Bluegrass Capital Management : Bluegrass Equity Model

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

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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	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

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%

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.

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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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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	81.00	79.00	76.00	70.00	64.00	58.00	46.00	34.00
Percent Profitable	64.20	75.95	80.26	87.14	98.44	100.00	100.00	100.00
Average Period Return	0.39	1.22	2.34	5.02	7.63	10.24	14.83	20.40
Average Gain	1.36	2.39	3.78	5.97	7.76	10.24	14.83	20.40
Average Loss	-1.41	-2.50	-3.54	-1.43	-0.25
Best Period	7.39	9.71	10.95	13.77	18.74	20.41	28.62	29.33
Worst Period	-4.71	-6.59	-6.95	-2.49	-0.25	2.64	2.16	7.92
Standard Deviation	1.85	2.92	3.96	4.10	5.17	5.64	7.03	6.64
Gain Standard Deviation	1.35	2.04	2.82	3.48	5.12	5.64	7.03	6.64
Loss Standard Deviation	1.21	2.07	2.01	0.82
Sharpe Ratio (1%)	0.17	0.33	0.46	0.98	1.18	1.46	1.68	2.46
Average Gain / Average Loss	0.97	0.96	1.07	4.18	30.64
Profit / Loss Ratio	1.80	3.03	4.35	28.30	1930.27
Downside Deviation (10%)	1.28	2.11	2.90	2.83	3.30	3.69	5.33	5.76
Downside Deviation (5%)	1.12	1.67	1.99	0.93	0.30		0.13
Downside Deviation (0%)	1.08	1.57	1.79	0.58	0.03
Sortino Ratio (10%)	-0.02	0.00	-0.05	0.01	0.01	0.00	-0.17	-0.20
Sortino Ratio (5%)	0.27	0.58	0.92	4.34	20.17		89.16
Sortino Ratio (0%)	0.36	0.77	1.30	8.62	241.16

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.

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Bluegrass Capital Management : Bluegrass Equity Model

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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