Blackwater Capital Management : Tactical Equity

archived programs
Year-to-Date
N / A
Oct Performance
-6.24%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.98%
Sharpe (RFR=1%)
0.20
CAROR
2.31%
Assets
$ 10.0M
Worst DD
-16.01
S&P Correlation
0.16

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
12/2013
Tactical Equity -6.24 -8.52 - -14.04 0.73 - - 11.86
S&P 500 -6.94 -3.71 - 5.30 29.10 - - 45.23
+/- S&P 500 0.70 -4.80 - -19.34 -28.36 - - -33.37

Strategy Description

Summary

Blackwater Tactical Equity seeks to capitalize on short-term momentum reversals in global stock index futures once it determines a market’s primary direction. This program, while fully technical, is neither trend following nor mean reverting, rather is looks for retracement trading... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$6.00
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
400 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
10.30%
Sector Focus
Stock Index 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
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Blackwater Tactical Equity seeks to capitalize on short-term momentum reversals in global stock index futures once it determines a market’s primary direction. This program, while fully technical, is neither trend following nor mean reverting, rather is looks for retracement trading opportunities. This program is truly tactical in that it is as highly selective and generally positioned only 60% of the time and those positions are typically held only 4-7 days.

   

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
-16.01 9 - 1/1/2018 10/1/2018
-10.30 3 6 9/1/2014 12/1/2014
-3.17 2 4 12/1/2013 2/1/2014
-2.95 5 1 12/1/2015 5/1/2016
-2.38 1 1 7/1/2014 8/1/2014
-1.17 1 2 12/1/2016 1/1/2017
-1.10 1 2 6/1/2016 7/1/2016
-0.75 1 1 7/1/2015 8/1/2015
-0.24 1 1 5/1/2017 6/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
14.81 7 1/1/2015 7/1/2015
7.83 4 2/1/2017 5/1/2017
6.89 5 3/1/2014 7/1/2014
6.69 7 7/1/2017 1/1/2018
4.44 5 8/1/2016 12/1/2016
4.34 1 6/1/2016 6/1/2016
3.83 4 9/1/2015 12/1/2015
2.67 1 9/1/2014 9/1/2014
1.97 1 12/1/2013 12/1/2013
1.82 1 2/1/2016 2/1/2016
1.80 2 6/1/2018 7/1/2018
0.78 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.30 3 10/1/2014 12/1/2014
-8.52 3 8/1/2018 10/1/2018
-6.93 1 2/1/2018 2/1/2018
-3.85 2 4/1/2018 5/1/2018
-3.17 2 1/1/2014 2/1/2014
-2.79 3 3/1/2016 5/1/2016
-2.38 1 8/1/2014 8/1/2014
-1.95 1 1/1/2016 1/1/2016
-1.17 1 1/1/2017 1/1/2017
-1.10 1 7/1/2016 7/1/2016
-0.75 1 8/1/2015 8/1/2015
-0.24 1 6/1/2017 6/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods59.0057.0054.0048.0042.0036.0024.00
Percent Profitable66.1063.1668.5277.0895.2497.22100.00
Average Period Return0.220.912.155.269.9413.4120.81
Average Gain1.453.405.528.1510.6913.9220.81
Average Loss-2.18-3.36-5.19-4.47-4.93-4.54
Best Period5.689.1213.7918.3121.3423.7540.00
Worst Period-6.93-10.30-10.37-14.04-9.07-4.540.74
Standard Deviation2.304.036.116.956.216.258.87
Gain Standard Deviation1.231.993.654.635.275.528.87
Loss Standard Deviation2.002.873.193.885.86
Sharpe Ratio (1%)0.060.160.270.611.361.822.00
Average Gain / Average Loss0.661.011.061.822.173.06
Profit / Loss Ratio1.291.732.326.1443.36107.27
Downside Deviation (10%)1.893.264.665.003.373.063.70
Downside Deviation (5%)1.742.773.633.161.671.090.47
Downside Deviation (0%)1.702.653.392.781.400.76
Sortino Ratio (10%)-0.10-0.10-0.070.050.701.031.37
Sortino Ratio (5%)0.080.240.461.355.0610.4437.96
Sortino Ratio (0%)0.130.340.641.897.0817.71

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 9 1.59 11/2017
Stock Index Trader Index Month 7 1.51 7/2017
Stock Index Trader Index Month 7 1.72 5/2017
Stock Index Trader Index Month 5 2.30 4/2017
Stock Index Trader Index Month 5 2.53 3/2017
Systematic Trader Index Month 9 2.53 3/2017
Stock Index Trader Index Month 5 1.07 2/2017
Stock Index Trader Index Month 4 3.23 9/2016
Stock Index Trader Index Month 2 4.34 6/2016
Stock Index Trader Index Month 7 1.82 2/2016
Stock Index Trader Index Month 10 2.67 9/2015
Systematic Trader Index Month 8 5.68 6/2015
Stock Index Trader Index Month 2 5.68 6/2015
Stock Index Trader Index Month 10 1.87 4/2015

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