Bluegrass Capital Management : Bluegrass Equity Model Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Sep Qtr 2020 1yr 3yr 5yr 10yr Since1/2012 Bluegrass Equity Model 0.34 - - - -3.43 8.83 - 35.00 S&P 500 0.43 - - - 50.24 71.54 - 183.29 +/- S&P 500 -0.09 - - - -53.66 -62.71 - -148.28 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel