Blue Fin Capital Pty Ltd : Blue Fin Capital - Trend Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since11/2009 Blue Fin Capital - Trend Program 0.44 - - - - - 15.80 40.31 S&P 500 2.08 - - - - - 69.21 239.28 +/- S&P 500 -1.64 - - - - - -53.41 -198.97 Strategy Description SummaryThe 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% Composition Interest Rates 31.00% Currency Futures 26.00% Energy 16.00% Grains 16.00% Precious Metals 6.00% Industrial Metals 5.00% SummaryThe 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 StrategyBlue 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel