Blake Capital Management, Inc. : SRD Currencies

Year-to-Date
0.90%
Jul Performance
-0.07%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
33.30%
Annualized Vol
0.94%
Sharpe (RFR=1%)
-1.88
CAROR
-0.77%
Assets
$ 192k
Worst DD
-5.09
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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
3/2013
SRD Currencies -0.07 -0.37 -0.90 -1.25 -3.11 -3.18 - -4.83
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 - 88.00
+/- S&P 500 -1.38 -1.54 -19.78 -7.07 -38.83 -55.98 - -92.83

Strategy Description

Summary

The SRD Currency program trades CME Group's Currency Futures. Positions are generally held intraday, and we close out positions before weekends or holidays, to pare risk. Every trade uses a stop-loss order for protection, and generally seeks a multiple of any amount risked. All... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
33.30%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-9.00%
Worst Peak-to-Trough
0%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
30.00%
Intraday
70.00%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

The SRD Currency program trades CME Group's Currency Futures. Positions are generally held intraday, and we close out positions before weekends or holidays, to pare risk. Every trade uses a stop-loss order for protection, and generally seeks a multiple of any amount risked. All of our programs are exclusively focused on pattern recognition strategies and proactive risk-management. See our most recent Disclosure Document for more information.

Investment Strategy

This FX Futures trading program is intended to be uncorrelated to stock market performance. We risk capital to seek exposure to currency fluctuations.

Risk Management

Every trade to establish a new position accompanies a new stop-loss order for protection. Program trades in most liquid FX futures markets, such as Euro FX and Great British Pound futures ("6E" and "6B"). VAR and market impact are considered when devising and executing strategy. The risk profile for a typical trade idea is approximately 0.25% of total account equity.

   

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
-5.09 72 - 7/1/2013 7/1/2019
-0.85 3 2 1/1/0001 5/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
1.13 2 6/1/2013 7/1/2013
0.76 2 12/1/2014 1/1/2015
0.49 1 12/1/2016 12/1/2016
0.48 1 6/1/2016 6/1/2016
0.41 1 3/1/2014 3/1/2014
0.37 2 8/1/2015 9/1/2015
0.32 1 3/1/2016 3/1/2016
0.29 2 11/1/2017 12/1/2017
0.26 1 11/1/2015 11/1/2015
0.17 1 10/1/2018 10/1/2018
0.17 1 3/1/2015 3/1/2015
0.15 2 12/1/2013 1/1/2014
0.14 1 5/1/2018 5/1/2018
0.09 2 8/1/2014 9/1/2014
0.08 1 8/1/2018 8/1/2018
0.06 2 2/1/2017 3/1/2017
0.05 1 5/1/2014 5/1/2014
0.05 1 6/1/2017 6/1/2017
0.03 2 9/1/2016 10/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.69 4 8/1/2013 11/1/2013
-1.25 9 11/1/2018 7/1/2019
-0.85 3 3/1/2013 5/1/2013
-0.71 3 12/1/2015 2/1/2016
-0.70 4 1/1/2018 4/1/2018
-0.59 2 4/1/2017 5/1/2017
-0.50 4 7/1/2017 10/1/2017
-0.48 1 10/1/2015 10/1/2015
-0.46 1 4/1/2014 4/1/2014
-0.45 4 4/1/2015 7/1/2015
-0.42 2 6/1/2018 7/1/2018
-0.41 2 4/1/2016 5/1/2016
-0.35 1 1/1/2017 1/1/2017
-0.35 2 6/1/2014 7/1/2014
-0.33 2 10/1/2014 11/1/2014
-0.31 2 7/1/2016 8/1/2016
-0.25 1 9/1/2018 9/1/2018
-0.12 1 11/1/2016 11/1/2016
-0.10 1 2/1/2015 2/1/2015
-0.08 1 2/1/2014 2/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods77.0075.0072.0066.0060.0054.0042.0030.00
Percent Profitable35.0626.6719.4418.183.331.850.000.00
Average Period Return-0.06-0.18-0.35-0.62-0.88-1.12-1.63-2.19
Average Gain0.200.250.250.180.180.00
Average Loss-0.21-0.33-0.49-0.80-0.92-1.14-1.63-2.19
Best Period1.011.120.630.530.250.00-0.29-1.33
Worst Period-0.96-1.63-1.54-1.97-2.15-2.38-3.11-3.39
Standard Deviation0.270.370.400.530.600.700.720.66
Gain Standard Deviation0.230.270.210.160.10
Loss Standard Deviation0.160.260.280.400.580.690.720.66
Sharpe Ratio (1%)-0.54-1.16-2.12-3.06-3.98-4.48-6.44-9.54
Average Gain / Average Loss0.960.750.510.230.190.00
Profit / Loss Ratio0.530.270.120.050.010.00
Downside Deviation (10%)0.541.452.855.658.4911.3917.4123.75
Downside Deviation (5%)0.270.550.941.712.463.204.726.29
Downside Deviation (0%)0.210.360.510.811.061.311.782.29
Sortino Ratio (10%)-0.88-0.97-0.99-1.00-1.00-1.00-1.00-1.00
Sortino Ratio (5%)-0.55-0.78-0.91-0.95-0.97-0.98-0.99-0.99
Sortino Ratio (0%)-0.30-0.49-0.69-0.77-0.83-0.85-0.92-0.96

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.