Blake Capital Management, Inc. : SRD Short Equities

Year-to-Date: 0.03%
Jan Performance: 0.03%

Min Investment: $ 100k
Mgmt. Fee: 0%
Perf. Fee: 33.30%

Annualized Vol: 0.88%
Sharpe (RFR=1%): -1.98
CAROR: -0.75%

Assets: $ 198k
Worst DD: -6.75
S&P Correlation: 0.15

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Growth of 1,000 - VAMI

Monthly Performance

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	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 1/2011
SRD Short Equities	0.03	-0.14	0.03	-0.20	-0.92	-1.39	-	-6.64
S&P 500	-0.16	6.19	-0.16	19.27	40.10	60.04	-	148.62
+/- S&P 500	0.19	-6.33	0.19	-19.48	-41.02	-61.42	-	-155.26

Strategy Description

Summary

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%

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.

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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
-6.75	-1	-	1/1/0001	6/1/2019

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	1/1/2020	1/1/2020
0.03	1	1/1/2014	1/1/2014
0.02	1	9/1/2013	9/1/2013
0.02	1	3/1/2011	3/1/2011
0.02	1	7/1/2018	7/1/2018

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
-0.72	5	8/1/2019	12/1/2019
-0.71	2	1/1/2011	2/1/2011
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	109.00	107.00	104.00	98.00	92.00	86.00	74.00	62.00	50.00
Percent Profitable	19.27	14.02	10.58	3.06	2.17	2.33	0.00	0.00	0.00
Average Period Return	-0.06	-0.18	-0.35	-0.71	-1.05	-1.39	-1.96	-2.54	-3.16
Average Gain	0.24	0.39	0.26	0.15	0.12	0.12
Average Loss	-0.22	-0.41	-0.57	-0.92	-1.26	-1.56	-1.96	-2.54	-3.16
Best Period	0.89	1.67	0.70	0.19	0.19	0.19	-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 Deviation	0.26	0.41	0.50	0.70	0.87	1.12	1.45	1.58	1.34
Gain Standard Deviation	0.28	0.42	0.22	0.08	0.09	0.09
Loss Standard Deviation	0.20	0.33	0.47	0.66	0.80	1.07	1.45	1.58	1.34
Sharpe Ratio (1%)	-0.57	-1.04	-1.69	-2.45	-2.93	-3.03	-3.43	-4.18	-6.15
Average Gain / Average Loss	1.07	0.95	0.44	0.16	0.10	0.08
Profit / Loss Ratio	0.42	0.23	0.07	0.01	0.00	0.00
Downside Deviation (10%)	0.53	1.47	2.86	5.75	8.69	11.69	17.78	24.14	30.82
Downside Deviation (5%)	0.26	0.57	0.98	1.85	2.70	3.58	5.19	6.78	8.37
Downside Deviation (0%)	0.21	0.40	0.60	0.99	1.37	1.78	2.43	2.98	3.43
Sortino Ratio (10%)	-0.89	-0.96	-0.98	-0.99	-1.00	-1.00	-1.00	-1.00	-1.00
Sortino Ratio (5%)	-0.56	-0.75	-0.86	-0.93	-0.95	-0.95	-0.96	-0.97	-0.99
Sortino Ratio (0%)	-0.30	-0.46	-0.58	-0.71	-0.77	-0.78	-0.81	-0.85	-0.92

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.

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More Programs by Blake Capital Management, Inc.

Program Name	CAROR
SRD Short Equities	-0.75%
SRD Currencies	-0.80%

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Blake Capital Management, Inc. : SRD Short Equities

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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