Bluenose Capital Management, LLC : BNC CL

Year-to-Date
8.07%
Mar Performance
2.10%
Min Investment
$ 15k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.34%
Sharpe (RFR=1%)
-0.03
CAROR
-2.12%
Assets
$ 126k
Worst DD
-35.53
S&P Correlation
0.13

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
12/2013
BNC CL 2.10 3.52 8.07 -26.95 -2.15 -23.78 - -10.80
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 - 57.77
+/- S&P 500 0.31 -9.55 -4.99 -34.27 -38.37 -73.64 - -68.57

Strategy Description

Summary

BNC CL uses full contract markets and requires an initial capital amount of $15,000. The strategy objective is to achieve substantial capital appreciation through the speculative trading of options on Crude Oil futures contracts. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 15k
Trading Level Incremental Increase
$ 15k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$11.00
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
15000 RT/YR/$M
Avg. Margin-to-Equity
60%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
Sector Focus
Energy 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-writing
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

BNC CL uses full contract markets and requires an initial capital amount of $15,000. The strategy objective is to achieve substantial capital appreciation through the speculative trading of options on Crude Oil futures contracts.

Investment Strategy

There will be times when BNC CL 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 CL will mainly use out of the money options, 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 a five-part process. 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 or be as far away as 10.00% to 20.00% out of the money, depending on market activity. There is no guaranteed safe percentage that can be used consistently. For the purpose of this program all trading will be completed on exchanges located in the United States.

   

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
-35.53 14 - 10/1/2017 12/1/2018
-29.32 6 34 6/1/2014 12/1/2014
-2.92 1 1 2/1/2014 3/1/2014
-1.23 1 1 12/1/2013 1/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
18.60 6 5/1/2016 10/1/2016
16.18 3 4/1/2014 6/1/2014
13.95 5 12/1/2016 4/1/2017
11.92 4 1/1/2015 4/1/2015
11.77 2 8/1/2014 9/1/2014
9.05 3 8/1/2017 10/1/2017
8.37 2 2/1/2016 3/1/2016
8.07 3 1/1/2019 3/1/2019
7.08 1 12/1/2013 12/1/2013
6.30 1 2/1/2014 2/1/2014
5.09 3 9/1/2015 11/1/2015
5.07 2 7/1/2018 8/1/2018
2.44 1 10/1/2018 10/1/2018
2.42 1 4/1/2018 4/1/2018
2.30 1 6/1/2015 6/1/2015
0.70 1 2/1/2018 2/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.77 2 11/1/2018 12/1/2018
-28.62 3 10/1/2014 12/1/2014
-11.41 1 7/1/2014 7/1/2014
-8.58 2 7/1/2015 8/1/2015
-6.60 1 4/1/2016 4/1/2016
-6.40 2 12/1/2015 1/1/2016
-3.95 3 11/1/2017 1/1/2018
-3.72 1 3/1/2018 3/1/2018
-3.27 3 5/1/2017 7/1/2017
-2.92 1 3/1/2014 3/1/2014
-2.39 1 5/1/2015 5/1/2015
-2.36 2 5/1/2018 6/1/2018
-1.48 1 11/1/2016 11/1/2016
-1.40 1 9/1/2018 9/1/2018
-1.23 1 1/1/2014 1/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods64.0062.0059.0053.0047.0041.0029.0017.00
Percent Profitable60.9462.9061.0258.4963.8358.5468.9752.94
Average Period Return0.03-0.20-0.59-0.193.757.6212.263.79
Average Gain3.225.208.2211.5117.2224.6520.6312.16
Average Loss-4.94-9.37-14.37-16.67-20.01-16.44-6.36-5.61
Best Period10.8416.1824.8333.1440.4436.5341.7027.07
Worst Period-31.48-33.18-31.03-35.01-30.45-25.76-13.52-7.91
Standard Deviation6.1610.5213.9316.8820.2021.5916.8010.80
Gain Standard Deviation2.393.985.468.769.506.6213.077.82
Loss Standard Deviation6.9611.8311.7910.468.357.204.142.40
Sharpe Ratio (1%)-0.01-0.04-0.08-0.070.110.260.55-0.02
Average Gain / Average Loss0.650.560.570.690.861.503.252.17
Profit / Loss Ratio1.020.940.900.971.522.127.212.44
Downside Deviation (10%)5.419.5612.7415.5117.3217.7613.5120.57
Downside Deviation (5%)5.299.1611.7513.1513.8312.705.666.86
Downside Deviation (0%)5.269.0711.5012.6012.9811.504.164.15
Sortino Ratio (10%)-0.07-0.15-0.24-0.33-0.22-0.15-0.26-0.86
Sortino Ratio (5%)-0.01-0.05-0.09-0.090.160.441.63-0.04
Sortino Ratio (0%)0.01-0.02-0.05-0.020.290.662.950.91

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 10 0.00 2/2019
Option Strategy Index Month 2 4.40 1/2019
Discretionary Trader Index Month 5 4.40 1/2019
Option Strategy Index Month 10 0.00 11/2018
Option Strategy Index Month 9 0.00 10/2018
Discretionary Trader Index Month 5 4.79 7/2018
IASG CTA Index Month 7 4.79 7/2018
Option Strategy Index Month 1 4.79 7/2018
Option Strategy Index Month 10 0.00 5/2018
Discretionary Trader Index Month 8 2.42 4/2018
Option Strategy Index Month 4 2.42 4/2018
Option Strategy Index Month 4 2.42 4/2018
Discretionary Trader Index Month 9 2.42 4/2018
Option Strategy Index Month 3 0.70 2/2018
Option Strategy Index Month 9 -3.18 1/2018
Option Strategy Index Month 9 -0.06 12/2017
Option Strategy Index Month 1 2.25 10/2017
Discretionary Trader Index Month 8 2.25 10/2017
Option Strategy Index Month 1 2.58 9/2017
Discretionary Trader Index Month 9 2.58 9/2017
Discretionary Trader Index Month 5 3.97 8/2017
Option Strategy Index Month 1 3.97 8/2017
Option Strategy Index Month 2 1.93 4/2017
Option Strategy Index Month 6 1.89 3/2017
Discretionary Trader Index Month 10 1.89 3/2017
Discretionary Trader Index Month 7 2.57 2/2017
Option Strategy Index Month 1 2.57 2/2017
Option Strategy Index Month 1 2.48 1/2017
Option Strategy Index Month 1 4.38 12/2016
Discretionary Trader Index Month 4 4.38 12/2016
Option Strategy Index Month 9 1.07 10/2016
Option Strategy Index Month 10 0.16 9/2016
Discretionary Trader Index Month 10 3.48 8/2016
IASG CTA Index Month 9 3.48 8/2016
Option Strategy Index Month 3 3.48 8/2016
Option Strategy Index Month 7 1.13 7/2016
Option Strategy Index Month 1 4.48 6/2016
Discretionary Trader Index Month 10 4.48 6/2016
Discretionary Trader Index Month 1 7.15 5/2016
Option Strategy Index Month 1 7.15 5/2016
Option Strategy Index Month 4 2.67 3/2016
Discretionary Trader Index Month 5 2.67 3/2016
Discretionary Trader Index Month 2 5.55 2/2016
Option Strategy Index Month 1 5.55 2/2016
Option Strategy Index Month 10 -0.82 12/2015
Option Strategy Index Month 3 0.66 10/2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.