Blake Capital Management, Inc. : SRD Short Equities

Year-to-Date
0.06%
Oct Performance
-0.11%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
33.30%
Annualized Vol
0.90%
Sharpe (RFR=1%)
-1.96
CAROR
-0.76%
Assets
$ 198k
Worst DD
-6.75
S&P Correlation
0.15

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
1/2011
SRD Short Equities -0.11 -0.55 -0.06 -0.23 -0.78 -1.55 - -6.51
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 133.75
+/- S&P 500 -2.15 -2.47 -21.23 -12.24 -42.20 -50.54 - -140.25

Strategy Description

Summary

The SRD Short Equities program trades the E-Mini S&P 500 future contract with a bearish directional bias (betting the stock market will decline). SRD Short Equities attempts to “sell resistances” in the market, seeking to benefit from short or medium-term tops. This trading program... 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
10%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
10.00%
Intraday
90.00%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The SRD Short Equities program trades the E-Mini S&P 500 future contract with a bearish directional bias (betting the stock market will decline). SRD Short Equities attempts to “sell resistances” in the market, seeking to benefit from short or medium-term tops. This trading program uses stops for protection and seeks a multiple of any amount risked. This program may be considered an appropriate compliment to individuals and institutions that are passively long equities, or those desiring an actively-managed trading program that generally goes short the stock market. Because of this program’s meticulous risk-management, we believe it may serve as a stand-alone, institutional-grade trading solution to today’s volatile equity markets.

Investment Strategy

Traders may conceive supports as "floors" and resistances as "ceilings." When a floor breaks it may later become a ceiling, and vice-versa. This simple mechanism gives the Manager many of its signals. Other proprietary strategies include anticipating short-term exhaustion points based on pattern recognition. The program is 100% technical and mostly systematic in nature, and operates on a short-term time horizon, rarely holding positions overnight or into the weekend. Risk management is always priority number one.

Risk Management

Limit orders to initiate a position and stop orders to close a losing position are entered together, without exception. The Manager generally intends to risk approximately 0.25% of client equity per trade idea. The SRD Short Equities program is for sophisticated investors, though daily VAR is generally 2% or less of 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
-6.75 -1 - 1/1/0001 6/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
1.67 3 2/1/2012 4/1/2012
0.94 2 5/1/2011 6/1/2011
0.81 1 7/1/2019 7/1/2019
0.27 1 11/1/2011 11/1/2011
0.25 1 8/1/2012 8/1/2012
0.19 1 10/1/2017 10/1/2017
0.19 1 3/1/2013 3/1/2013
0.17 1 5/1/2018 5/1/2018
0.15 2 8/1/2014 9/1/2014
0.11 1 5/1/2014 5/1/2014
0.10 1 11/1/2014 11/1/2014
0.04 1 7/1/2013 7/1/2013
0.03 1 1/1/2014 1/1/2014
0.02 1 7/1/2018 7/1/2018
0.02 1 9/1/2013 9/1/2013
0.02 1 3/1/2011 3/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.43 4 7/1/2011 10/1/2011
-1.38 3 4/1/2013 6/1/2013
-1.24 6 9/1/2012 2/1/2013
-1.22 2 12/1/2011 1/1/2012
-1.16 3 5/1/2012 7/1/2012
-0.88 34 12/1/2014 9/1/2017
-0.85 11 8/1/2018 6/1/2019
-0.71 2 1/1/2011 2/1/2011
-0.55 3 8/1/2019 10/1/2019
-0.49 6 11/1/2017 4/1/2018
-0.48 1 4/1/2011 4/1/2011
-0.40 3 2/1/2014 4/1/2014
-0.32 1 10/1/2014 10/1/2014
-0.18 1 8/1/2013 8/1/2013
-0.14 2 6/1/2014 7/1/2014
-0.13 3 10/1/2013 12/1/2013
-0.08 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods106.00104.00101.0095.0089.0083.0071.0059.0047.00
Percent Profitable18.8714.428.913.162.252.410.000.000.00
Average Period Return-0.06-0.18-0.35-0.73-1.07-1.41-2.00-2.62-3.27
Average Gain0.250.390.290.150.120.12
Average Loss-0.23-0.42-0.57-0.95-1.28-1.59-2.00-2.62-3.27
Best Period0.891.670.700.190.190.19-0.13-0.23-1.18
Worst Period-0.94-1.38-2.00-2.55-3.49-4.02-4.84-5.55-5.77
Standard Deviation0.260.420.510.700.891.141.471.571.32
Gain Standard Deviation0.280.420.220.080.090.09
Loss Standard Deviation0.200.330.480.650.811.081.471.571.32
Sharpe Ratio (1%)-0.56-1.03-1.69-2.45-2.90-3.00-3.43-4.24-6.34
Average Gain / Average Loss1.090.930.510.160.100.08
Profit / Loss Ratio0.430.240.070.010.000.00
Downside Deviation (10%)0.531.472.875.778.7011.7117.8224.2230.92
Downside Deviation (5%)0.260.580.991.862.723.605.246.868.47
Downside Deviation (0%)0.210.400.611.011.381.812.483.053.52
Sortino Ratio (10%)-0.88-0.96-0.98-0.99-0.99-1.00-1.00-1.00-1.00
Sortino Ratio (5%)-0.56-0.74-0.86-0.93-0.95-0.95-0.96-0.97-0.99
Sortino Ratio (0%)-0.30-0.45-0.58-0.72-0.77-0.78-0.81-0.86-0.93

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.