Blackheath Fund Management Inc. : Blackheath Volatility Arbitrage Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance -5.04% Min Investment $ 285k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 11.59% Sharpe (RFR=1%) 0.46 CAROR 5.78% Assets $ 3.6M Worst DD -30.55 S&P Correlation 0.40 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 Aug Qtr 2020 1yr 3yr 5yr 10yr Since1/2009 Blackheath Volatility Arbitrage Strategy -5.04 - - - - - -8.68 45.40 S&P 500 -6.26 - - - - - 61.58 350.10 +/- S&P 500 1.22 - - - - - -70.27 -304.69 Strategy Description SummaryThe Blackheath Volatility Arbitrage Strategy is an alpha generating strategy with low correlation to equity markets. The Strategy 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... Read More Account & Fees Type Managed Account Minimum Investment $ 285k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 2.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $6.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 5000 RT/YR/$M Avg. Margin-to-Equity 25% Targeted Worst DD Worst Peak-to-Trough 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 0% Systematic 100.00% Strategy Option-purchasing 10.00% Option-writing 90.00% Composition Currency Futures 27.00% Grains 21.00% Energy 20.00% Precious Metals 13.00% Interest Rates 12.00% Stock Indices 7.00% SummaryThe Blackheath Volatility Arbitrage Strategy is an alpha generating strategy with low correlation to equity markets. The Strategy 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 Strategy arbitrages the difference between implied and realized volatility. The Strategy is dedicated to achieving absolute returns regardless of market trends.Investment StrategyThe 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 Strategy trades a diversified basket of futures and futures options. There are 15 different major contracts in which the Strategy 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 ManagementWe 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. 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 -30.55 32 - 12/1/2012 8/1/2015 -10.60 8 4 1/1/2011 9/1/2011 -5.74 2 1 4/1/2012 6/1/2012 -5.04 1 2 4/1/2010 5/1/2010 -3.87 1 1 10/1/2010 11/1/2010 -1.57 1 1 2/1/2009 3/1/2009 -0.67 1 1 7/1/2010 8/1/2010 -0.37 1 1 1/1/0001 1/1/2009 -0.25 1 1 8/1/2012 9/1/2012 -0.09 1 1 12/1/2009 1/1/2010 Show More Consecutive Gains Run-up Length (Mos.) Start End 36.59 9 4/1/2009 12/1/2009 25.79 7 10/1/2011 4/1/2012 15.36 2 7/1/2012 8/1/2012 11.92 3 2/1/2010 4/1/2010 8.38 3 4/1/2014 6/1/2014 7.84 2 12/1/2010 1/1/2011 6.28 2 6/1/2010 7/1/2010 5.25 1 9/1/2013 9/1/2013 4.98 2 9/1/2010 10/1/2010 4.32 3 10/1/2012 12/1/2012 2.50 2 11/1/2013 12/1/2013 1.73 1 3/1/2013 3/1/2013 1.60 1 7/1/2015 7/1/2015 1.32 1 11/1/2014 11/1/2014 1.08 1 2/1/2015 2/1/2015 0.70 1 2/1/2009 2/1/2009 0.68 2 8/1/2014 9/1/2014 0.67 2 6/1/2011 7/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -14.63 4 3/1/2015 6/1/2015 -10.73 5 4/1/2013 8/1/2013 -8.28 4 2/1/2011 5/1/2011 -8.06 2 12/1/2014 1/1/2015 -7.86 1 10/1/2014 10/1/2014 -6.51 3 1/1/2014 3/1/2014 -5.74 2 5/1/2012 6/1/2012 -5.04 1 8/1/2015 8/1/2015 -5.04 1 5/1/2010 5/1/2010 -3.87 1 11/1/2010 11/1/2010 -3.18 2 8/1/2011 9/1/2011 -1.94 2 1/1/2013 2/1/2013 -1.57 1 3/1/2009 3/1/2009 -0.67 1 8/1/2010 8/1/2010 -0.58 1 7/1/2014 7/1/2014 -0.37 1 1/1/2009 1/1/2009 -0.26 1 10/1/2013 10/1/2013 -0.25 1 9/1/2012 9/1/2012 -0.09 1 1/1/2010 1/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00 Percent Profitable56.2560.2665.3365.2266.6780.7084.4493.94 Average Period Return0.521.794.229.5614.3319.0533.7344.03 Average Gain2.856.3310.9619.4825.8027.4642.2946.96 Average Loss-2.47-5.09-8.48-9.04-8.61-16.13-12.73-1.49 Best Period8.3415.0724.1449.0956.8965.1582.88111.49 Worst Period-7.86-11.71-20.45-28.36-24.98-22.01-27.73-2.65 Standard Deviation3.356.8011.4618.1221.3322.2628.4535.61 Gain Standard Deviation1.944.297.3213.6415.8315.3521.6134.72 Loss Standard Deviation2.173.065.407.818.255.348.621.64 Sharpe Ratio (1%)0.130.230.320.470.600.771.081.12 Average Gain / Average Loss1.161.241.292.153.001.703.3231.52 Profit / Loss Ratio1.491.882.444.045.997.1218.04488.61 Downside Deviation (10%)2.374.427.179.4610.4611.9911.839.22 Downside Deviation (5%)2.203.876.147.447.468.286.971.51 Downside Deviation (0%)2.163.735.896.986.817.435.920.47 Sortino Ratio (10%)0.050.130.240.480.640.731.522.44 Sortino Ratio (5%)0.200.400.611.151.722.064.4126.50 Sortino Ratio (0%)0.240.480.721.372.112.565.6994.66 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. x {{title}} x {{title}} Add Cancel