Blue Diamond Asset Management : Blue Diamond Non-Directional Strategy

Closed to new investments
Year-to-Date
11.30%
Jun Performance
2.13%
Min Investment
$ 100k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
11.35%
Sharpe (RFR=1%)
1.26
CAROR
15.73%
Assets
$ 1,064.0M
Worst DD
-9.72
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2011
Blue Diamond Non-Directional Strategy 2.13 6.22 11.30 14.18 31.67 50.67 - 259.03
S&P 500 1.84 19.95 -4.04 5.39 26.82 48.74 - 144.84
+/- S&P 500 0.29 -13.73 15.34 8.79 4.84 1.93 - 114.19

Strategy Description

Summary

The Blue Diamond Non-Directional Strategy seeks to provide attractive risk- adjusted return in excess of the 1-Month London Interbank Offered Rate. It uses a systematic investment strategy that attempts to identify and exploit market inefficiencies arising from the price level and... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 1.75%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Arbitrage & Spread Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
VIX
50.00%
Composition Pie Chart

Summary

The Blue Diamond Non-Directional Strategy seeks to provide attractive risk- adjusted return in excess of the 1-Month London Interbank Offered Rate. It uses a systematic investment strategy that attempts to identify and exploit market inefficiencies arising from the price level and term structure of liquid volatility-related instruments, such as the CBOE Volatility Index® (VIX®) futures.

Investment Strategy

The Blue Diamond Non-Directional Strategy is built on the insight that volatility is a new and relatively inefficient market that has interesting structural attributes relative to traditional asset classes. The non-directional process seeks to identify and exploit inefficiencies arising from the price level and term structure of liquid equity-market volatility-related instruments. It typically establishes spread positions to capture these inefficiencies. The strategy does not take naked short volatility positions.

   

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
-9.72 11 8 1/1/2017 12/1/2017
-7.71 1 3 9/1/2013 10/1/2013
-7.59 4 3 8/1/2015 12/1/2015
-6.79 2 1 11/1/2014 1/1/2015
-4.52 1 3 5/1/2016 6/1/2016
-3.99 1 2 4/1/2012 5/1/2012
-3.42 3 2 2/1/2013 5/1/2013
-3.26 1 1 7/1/2013 8/1/2013
-2.41 1 1 1/1/2012 2/1/2012
-2.34 1 2 2/1/2014 3/1/2014
-2.21 2 1 8/1/2014 10/1/2014
-2.12 1 1 4/1/2019 5/1/2019
-1.85 3 1 11/1/2019 2/1/2020
-1.42 1 1 7/1/2019 8/1/2019
-1.41 1 1 6/1/2014 7/1/2014
-1.16 2 1 10/1/2016 12/1/2016
-0.88 1 3 12/1/2018 1/1/2019
-0.75 1 1 12/1/2012 1/1/2013
-0.49 1 1 10/1/2018 11/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
36.60 7 6/1/2012 12/1/2012
31.81 7 2/1/2015 8/1/2015
22.92 4 10/1/2011 1/1/2012
17.46 4 2/1/2016 5/1/2016
13.22 4 3/1/2020 6/1/2020
11.14 4 11/1/2013 2/1/2014
9.86 4 7/1/2016 10/1/2016
9.57 3 1/1/2018 3/1/2018
8.60 2 3/1/2012 4/1/2012
7.94 3 4/1/2014 6/1/2014
7.46 2 6/1/2013 7/1/2013
6.93 4 7/1/2018 10/1/2018
5.44 1 11/1/2014 11/1/2014
4.83 2 6/1/2019 7/1/2019
4.35 1 9/1/2013 9/1/2013
4.20 1 8/1/2014 8/1/2014
3.18 3 9/1/2019 11/1/2019
2.73 1 8/1/2017 8/1/2017
2.51 1 12/1/2018 12/1/2018
1.93 1 1/1/2017 1/1/2017
1.74 3 2/1/2019 4/1/2019
1.74 1 6/1/2017 6/1/2017
1.10 1 2/1/2013 2/1/2013
0.16 1 4/1/2013 4/1/2013
0.07 1 5/1/2018 5/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.71 1 10/1/2013 10/1/2013
-7.59 5 9/1/2015 1/1/2016
-7.55 4 2/1/2017 5/1/2017
-6.79 2 12/1/2014 1/1/2015
-4.71 4 9/1/2017 12/1/2017
-4.52 1 6/1/2016 6/1/2016
-3.99 1 5/1/2012 5/1/2012
-3.26 1 8/1/2013 8/1/2013
-2.41 1 2/1/2012 2/1/2012
-2.34 1 3/1/2014 3/1/2014
-2.21 2 9/1/2014 10/1/2014
-2.12 1 5/1/2019 5/1/2019
-2.10 1 5/1/2013 5/1/2013
-1.95 1 7/1/2017 7/1/2017
-1.85 3 12/1/2019 2/1/2020
-1.70 1 6/1/2018 6/1/2018
-1.51 1 3/1/2013 3/1/2013
-1.42 1 8/1/2019 8/1/2019
-1.41 1 7/1/2014 7/1/2014
-1.16 2 11/1/2016 12/1/2016
-0.88 1 1/1/2019 1/1/2019
-0.75 1 1/1/2013 1/1/2013
-0.49 1 11/1/2018 11/1/2018
-0.23 1 4/1/2018 4/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods105.00103.00100.0094.0088.0082.0070.0058.0046.00
Percent Profitable62.8671.8485.0091.4993.18100.00100.00100.00100.00
Average Period Return1.283.687.0814.2620.3527.2742.7361.6281.88
Average Gain3.116.059.0016.0121.9327.2742.7361.6281.88
Average Loss-1.88-2.36-3.81-4.50-1.19
Best Period13.5429.0036.4250.1968.8579.6298.91149.60181.05
Worst Period-7.71-6.83-7.77-8.16-3.724.1310.4623.9049.58
Standard Deviation3.286.158.6612.4814.1616.6823.7128.8633.16
Gain Standard Deviation2.595.567.9311.5413.3516.6823.7128.8633.16
Loss Standard Deviation1.462.141.853.301.32
Sharpe Ratio (1%)0.360.560.761.061.331.511.671.992.32
Average Gain / Average Loss1.662.562.363.5618.47
Profit / Loss Ratio2.886.5413.3938.27252.46
Downside Deviation (10%)1.632.222.593.012.641.571.26
Downside Deviation (5%)1.461.781.811.840.78
Downside Deviation (0%)1.421.681.631.590.44
Sortino Ratio (10%)0.531.111.783.084.8310.8521.34
Sortino Ratio (5%)0.821.933.647.2124.06
Sortino Ratio (0%)0.902.194.348.9746.16

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 5 Year 10 62.51 2014 - 2019
IASG CTA Index Annual 9 17.29 2018
IASG CTA Index Sharpe 10 1.51 2016
IASG CTA Index 5 Year 5 140.28 2011 - 2016
IASG CTA Index Annual 6 21.78 2016
Systematic Trader Index Month 7 2.38 10/2016
IASG CTA Index Month 2 4.49 5/2016
Systematic Trader Index Month 3 4.49 5/2016
IASG CTA Index Month 2 6.74 3/2016
Systematic Trader Index Month 6 6.74 3/2016
IASG CTA Index Annual 10 17.66 2015
IASG CTA Index Month 7 5.54 4/2015
Systematic Trader Index Month 5 5.54 4/2015
Systematic Trader Index Month 6 8.93 2/2015
IASG CTA Index Month 8 8.93 2/2015
IASG CTA Index Annual 10 44.35 2012
IASG CTA Index Sharpe 4 2.84 2012
IASG CTA Index Sharpe 4 5.88 2011

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