Bluegrass Capital Management : Bluegrass Equity Model

archived programs
Year-to-Date
N / A
Sep Performance
0.34%
Min Investment
$ 1,000k
Mgmt. Fee
0.25%
Perf. Fee
25.00%
Annualized Vol
6.39%
Sharpe (RFR=1%)
0.57
CAROR
4.55%
Assets
$ 29.6M
Worst DD
-6.95
S&P Correlation
-0.05

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Bluegrass Equity Model 0.34 0.84 - -3.10 6.95 24.62 - 35.00
S&P 500 0.43 7.20 - 14.67 50.24 71.54 - 104.54
+/- S&P 500 -0.09 -6.35 - -17.77 -43.28 -46.92 - -69.54

Strategy Description

Summary

The BLUEGRASS EQUITY MODEL is a blend of eight different systems designed to capture the unique behavior and liquidity afforded by the S&P 500 futures market. The manager invests exclusively in S&P 500 futures with the objective of generating highly uncorrelated and superior risk adjusted... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
5.00
Management Fee
0.25%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
600 RT/YR/$M
Avg. Margin-to-Equity
3%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
95.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
25.00%
Momentum
25.00%
Pattern Recognition
25.00%
Technical
25.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The BLUEGRASS EQUITY MODEL is a blend of eight different systems designed to capture the unique behavior and liquidity afforded by the S&P 500 futures market. The manager invests exclusively in S&P 500 futures with the objective of generating highly uncorrelated and superior risk adjusted returns. The goal of the model is not to beat the S&P 500 but rather to achieve consistent absolute returns in all likely future market scenarios, and to provide added-value as a diversification to portfolios that have other assets. At core, the program profits from overbought and oversold conditions in the equity markets. Despite the discretionary trading history of the principals, the model is entirely systematic. Trade decisions are based on internally developed technical studies while one of the eight systems uses exogenous inputs. Each trade has an individual stop and target which are sized according to market volatility. The model has an established maximum position size. Once this is achieved, additional signals in that direction generate a corresponding adjustment to outstanding trade exits to ensure each signal receives an allocation of risk in the market. Risk management is embedded at the portfolio level. *Prior to January 2017, returns are based on a fee structure of 1% management fee and 20% incentive fee. Going forward returns are proforma to a 0.25% management fee and 25% incentive fee.

   

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
-6.95 6 3 4/1/2013 10/1/2013
-6.59 3 - 12/1/2017 3/1/2018
-5.57 6 16 5/1/2015 11/1/2015
-2.72 1 3 4/1/2012 5/1/2012
-2.55 1 1 8/1/2012 9/1/2012
-2.29 2 1 1/1/0001 2/1/2012
-1.90 1 1 10/1/2012 11/1/2012
-1.74 1 2 7/1/2014 8/1/2014
-1.69 1 1 2/1/2013 3/1/2013
-1.23 1 1 2/1/2015 3/1/2015
-0.14 1 1 11/1/2014 12/1/2014
-0.02 1 1 10/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
7.50 3 11/1/2013 1/1/2014
7.39 1 4/1/2013 4/1/2013
7.33 8 3/1/2017 10/1/2017
7.20 2 3/1/2012 4/1/2012
7.12 3 12/1/2012 2/1/2013
5.73 5 3/1/2014 7/1/2014
5.07 6 12/1/2015 5/1/2016
5.00 2 4/1/2015 5/1/2015
2.92 3 6/1/2012 8/1/2012
2.67 1 10/1/2012 10/1/2012
2.65 2 4/1/2018 5/1/2018
2.45 3 9/1/2014 11/1/2014
2.17 3 7/1/2018 9/1/2018
2.07 1 9/1/2015 9/1/2015
1.54 2 1/1/2015 2/1/2015
1.52 3 7/1/2016 9/1/2016
0.69 1 6/1/2013 6/1/2013
0.36 1 12/1/2017 12/1/2017
0.31 1 1/1/2017 1/1/2017
0.05 1 11/1/2016 11/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.59 3 1/1/2018 3/1/2018
-5.41 4 7/1/2013 10/1/2013
-4.65 2 10/1/2015 11/1/2015
-2.97 3 6/1/2015 8/1/2015
-2.72 1 5/1/2012 5/1/2012
-2.55 1 9/1/2012 9/1/2012
-2.30 1 5/1/2013 5/1/2013
-2.29 2 1/1/2012 2/1/2012
-1.90 1 11/1/2012 11/1/2012
-1.74 1 8/1/2014 8/1/2014
-1.69 1 3/1/2013 3/1/2013
-1.42 1 6/1/2018 6/1/2018
-1.23 1 3/1/2015 3/1/2015
-0.74 1 6/1/2016 6/1/2016
-0.41 1 2/1/2017 2/1/2017
-0.28 1 10/1/2016 10/1/2016
-0.14 1 12/1/2014 12/1/2014
-0.06 1 12/1/2016 12/1/2016
-0.02 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00
Percent Profitable64.2075.9580.2687.1498.44100.00100.00100.00
Average Period Return0.391.222.345.027.6310.2414.8320.40
Average Gain1.362.393.785.977.7610.2414.8320.40
Average Loss-1.41-2.50-3.54-1.43-0.25
Best Period7.399.7110.9513.7718.7420.4128.6229.33
Worst Period-4.71-6.59-6.95-2.49-0.252.642.167.92
Standard Deviation1.852.923.964.105.175.647.036.64
Gain Standard Deviation1.352.042.823.485.125.647.036.64
Loss Standard Deviation1.212.072.010.82
Sharpe Ratio (1%)0.170.330.460.981.181.461.682.46
Average Gain / Average Loss0.970.961.074.1830.64
Profit / Loss Ratio1.803.034.3528.301930.27
Downside Deviation (10%)1.282.112.902.833.303.695.335.76
Downside Deviation (5%)1.121.671.990.930.300.13
Downside Deviation (0%)1.081.571.790.580.03
Sortino Ratio (10%)-0.020.00-0.050.010.010.00-0.17-0.20
Sortino Ratio (5%)0.270.580.924.3420.1789.16
Sortino Ratio (0%)0.360.771.308.62241.16

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.