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

archived programs
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

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 YTD 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

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,... Read More

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%

Decision-Making

Discretionary
Systematic
100.00%

Strategy

Option-purchasing
10.00%
Option-writing
90.00%
Strategy Pie Chart

Composition

Currency Futures
27.00%
Grains
21.00%
Energy
20.00%
Precious Metals
13.00%
Interest Rates
12.00%
Stock Indices
7.00%
Composition Pie Chart

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.

   

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:
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Risk
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable49.1252.7353.8554.3557.5073.5377.27
Average Period Return-0.030.160.613.897.5810.0914.93
Average Gain2.585.228.1013.5518.8319.0722.06
Average Loss-2.56-5.48-8.14-7.61-7.64-14.87-9.34
Best Period7.8514.4020.0833.1239.0732.1935.88
Worst Period-8.13-12.36-21.69-26.87-26.06-22.55-14.74
Standard Deviation3.336.439.9413.7016.2417.4615.56
Gain Standard Deviation1.923.905.8610.2810.759.478.45
Loss Standard Deviation2.263.105.556.367.465.925.73
Sharpe Ratio (1%)-0.03-0.010.010.210.370.460.76
Average Gain / Average Loss1.010.951.001.782.461.282.36
Profit / Loss Ratio0.971.061.162.123.333.568.03
Downside Deviation (10%)2.645.078.109.5611.0113.4812.55
Downside Deviation (5%)2.464.466.937.177.609.156.38
Downside Deviation (0%)2.424.316.656.646.868.175.08
Sortino Ratio (10%)-0.17-0.21-0.23-0.120.00-0.01-0.07
Sortino Ratio (5%)-0.05-0.020.020.400.800.881.86
Sortino Ratio (0%)-0.010.040.090.591.101.232.94

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.