Blackheath Fund Management Inc. : Blackheath Volatility Arbitrage Strategy

archived programs
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

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
1/2009
Blackheath Volatility Arbitrage Strategy -5.04 - - - - 0.00 -3.83 45.40
S&P 500 -6.26 - - - - 87.92 61.58 319.45
+/- S&P 500 1.22 - - - - -87.92 -65.42 -274.04

Strategy Description

Summary

The 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%
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 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 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 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 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:
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
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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
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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
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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.