Blue Fin Capital Pty Ltd : Managed Commodities Program

Year-to-Date: N / A
Apr Performance: 0.49%

Min Investment: $ 2,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 6.74%
Sharpe (RFR=1%): 0.51
CAROR: 4.29%

Assets: $ 10.0M
Worst DD: -13.60
S&P Correlation: -0.10

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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	Apr	Qtr	YTD	1yr	3yr	5yr	10yr	Since 4/2007
Managed Commodities Program	0.49	0.19	-	-2.95	1.91	8.18	-	29.15
S&P 500	1.81	6.64	-	14.28	34.60	15.28	-	5.84
+/- S&P 500	-1.32	-6.45	-	-17.24	-32.69	-7.10	-	23.31

Strategy Description

Summary

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: $5.00
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 2500 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD: -20.00%
Worst Peak-to-Trough
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 65.00%
Intraday: 35.00%

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.

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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.

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Index:

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Reward
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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
-13.60	22	-	5/1/2011	3/1/2013
-5.10	8	3	6/1/2009	2/1/2010
-4.33	1	3	12/1/2010	1/1/2011
-4.17	1	2	3/1/2008	4/1/2008
-2.93	8	2	8/1/2008	4/1/2009
-2.20	1	2	7/1/2007	8/1/2007
-1.02	1	2	7/1/2010	8/1/2010
-0.93	2	1	11/1/2007	1/1/2008

Consecutive Gains

Run-up	Length (Mos.)	Start	End
9.80	4	2/1/2011	5/1/2011
9.62	4	4/1/2007	7/1/2007
9.21	2	2/1/2008	3/1/2008
9.17	5	3/1/2010	7/1/2010
7.40	3	9/1/2007	11/1/2007
7.11	4	9/1/2010	12/1/2010
7.11	4	5/1/2008	8/1/2008
5.02	2	5/1/2012	6/1/2012
3.88	2	5/1/2009	6/1/2009
1.78	1	12/1/2008	12/1/2008
1.16	1	12/1/2011	12/1/2011
1.12	1	10/1/2008	10/1/2008
0.49	1	4/1/2013	4/1/2013
0.37	1	10/1/2009	10/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-8.04	9	7/1/2012	3/1/2013
-6.01	6	6/1/2011	11/1/2011
-5.90	4	1/1/2012	4/1/2012
-4.33	1	1/1/2011	1/1/2011
-4.17	1	4/1/2008	4/1/2008
-3.47	4	11/1/2009	2/1/2010
-2.92	4	1/1/2009	4/1/2009
-2.20	1	8/1/2007	8/1/2007
-2.06	3	7/1/2009	9/1/2009
-1.84	1	9/1/2008	9/1/2008
-1.03	1	11/1/2008	11/1/2008
-1.02	1	8/1/2010	8/1/2010
-0.93	2	12/1/2007	1/1/2008

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	73.00	71.00	68.00	62.00	56.00	50.00	38.00	26.00
Percent Profitable	47.95	53.52	57.35	62.90	69.64	84.00	100.00	100.00
Average Period Return	0.37	1.06	2.02	4.11	5.79	8.16	13.51	17.74
Average Gain	2.04	3.73	5.96	9.31	10.94	10.92	13.51	17.74
Average Loss	-1.17	-2.02	-3.27	-4.70	-6.03	-6.29
Best Period	5.22	8.57	14.46	24.57	25.51	24.80	24.95	44.21
Worst Period	-4.33	-5.56	-7.50	-9.44	-12.84	-12.11	1.91	1.12
Standard Deviation	1.95	3.52	5.48	8.68	10.08	8.67	7.51	14.95
Gain Standard Deviation	1.17	2.45	3.53	6.36	6.90	6.23	7.51	14.95
Loss Standard Deviation	1.01	1.39	2.05	3.15	4.80	3.70
Sharpe Ratio (1%)	0.15	0.23	0.28	0.36	0.42	0.71	1.40	0.92
Average Gain / Average Loss	1.74	1.85	1.82	1.98	1.81	1.73
Profit / Loss Ratio	1.61	2.12	2.45	3.36	4.16	9.10
Downside Deviation (10%)	1.35	2.42	4.00	6.34	8.21	7.59	6.62	11.97
Downside Deviation (5%)	1.16	1.81	2.79	3.95	4.88	3.61	0.18	0.84
Downside Deviation (0%)	1.11	1.66	2.51	3.42	4.20	2.87
Sortino Ratio (10%)	-0.03	-0.07	-0.11	-0.14	-0.22	-0.28	-0.34	-0.32
Sortino Ratio (5%)	0.25	0.45	0.55	0.79	0.88	1.70	57.74	16.32
Sortino Ratio (0%)	0.33	0.64	0.81	1.20	1.38	2.84

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.

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Blue Fin Capital Pty Ltd : Managed Commodities Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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