Blue Fin Capital Pty Ltd : Blue Fin Compact Omega Program

archived programs
Year-to-Date
N / A
Jan Performance
0.00%
Min Investment
$ 360k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
31.19%
Sharpe (RFR=1%)
0.95
CAROR
29.30%
Assets
$ 6.1M
Worst DD
-17.09
S&P Correlation
-0.28

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
9/2009
Blue Fin Compact Omega Program 0.00 - - - - - 3.68 86.09
S&P 500 4.36 - - - - - 16.10 227.71
+/- S&P 500 -4.36 - - - - - -12.42 -141.62

Strategy Description

Summary

The objective of the Blue Fin Omega managed futures program is to deliver high, consistent and absolute, risk-adjusted alpha returns to participants via the deployment of proprietary trading strategies within an Omega overlay. The program’s... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 360k
Trading Level Incremental Increase $ 360k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 7000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 8.27%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 10.00%
1-30 Days 50.00%
Intraday 35.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Momentum
50.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Currency FX
20.00%
Currency Futures
15.00%
Grains
15.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Interest Rates
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

The objective of the Blue Fin Omega managed futures program is to deliver high, consistent and absolute, risk-adjusted alpha returns to participants via the deployment of proprietary trading strategies within an Omega overlay. The program’s investments will be actively managed in the global spot foreign exchange market and regulated futures markets, with a view to achieving positive returns in both rising and falling markets. It is the aim of the Omega 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 in market dynamics our research has identified as efficiently as possible. 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 short, medium and long-term 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:
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Risk
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Sharpe Ratio: (RF=1%)
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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
-17.09 1 8 12/1/2010 1/1/2011
-14.10 1 - 9/1/2011 10/1/2011
-6.11 1 3 5/1/2010 6/1/2010
-2.93 1 1 11/1/2009 12/1/2009
-1.63 1 2 2/1/2010 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
29.16 2 4/1/2010 5/1/2010
23.95 3 9/1/2009 11/1/2009
22.07 2 1/1/2010 2/1/2010
14.82 3 2/1/2011 4/1/2011
14.57 4 9/1/2010 12/1/2010
11.99 1 7/1/2011 7/1/2011
10.90 1 9/1/2011 9/1/2011
5.49 1 7/1/2010 7/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.09 1 1/1/2011 1/1/2011
-14.10 4 10/1/2011 1/1/2012
-7.81 2 5/1/2011 6/1/2011
-6.11 1 6/1/2010 6/1/2010
-3.35 1 8/1/2011 8/1/2011
-2.93 1 12/1/2009 12/1/2009
-2.89 1 8/1/2010 8/1/2010
-1.63 1 3/1/2010 3/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable58.6270.3770.8377.7891.67
Average Period Return2.547.0114.5825.8638.01
Average Gain7.6313.7023.8134.9341.49
Average Loss-6.21-10.16-7.82-5.89-0.28
Best Period27.0927.0650.5579.4873.37
Worst Period-17.09-15.11-12.23-9.50-0.28
Standard Deviation9.0013.1419.5430.6725.56
Gain Standard Deviation7.308.8115.3428.7923.63
Loss Standard Deviation5.794.652.963.11
Sharpe Ratio (1%)0.270.510.720.811.43
Average Gain / Average Loss1.231.353.045.93149.71
Profit / Loss Ratio2.323.667.3920.771646.78
Downside Deviation (10%)4.786.205.765.313.05
Downside Deviation (5%)4.645.744.733.490.57
Downside Deviation (0%)4.615.624.483.050.08
Sortino Ratio (10%)0.450.932.103.939.97
Sortino Ratio (5%)0.531.182.987.1364.51
Sortino Ratio (0%)0.551.253.268.47475.10

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.