Blue Fin Capital Pty Ltd : Managed Commodities Program

Summary

The objective of the Blue Fin Managed Commodities program is to deliver high, consistent and absolute, risk-adjusted alpha returns to participants via the deployment of proprietary trading strategies. The program’s investments will be actively managed in the North American regulated commodities futures markets, with a view to achieving positive returns in both rising and falling markets. It is the aim of the Commodities 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.

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-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.