/2013	12/1/2013
1.75	1	3/1/2013	3/1/2013
1.30	1	11/1/2014	11/1/2014
0.91	1	2/1/2015	2/1/2015
0.64	2	8/1/2014	9/1/2014
0.62	2	6/1/2011	7/1/2011

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-15.53	4	3/1/2015	6/1/2015
-10.66	5	4/1/2013	8/1/2013
-8.92	4	2/1/2011	5/1/2011
-8.50	2	12/1/2014	1/1/2015
-7.59	1	10/1/2014	10/1/2014
-6.70	3	1/1/2014	3/1/2014
-5.45	2	5/1/2012	6/1/2012
-3.64	2	8/1/2011	9/1/2011
-3.16	1	11/1/2010	11/1/2010
-1.41	2	1/1/2013	2/1/2013
-0.47	1	7/1/2014	7/1/2014
-0.25	1	10/1/2013	10/1/2013
-0.11	1	9/1/2012	9/1/2012

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	57.00	55.00	52.00	46.00	40.00	34.00	22.00
Percent Profitable	49.12	52.73	53.85	54.35	57.50	73.53	77.27
Average Period Return	-0.03	0.16	0.61	3.89	7.58	10.09	14.93
Average Gain	2.58	5.22	8.10	13.55	18.83	19.07	22.06
Average Loss	-2.56	-5.48	-8.14	-7.61	-7.64	-14.87	-9.34
Best Period	7.85	14.40	20.08	33.12	39.07	32.19	35.88
Worst Period	-8.13	-12.36	-21.69	-26.87	-26.06	-22.55	-14.74
Standard Deviation	3.33	6.43	9.94	13.70	16.24	17.46	15.56
Gain Standard Deviation	1.92	3.90	5.86	10.28	10.75	9.47	8.45
Loss Standard Deviation	2.26	3.10	5.55	6.36	7.46	5.92	5.73
Sharpe Ratio (1%)	-0.03	-0.01	0.01	0.21	0.37	0.46	0.76
Average Gain / Average Loss	1.01	0.95	1.00	1.78	2.46	1.28	2.36
Profit / Loss Ratio	0.97	1.06	1.16	2.12	3.33	3.56	8.03
Downside Deviation (10%)	2.64	5.07	8.10	9.56	11.01	13.48	12.55
Downside Deviation (5%)	2.46	4.46	6.93	7.17	7.60	9.15	6.38
Downside Deviation (0%)	2.42	4.31	6.65	6.64	6.86	8.17	5.08
Sortino Ratio (10%)	-0.17	-0.21	-0.23	-0.12	0.00	-0.01	-0.07
Sortino Ratio (5%)	-0.05	-0.02	0.02	0.40	0.80	0.88	1.86
Sortino Ratio (0%)	-0.01	0.04	0.09	0.59	1.10	1.23	2.94

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Option Strategy Index	Month	10	-0.47	7/2014
Option Strategy Index	Month	5	3.40	6/2014
Option Strategy Index	Month	8	2.82	5/2014
Option Strategy Index	Month	5	1.93	4/2014
Option Strategy Index	Month	9	1.57	11/2013
Systematic Trader Index	Month	9	5.41	9/2013
Option Strategy Index	Month	4	5.41	9/2013
Option Strategy Index	Month	4	1.75	3/2013
Option Strategy Index	Month	1	7.85	8/2012
Systematic Trader Index	Month	4	7.85	8/2012
IASG CTA Index	Month	9	7.85	8/2012
Option Strategy Index	Month	1	6.19	7/2012
Option Strategy Index	Month	6	3.88	2/2012
Option Strategy Index	Month	6	3.31	1/2011
Option Strategy Index	Month	2	5.02	12/2010

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

^#10

Top Performer

OPTION STRATEGY INDEX

JULY
2014

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Blackheath Fund Management Inc. : Blackheath Volatility Arbitrage Fund, LP 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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