Blackwater Capital Management : Global Program

archived programs
Year-to-Date
N / A
Dec Performance
-1.84%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.55%
Sharpe (RFR=1%)
0.38
CAROR
5.59%
Assets
$ 22.0M
Worst DD
-32.51
S&P Correlation
-0.06

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
7/2005
Global Program -1.84 -0.39 - -6.00 -4.92 -6.40 2.99 108.29
S&P 500 -9.18 -13.97 - -6.24 21.41 34.26 174.69 101.03
+/- S&P 500 7.34 13.58 - 0.23 -26.33 -40.66 -171.70 7.26

Strategy Description

Summary

Blackwater Capital Management utilizes a medium term, systematic, technical model developed to capitalize on directional moves in global futures and FX markets. The managed futures program is based on price and volatility patterns observed over... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
1300 RT/YR/$M
Avg. Margin-to-Equity
17%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
26.00%
Currency Futures
24.00%
Stock Indices
18.00%
Energy
14.00%
Grains
9.00%
Industrial Metals
6.00%
Precious Metals
3.00%
Composition Pie Chart

Summary

Blackwater Capital Management utilizes a medium term, systematic, technical model developed to capitalize on directional moves in global futures and FX markets. The managed futures program is based on price and volatility patterns observed over many years of research and trading, incorporating chart based rules that interpret market behavior. The model is designed to establish positions when markets exhibit a high probability of a developing, sustained move, while quickly exiting after profit objectives have been reached, limiting sharp reversals and drawdowns. Proprietary indicators reduce trading in range bound, trendless markets. Blackwater's strategy includes strict money management techniques based on the individual market, sector, and portfolio levels.

   

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
-32.51 64 - 9/1/2011 1/1/2017
-15.11 7 9 8/1/2005 3/1/2006
-10.56 8 5 11/1/2009 7/1/2010
-9.95 3 2 12/1/2008 3/1/2009
-9.63 2 3 4/1/2011 6/1/2011
-9.41 1 2 7/1/2007 8/1/2007
-5.73 1 2 6/1/2008 7/1/2008
-2.29 1 1 9/1/2009 10/1/2009
-2.12 2 1 10/1/2007 12/1/2007
-1.23 1 1 5/1/2009 6/1/2009
-1.05 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
33.03 6 1/1/2008 6/1/2008
30.80 11 9/1/2006 7/1/2007
24.08 5 8/1/2008 12/1/2008
17.72 2 4/1/2009 5/1/2009
16.36 3 12/1/2010 2/1/2011
16.26 2 9/1/2007 10/1/2007
13.42 6 4/1/2014 9/1/2014
13.15 3 4/1/2006 6/1/2006
11.10 7 7/1/2017 1/1/2018
11.06 3 8/1/2010 10/1/2010
10.25 1 9/1/2011 9/1/2011
9.92 3 7/1/2009 9/1/2009
8.06 1 4/1/2011 4/1/2011
7.29 1 7/1/2011 7/1/2011
6.89 2 6/1/2016 7/1/2016
6.29 2 2/1/2010 3/1/2010
5.98 1 7/1/2012 7/1/2012
5.48 1 11/1/2009 11/1/2009
5.12 2 1/1/2016 2/1/2016
4.81 2 3/1/2013 4/1/2013
4.65 3 10/1/2013 12/1/2013
4.64 2 7/1/2005 8/1/2005
4.54 1 5/1/2012 5/1/2012
4.38 2 11/1/2012 12/1/2012
4.36 4 2/1/2017 5/1/2017
4.19 1 1/1/2015 1/1/2015
3.09 1 9/1/2015 9/1/2015
2.63 1 2/1/2012 2/1/2012
1.56 1 11/1/2018 11/1/2018
1.49 1 6/1/2010 6/1/2010
1.25 1 11/1/2015 11/1/2015
0.92 1 12/1/2011 12/1/2011
0.49 1 9/1/2016 9/1/2016
0.23 1 7/1/2013 7/1/2013
0.21 1 5/1/2015 5/1/2015
0.18 1 4/1/2018 4/1/2018
0.16 1 12/1/2016 12/1/2016
0.16 1 7/1/2015 7/1/2015
0.05 1 2/1/2006 2/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.32 5 9/1/2005 1/1/2006
-13.33 2 10/1/2011 11/1/2011
-12.41 1 6/1/2012 6/1/2012
-9.95 3 1/1/2009 3/1/2009
-9.63 2 5/1/2011 6/1/2011
-9.41 1 8/1/2007 8/1/2007
-8.94 2 10/1/2016 11/1/2016
-7.83 2 12/1/2009 1/1/2010
-7.29 3 8/1/2012 10/1/2012
-7.28 3 1/1/2014 3/1/2014
-6.86 3 3/1/2016 5/1/2016
-5.98 6 5/1/2018 10/1/2018
-5.98 2 3/1/2012 4/1/2012
-5.73 1 7/1/2008 7/1/2008
-5.46 2 4/1/2010 5/1/2010
-5.23 2 5/1/2013 6/1/2013
-5.12 1 8/1/2016 8/1/2016
-5.09 3 10/1/2014 12/1/2014
-4.94 3 2/1/2015 4/1/2015
-4.85 1 7/1/2010 7/1/2010
-4.63 2 8/1/2013 9/1/2013
-4.37 1 11/1/2010 11/1/2010
-4.09 2 7/1/2006 8/1/2006
-3.18 1 1/1/2012 1/1/2012
-2.73 1 8/1/2011 8/1/2011
-2.64 2 2/1/2018 3/1/2018
-2.29 1 10/1/2009 10/1/2009
-2.12 2 11/1/2007 12/1/2007
-1.99 1 10/1/2015 10/1/2015
-1.84 1 12/1/2018 12/1/2018
-1.74 1 6/1/2015 6/1/2015
-1.24 1 6/1/2017 6/1/2017
-1.23 1 6/1/2009 6/1/2009
-1.07 1 8/1/2015 8/1/2015
-1.05 1 3/1/2011 3/1/2011
-1.00 2 1/1/2013 2/1/2013
-0.97 1 3/1/2006 3/1/2006
-0.24 1 12/1/2015 12/1/2015
-0.20 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods162.00160.00157.00151.00145.00139.00127.00115.00103.00
Percent Profitable55.5656.8856.6958.2863.4558.2750.3950.4353.40
Average Period Return0.541.603.317.7512.5417.5927.6935.6540.47
Average Gain3.166.0710.1218.0924.2936.1162.2579.4284.02
Average Loss-2.73-4.30-5.61-6.69-7.85-8.27-7.42-8.90-9.43
Best Period15.1224.8738.0155.6173.8897.63139.00164.59202.71
Worst Period-12.41-12.53-17.54-24.87-23.56-27.87-27.11-24.94-25.85
Standard Deviation4.206.9610.3116.7723.8132.3847.6960.2368.20
Gain Standard Deviation3.325.618.2714.4122.2830.8145.3957.3267.76
Loss Standard Deviation2.563.083.935.025.736.196.526.017.54
Sharpe Ratio (1%)0.110.190.270.400.460.480.520.520.52
Average Gain / Average Loss1.161.411.802.713.094.378.398.928.91
Profit / Loss Ratio1.441.862.363.785.376.108.529.0810.21
Downside Deviation (10%)2.704.155.928.2810.1712.8517.6022.5227.24
Downside Deviation (5%)2.533.604.775.926.627.748.6710.0511.20
Downside Deviation (0%)2.493.474.505.385.866.656.937.548.21
Sortino Ratio (10%)0.050.090.140.330.490.570.680.630.47
Sortino Ratio (5%)0.180.370.591.141.672.012.843.143.16
Sortino Ratio (0%)0.220.460.741.442.142.643.994.734.93

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 10.25 9/2011
Trend Following Strategy Index Month 10 5.18 7/2009
Trend Following Strategy Index Month 6 2.26 4/2009
Trend Following Strategy Index Month 4 2.14 3/2007
Trend Following Strategy Index Month 10 1.35 6/2006

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