Bluenose Capital Management, LLC : BNC CC

archived programs
Year-to-Date
N / A
Aug Performance
0.00%
Min Investment
$ 30k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.87%
Sharpe (RFR=1%)
0.39
CAROR
-
Assets
$ 32k
Worst DD
-28.40
S&P Correlation
0.43

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
BNC CC 0.00 - - - - - - 13.43
S&P 500 3.77 - - - - - - 139.29
+/- S&P 500 -3.77 - - - - - - -125.86

Strategy Description

Summary

Bluenose Capital Management, LLC (BNC) is a registered Commodity Trading Advisor whose primary goal is the development and implementation of alternative investment strategies to generate better than average investment returns. Unlike traditional equity managers, BNC's managed futures... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 30k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $25.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 20000 RT/YR/$M
Avg. Margin-to-Equity 60%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 28.40%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

Bluenose Capital Management, LLC (BNC) is a registered Commodity Trading Advisor whose primary goal is the development and implementation of alternative investment strategies to generate better than average investment returns. Unlike traditional equity managers, BNC's managed futures programs seek to be flexible enough to profit in rising markets as well as declining markets and inflationary or deflationary environments. Further, BNC believes that investments in stock indexes and commodities, not individual stocks or sectors, hold more possibilities for growth than day trading, swing trading, trend following or “buy and hold” strategies.

Investment Strategy

The objective of the BLUENOSE CAPITAL MANAGEMENT LLC strategy is to achieve substantial capital appreciation through the speculative trading of option credit spreads on select commodity futures contracts, for example metals, currencies, interest rates and energy futures.

Risk Management

Despite the limited exposure afforded by spread writing, this strategy entails a comparatively high level of risk. There will be times when BNC CC is not invested in the market at all and times it may be fully invested. The seller (writer) of an option risks losing the difference between the premiums received for the option and the price of the underlying futures contract that the writer must purchase upon exercise of the option. The value of options contracts primarily consist of two components, intrinsic value and time value. Intrinsic value is the amount the contract is in the money and time value is the premium received less intrinsic value. BNC CC will mainly use out of the money option spreads, thus there is no intrinsic value, only time value. Determining the trading range, the individual strike prices and the quantity of calls and puts is dependent upon the five-part process explained above. In analyzing the strike price we take into consideration prices of the options, where volatility is and how much time remains until expiration. This means the distance from the underlying and our strike price varies and can be either an at-the-money option spread or be as far away as 10 to 20% out-of-the-money, depending on market activity. There is no guaranteed safe percentage that can be used consistently.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
Average RoR:
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Average Gain:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-28.40 6 8 2/1/2013 8/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
35.55 4 9/1/2013 12/1/2013
17.38 2 4/1/2014 5/1/2014
4.31 2 6/1/2013 7/1/2013
2.83 1 2/1/2014 2/1/2014
2.21 2 1/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.22 1 8/1/2013 8/1/2013
-17.08 3 3/1/2013 5/1/2013
-3.08 1 3/1/2014 3/1/2014
-2.25 1 1/1/2014 1/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable55.0055.5673.3355.56
Average Period Return0.882.696.5817.24
Average Gain5.2711.1315.4433.40
Average Loss-6.73-8.99-17.81-2.96
Best Period15.3131.6936.2554.99
Worst Period-17.22-17.08-28.40-5.00
Standard Deviation7.1812.6317.0021.41
Gain Standard Deviation4.549.198.0113.42
Loss Standard Deviation6.506.767.351.78
Sharpe Ratio (1%)0.110.190.360.76
Average Gain / Average Loss0.781.240.8711.28
Profit / Loss Ratio1.441.772.3814.09
Downside Deviation (10%)5.087.4810.985.41
Downside Deviation (5%)4.956.9610.012.83
Downside Deviation (0%)4.916.839.772.22
Sortino Ratio (10%)0.090.200.372.26
Sortino Ratio (5%)0.160.350.615.73
Sortino Ratio (0%)0.180.390.677.75

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.