Bluegrass Capital Management : Diversified Program

archived programs
Year-to-Date
N / A
Nov Performance
-0.32%
Min Investment
$ 5,000k
Mgmt. Fee
0.25%
Perf. Fee
25.00%
Annualized Vol
0.66%
Sharpe (RFR=1%)
-1.38
CAROR
-
Assets
$ 383.0M
Worst DD
-0.44
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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
8/2017
Diversified Program -0.32 - - - -0.21 - - 0.11
S&P 500 1.79 - - - 31.33 - - 31.15
+/- S&P 500 -2.11 - - - -31.55 - - -31.05

Strategy Description

Investment Strategy

BLUEGRASS CAPITAL MANAGEMENT DIVERSIFIED PROGRAM looks to combine the complimentary nature of the Bluegrass Cross Market Bias and S&P 500 Trading Programs, along with new programs, to create a consistent offering that will outperform in multiple market environments.Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0.25%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1100 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 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Investment Strategy

BLUEGRASS CAPITAL MANAGEMENT DIVERSIFIED PROGRAM looks to combine the complimentary nature of the Bluegrass Cross Market Bias and S&P 500 Trading Programs, along with new programs, to create a consistent offering that will outperform in multiple market environments.

   

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
-0.44 9 - 2/1/2018 11/1/2018
-0.18 1 2 10/1/2017 11/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
0.41 3 12/1/2017 2/1/2018
0.32 3 8/1/2017 10/1/2017
0.31 1 10/1/2018 10/1/2018
0.17 3 4/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.32 1 11/1/2018 11/1/2018
-0.32 3 7/1/2018 9/1/2018
-0.28 1 3/1/2018 3/1/2018
-0.18 1 11/1/2017 11/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods16.0014.0011.00
Percent Profitable62.5050.0063.64
Average Period Return0.010.020.06
Average Gain0.120.190.22
Average Loss-0.18-0.15-0.23
Best Period0.360.410.53
Worst Period-0.32-0.32-0.37
Standard Deviation0.190.210.28
Gain Standard Deviation0.120.140.20
Loss Standard Deviation0.120.100.11
Sharpe Ratio (1%)-0.40-1.10-1.58
Average Gain / Average Loss0.661.230.98
Profit / Loss Ratio1.101.231.72
Downside Deviation (10%)0.441.232.43
Downside Deviation (5%)0.180.300.51
Downside Deviation (0%)0.130.130.15
Sortino Ratio (10%)-0.91-0.99-0.99
Sortino Ratio (5%)-0.43-0.76-0.86
Sortino Ratio (0%)0.050.140.40

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.