Blackwater Capital Management : Tactical Equity

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

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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

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%

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.

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

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Index:

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	59.00	57.00	54.00	48.00	42.00	36.00	24.00
Percent Profitable	66.10	63.16	68.52	77.08	95.24	97.22	100.00
Average Period Return	0.22	0.91	2.15	5.26	9.94	13.41	20.81
Average Gain	1.45	3.40	5.52	8.15	10.69	13.92	20.81
Average Loss	-2.18	-3.36	-5.19	-4.47	-4.93	-4.54
Best Period	5.68	9.12	13.79	18.31	21.34	23.75	40.00
Worst Period	-6.93	-10.30	-10.37	-14.04	-9.07	-4.54	0.74
Standard Deviation	2.30	4.03	6.11	6.95	6.21	6.25	8.87
Gain Standard Deviation	1.23	1.99	3.65	4.63	5.27	5.52	8.87
Loss Standard Deviation	2.00	2.87	3.19	3.88	5.86
Sharpe Ratio (1%)	0.06	0.16	0.27	0.61	1.36	1.82	2.00
Average Gain / Average Loss	0.66	1.01	1.06	1.82	2.17	3.06
Profit / Loss Ratio	1.29	1.73	2.32	6.14	43.36	107.27
Downside Deviation (10%)	1.89	3.26	4.66	5.00	3.37	3.06	3.70
Downside Deviation (5%)	1.74	2.77	3.63	3.16	1.67	1.09	0.47
Downside Deviation (0%)	1.70	2.65	3.39	2.78	1.40	0.76
Sortino Ratio (10%)	-0.10	-0.10	-0.07	0.05	0.70	1.03	1.37
Sortino Ratio (5%)	0.08	0.24	0.46	1.35	5.06	10.44	37.96
Sortino Ratio (0%)	0.13	0.34	0.64	1.89	7.08	17.71

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.

^#9

Top Performer

STOCK INDEX TRADER INDEX

NOVEMBER
2017

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Blackwater Capital Management : Tactical Equity

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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