Bluegrass Capital Management : Cross Market Bias Model

Closed to new investments
Year-to-Date
0.28%
Mar Performance
-0.08%
Min Investment
$ 3,000k
Mgmt. Fee
0.25%
Perf. Fee
25.00%
Annualized Vol
2.29%
Sharpe (RFR=1%)
0.89
CAROR
3.05%
Assets
$ 212.0M
Worst DD
-0.93
S&P Correlation
0.15

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
7/2014
Cross Market Bias Model -0.08 -0.28 -0.28 -0.63 0.98 - - 15.35
S&P 500 1.79 13.07 13.07 7.33 36.22 - - 45.33
+/- S&P 500 -1.87 -13.35 -13.35 -7.96 -35.24 - - -29.98

Strategy Description

Summary

The CROSS MARKET BIAS Program employs a discretionary overlay to a systematic framework for execution in exchange listed futures across all asset classes. The robustness of the model stems from its diversification across asset classes and its unique ability to recognize market regimes.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 3,000k
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
Daily
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
75.00%
Intraday
20.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Counter-trend
15.00%
Fundamental
15.00%
Momentum
15.00%
Option-purchasing
10.00%
Pattern Recognition
15.00%
Technical
15.00%
Trend-following
15.00%
Strategy Pie Chart

Composition

Currency Futures
13.00%
Precious Metals
13.00%
Energy
13.00%
Stock Indices
13.00%
Industrial Metals
12.00%
Grains
12.00%
Interest Rates
12.00%
Softs
12.00%
Composition Pie Chart

Summary

The CROSS MARKET BIAS Program employs a discretionary overlay to a systematic framework for execution in exchange listed futures across all asset classes. The robustness of the model stems from its diversification across asset classes and its unique ability to recognize market regimes. The program has a below-average volatility profile as it seeks to maximize return per unit of risk. Performance Note: In January 2017, the Cross Market Bias Program instituted a management fee of 0.25% and changed the incentive fee to 25%. All prior returns have been pro-forma adjusted to account for this change.

   

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
-0.93 1 3 11/1/2015 12/1/2015
-0.82 1 4 12/1/2014 1/1/2015
-0.69 13 - 2/1/2018 3/1/2019
-0.64 5 2 4/1/2016 9/1/2016
-0.34 1 1 8/1/2015 9/1/2015
-0.30 3 4 12/1/2016 3/1/2017
-0.15 2 1 9/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
8.51 6 7/1/2014 12/1/2014
3.10 2 10/1/2015 11/1/2015
3.08 4 5/1/2015 8/1/2015
1.32 4 1/1/2016 4/1/2016
1.29 3 10/1/2016 12/1/2016
0.76 3 12/1/2017 2/1/2018
0.40 6 4/1/2017 9/1/2017
0.39 1 2/1/2015 2/1/2015
0.34 1 7/1/2016 7/1/2016
0.18 1 10/1/2018 10/1/2018
0.11 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.93 1 12/1/2015 12/1/2015
-0.82 1 1/1/2015 1/1/2015
-0.53 2 8/1/2016 9/1/2016
-0.49 5 11/1/2018 3/1/2019
-0.45 2 5/1/2016 6/1/2016
-0.34 1 9/1/2015 9/1/2015
-0.30 3 1/1/2017 3/1/2017
-0.25 3 3/1/2018 5/1/2018
-0.24 3 7/1/2018 9/1/2018
-0.23 2 3/1/2015 4/1/2015
-0.15 2 10/1/2017 11/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable56.1463.6476.9293.4897.50100.00100.00
Average Period Return0.250.741.272.353.314.146.39
Average Gain0.601.281.722.553.404.146.39
Average Loss-0.19-0.21-0.23-0.51-0.08
Best Period3.185.588.519.7713.1014.0715.26
Worst Period-0.93-0.65-0.48-0.63-0.080.240.98
Standard Deviation0.661.391.852.693.413.713.98
Gain Standard Deviation0.681.501.882.673.413.713.98
Loss Standard Deviation0.230.160.150.18
Sharpe Ratio (1%)0.260.350.420.500.530.570.84
Average Gain / Average Loss3.166.127.484.9841.57
Profit / Loss Ratio4.0510.7024.9271.431621.16
Downside Deviation (10%)0.451.031.863.585.317.0610.15
Downside Deviation (5%)0.230.300.370.510.610.710.67
Downside Deviation (0%)0.200.160.130.140.01
Sortino Ratio (10%)-0.35-0.48-0.65-0.74-0.81-0.86-0.92
Sortino Ratio (5%)0.721.632.072.642.983.005.05
Sortino Ratio (0%)1.294.649.7717.26256.17

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.