Blackheath Fund Management Inc. : Tactical FI Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance 9.21% Min Investment $ 50k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 12.46% Sharpe (RFR=1%) 0.80 CAROR 10.69% Assets $ 1.9M Worst DD -26.12 S&P Correlation 0.08 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 YTD 1yr 3yr 5yr 10yr Since10/2011 Tactical FI Strategy 9.21 - - 0.18 -13.90 -9.06 - 133.39 S&P 500 7.01 - - 19.61 40.39 75.68 - 193.32 +/- S&P 500 2.20 - - -19.42 -54.29 -84.74 - -59.93 Strategy Description SummaryThe 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% Composition Interest Rates 100.00% SummaryThe 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 StrategyIt starts with the top down fundamental picture and the considers event based influences. It also incorporates trend analysis, sentiment analysis, and trader surveys. Risk ManagementMax 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. 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 -26.12 23 - 8/1/2018 7/1/2020 -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 Show More 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 9.21 1 8/1/2020 8/1/2020 8.59 4 11/1/2019 2/1/2020 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 2.16 1 5/1/2020 5/1/2020 1.02 1 9/1/2019 9/1/2019 0.66 1 2/1/2017 2/1/2017 0.62 1 7/1/2019 7/1/2019 Show More 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 -8.40 2 3/1/2020 4/1/2020 -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 -5.03 2 6/1/2020 7/1/2020 -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 -1.75 1 10/1/2019 10/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods107.00105.00102.0096.0090.0084.0072.0060.0048.00 Percent Profitable69.1669.5268.6376.0480.0082.1480.5678.3391.67 Average Period Return0.862.484.769.8516.0023.1239.7554.3568.83 Average Gain2.745.799.5916.3823.4031.4752.0072.1575.70 Average Loss-3.44-5.06-5.80-10.85-13.62-15.28-10.99-10.01-6.79 Best Period9.2118.5324.3447.1362.3369.16104.19146.23163.66 Worst Period-14.47-16.91-21.77-22.86-22.30-23.01-19.27-17.76-7.79 Standard Deviation3.686.459.4815.8521.6826.8138.2047.2847.37 Gain Standard Deviation2.023.936.4211.6117.2721.7632.0636.9943.27 Loss Standard Deviation3.014.365.797.397.386.294.714.071.66 Sharpe Ratio (1%)0.210.350.450.560.670.790.961.061.35 Average Gain / Average Loss0.801.141.651.511.722.064.737.2011.15 Profit / Loss Ratio1.842.613.624.796.879.4819.6026.05122.67 Downside Deviation (10%)2.664.205.648.5810.1811.3112.4015.0513.36 Downside Deviation (5%)2.523.774.766.797.487.756.506.803.53 Downside Deviation (0%)2.483.664.556.386.886.955.245.002.00 Sortino Ratio (10%)0.170.300.410.570.831.141.942.183.08 Sortino Ratio (5%)0.310.590.901.301.942.735.657.4018.06 Sortino Ratio (0%)0.350.681.051.542.323.337.5810.8634.36 Top Performer Badges Index Award Type Rank Performance Period Option Strategy Index Month 5 0.00 9/2020 IASG CTA Index Month 6 9.21 8/2020 Option Strategy Index Month 1 9.21 8/2020 Discretionary Trader Index Month 2 9.21 8/2020 Option Strategy Index Month 9 -4.21 7/2020 Option Strategy Index Month 8 -0.86 6/2020 Option Strategy Index Month 1 2.16 5/2020 Discretionary Trader Index Month 6 2.16 5/2020 Option Strategy Index Month 8 -6.17 4/2020 Option Strategy Index Month 8 -6.17 4/2020 Option Strategy Index Month 5 -2.38 3/2020 Discretionary Trader Index Month 8 3.23 2/2020 Option Strategy Index Month 1 3.23 2/2020 Option Strategy Index Month 3 0.76 1/2020 Discretionary Trader Index Month 10 0.76 1/2020 Option Strategy Index Month 7 0.51 12/2019 IASG CTA Index Month 4 3.87 11/2019 Option Strategy Index Month 1 3.87 11/2019 Discretionary Trader Index Month 2 3.87 11/2019 Option Strategy Index Month 10 -1.75 10/2019 Option Strategy Index Month 4 1.02 9/2019 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 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 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 Option Strategy Index Month 2 2.93 6/2018 Discretionary Trader Index Month 6 2.93 6/2018 Option Strategy Index Month 10 0.33 4/2018 Discretionary Trader Index Month 5 3.13 3/2018 Option Strategy Index Month 3 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 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 Option Strategy Index Month 2 3.39 12/2016 IASG CTA Index 5 Year 7 126.29 2011 - 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. x {{title}} x {{title}} Add Cancel