Blue Fin Capital Pty Ltd : Blue Fin Capital - Trend Program

archived programs
Year-to-Date
N / A
May Performance
0.44%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.53%
Sharpe (RFR=1%)
0.62
CAROR
9.91%
Assets
$ 5.0M
Worst DD
-13.25
S&P Correlation
-0.45

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
11/2009
Blue Fin Capital - Trend Program 0.44 - - - - - 22.84 40.31
S&P 500 2.08 - - - - - 69.21 216.18
+/- S&P 500 -1.64 - - - - - -46.37 -175.87

Strategy Description

Summary

The objective of the Blue Fin Trend Program is to deliver high, consistent and absolute, risk-adjusted alpha returns to participants via the deployment of proprietary, trend-following trading strategies. The Program’s investments will be actively managed in global, regulated futures... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 2.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
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 750 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 11.72%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 35.00%
1-30 Days 55.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
31.00%
Currency Futures
26.00%
Energy
16.00%
Grains
16.00%
Precious Metals
6.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

The objective of the Blue Fin Trend Program is to deliver high, consistent and absolute, risk-adjusted alpha returns to participants via the deployment of proprietary, trend-following trading strategies. The Program’s investments will be actively managed in global, regulated futures markets, with a view to achieving positive returns in both rising and falling markets. It is the aim of the Trend Program to manage the risk and downside volatility in individual proprietary trading models that offer alpha returns in different market conditions and uncorrelated beta returns to traditional assets. The trading models are designed to extract profit from volatility and trend persistence via systematic strategies diversified by time frame, markets and trading style.

Investment Strategy

Blue Fin’s strategies are systematic in order to remove emotion from the trading operation and to participate as efficiently as possible in market dynamics our research has identified. The market dynamics Blue Fin targets can be seen on intraday timeframes, 1-3 day time frames (sudden range expansion) and more medium to longer-term time frames up to six months (serial correlation and trend persistence). Blue Fin employs medium and long-term trend-following models in order to participate in this phenomenon.

Risk Management

Risk is carefully and systematically controlled from both an individual market and entire portfolio perspective. At the portfolio level, a preset risk budget is allocated to each market/system. There is no room for position size to exceed preset computational limits. Capital allocation to each market may be increased (within same limits) or decreased with reference to the strategy’s longer-term performance in any particular market, considering both absolute return and volatility of return. Trade size may also be decreased prior to the release of major economic numbers and reports.

   

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
-13.25 7 - 9/1/2011 4/1/2012
-5.92 3 3 11/1/2009 2/1/2010
-3.75 2 1 4/1/2011 6/1/2011
-2.63 3 3 10/1/2010 1/1/2011
-1.84 2 1 5/1/2010 7/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
24.64 3 7/1/2011 9/1/2011
14.27 3 3/1/2010 5/1/2010
13.71 1 5/1/2012 5/1/2012
10.12 3 8/1/2010 10/1/2010
5.88 1 4/1/2011 4/1/2011
5.74 1 7/1/2012 7/1/2012
4.39 3 3/1/2013 5/1/2013
4.34 1 11/1/2009 11/1/2009
2.62 1 12/1/2010 12/1/2010
2.40 1 2/1/2012 2/1/2012
1.70 1 2/1/2011 2/1/2011
1.22 3 11/1/2012 1/1/2013
1.20 1 12/1/2011 12/1/2011
0.38 1 1/1/2010 1/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.53 2 10/1/2011 11/1/2011
-7.61 1 6/1/2012 6/1/2012
-6.67 3 8/1/2012 10/1/2012
-5.45 1 12/1/2009 12/1/2009
-4.12 2 3/1/2012 4/1/2012
-3.75 2 5/1/2011 6/1/2011
-2.62 1 11/1/2010 11/1/2010
-2.56 1 1/1/2011 1/1/2011
-2.36 1 2/1/2013 2/1/2013
-1.84 2 6/1/2010 7/1/2010
-1.31 1 1/1/2012 1/1/2012
-0.87 1 2/1/2010 2/1/2010
-0.86 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable55.8163.4178.9587.5092.31100.00
Average Period Return0.892.535.4411.1117.5723.81
Average Gain3.755.928.2113.2519.5423.81
Average Loss-2.73-3.34-4.92-3.87-6.17
Best Period13.7124.6427.0227.7850.9539.36
Worst Period-9.81-10.47-12.40-7.53-10.2510.84
Standard Deviation4.486.417.949.1213.259.88
Gain Standard Deviation3.575.426.247.5011.689.88
Loss Standard Deviation2.402.604.093.425.77
Sharpe Ratio (1%)0.180.360.621.111.212.21
Average Gain / Average Loss1.371.771.673.423.17
Profit / Loss Ratio1.733.076.2623.9638.00
Downside Deviation (10%)2.603.163.863.464.22
Downside Deviation (5%)2.432.653.042.022.41
Downside Deviation (0%)2.392.532.861.722.05
Sortino Ratio (10%)0.180.410.771.772.37
Sortino Ratio (5%)0.330.861.635.026.66
Sortino Ratio (0%)0.371.001.906.458.56

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.