Blue Bar Futures Trading Management LLC : U.S. Commodity Diversified Program

Year-to-Date
3.95%
Jul Performance
1.85%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.10%
Sharpe (RFR=1%)
1.75
CAROR
27.70%
Assets
$ 3.7M
Worst DD
-11.24
S&P Correlation
0.02

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
2/2017
U.S. Commodity Diversified Program 1.85 2.54 -3.95 -1.44 - - - 84.27
S&P 500 1.31 1.17 18.88 5.82 - - - 24.81
+/- S&P 500 0.54 1.37 -22.83 -7.26 - - - 59.46

Strategy Description

Summary

Blue Bar Futures utilizes a combination of technical and fundamental analysis in its trading methodology, while incorporating risk management considerations. The Advisor trades both futures and options, primarily in the agricultural sector of the U.S. commodity exchanges.

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Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
5400 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
30.00%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
25.00%
1-30 Days
60.00%
Intraday
10.00%

Decision-Making

Discretionary
40.00%
Systematic
60.00%

Composition

Livestock
85.00%
Grains
5.00%
Interest Rates
5.00%
Other
5.00%
Composition Pie Chart

Summary

Blue Bar Futures utilizes a combination of technical and fundamental analysis in its trading methodology, while incorporating risk management considerations. The Advisor trades both futures and options, primarily in the agricultural sector of the U.S. commodity exchanges.

Investment Strategy

The Blue Bar U.S. Commodity Diversified Program seeks to achieve capital appreciation through the execution of outright long/short and spread strategies identified by technical and fundamental analysis augmented by risk management principles employed by the Advisor. The strategy employs both fundamental and technical analysis to identify potentially low-risk trade opportunities. The trade execution methodology used for the program is based on a process that is approximately 60% systematic and 40% discretionary. This program trades a wide variety of U.S. commodity markets, including meats, grains, metals, energies, financial indices, bonds, currencies, and softs. In typical conditions, trades are executed almost every trading day. Trade duration for spreads varies widely, from one to three days up to several months; though individual “legs” of a particular spread may be modified over time to establish a new spread position. In extreme market situations, a spread may be converted to a directional position for a relatively brief period of time. Many spread positions may be considered “scalps” that are completed intraday or are held for a short period of time, designed to take advantage of a market anomaly. Certain relatively small spread positions may also be held for longer periods of time, to attempt to capture a potential opportunity outside of typical seasonal spread patterns.

Risk Management

The Advisor monitors both fundamental and technical factors associated with each trade on a continuous basis, and a 3% to 5% adverse movement in the underlying commodity's price would generally be cause for liquidation of the trade.

   

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
-11.24 2 - 3/1/2019 5/1/2019
-6.11 1 1 3/1/2017 4/1/2017
-3.50 1 1 7/1/2018 8/1/2018
-1.38 2 1 12/1/2018 2/1/2019
-0.59 1 1 1/1/0001 2/1/2017
-0.55 1 1 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
54.28 7 5/1/2017 11/1/2017
26.26 7 1/1/2018 7/1/2018
7.35 2 6/1/2019 7/1/2019
6.33 4 9/1/2018 12/1/2018
3.41 1 3/1/2017 3/1/2017
2.22 1 3/1/2019 3/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.24 2 4/1/2019 5/1/2019
-6.11 1 4/1/2017 4/1/2017
-3.50 1 8/1/2018 8/1/2018
-1.38 2 1/1/2019 2/1/2019
-0.59 1 2/1/2017 2/1/2017
-0.55 1 12/1/2017 12/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable73.3378.5784.0084.21100.00
Average Period Return2.146.6815.7234.5055.80
Average Gain3.999.6719.8741.1255.80
Average Loss-2.96-4.32-6.08-0.79
Best Period10.1124.0445.7573.0897.12
Worst Period-7.08-9.27-10.29-1.4415.28
Standard Deviation4.078.5814.6923.3928.97
Gain Standard Deviation2.636.9312.0218.9928.97
Loss Standard Deviation2.723.363.110.58
Sharpe Ratio (1%)0.500.751.041.431.87
Average Gain / Average Loss1.352.243.2752.16
Profit / Loss Ratio3.718.2217.16278.19
Downside Deviation (10%)2.182.933.592.31
Downside Deviation (5%)2.052.552.840.74
Downside Deviation (0%)2.022.452.660.37
Sortino Ratio (10%)0.791.863.6912.79
Sortino Ratio (5%)1.002.525.3545.58
Sortino Ratio (0%)1.062.725.9194.47

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 1 5.40 6/2019
Agricultural Trader Index Month 2 2.22 3/2019

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