Bluewater Trading LLC : Short Term Program

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
-1.12%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.10%
Sharpe (RFR=1%)
0.81
CAROR
12.77%
Assets
$ 10.0M
Worst DD
-25.00
S&P Correlation
-0.02

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
Short Term Program -1.12 - - - - - -8.80 53.81
S&P 500 -1.83 - - - - - 7.86 135.92
+/- S&P 500 0.71 - - - - - -16.67 -82.11

Strategy Description

Summary

The last part of our process is a combination of mathematics and art. Our process is designed to ferret out the “duds” from what we “think” is an opportunity. Only methods that can be completely justified and mathematically proven are allowed into the mix. In keeping with our general... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 7800 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD 6.54%
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 100.00%
Intraday 0%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Counter-trend
35.00%
Momentum
20.00%
Pattern Recognition
45.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Stock Indices
25.00%
Currency Futures
15.00%
Energy
15.00%
Industrial Metals
10.00%
Grains
10.00%
Composition Pie Chart

Summary

The last part of our process is a combination of mathematics and art. Our process is designed to ferret out the “duds” from what we “think” is an opportunity. Only methods that can be completely justified and mathematically proven are allowed into the mix. In keeping with our general strategy of minimizing our footprint we currently deploy five separate methods that perform well on various sectors.

Investment Strategy

Bluewater Trading's (BWT) managed futures strategy seeks to capitalize on opportunities in (22) liquid futures markets in the short term. Specifically, BWT uses a variety of proprietary tactical trading methods that in aggregate create aggressive but stable performance while maintaining a small market footprint.

Risk Management

BWT trading believes that risk management is preservation of capital during unfavorable market conditions. BWT utilizes general risk measures such as VaR, stress, etc. using in house software. However we feel these tools lead to a false sense of security.

Daily Risk: Managed using short term product (dynamic portfolio inherently manages risk), stop usage - each position represents approximately 30 bps risk to the portfolio and is constrained to lose no more than 10% in one day, experienced human overlay -risk manager with over 23 years trading.

Systemic Risk: Since much of our trading revolves around systematic trades, careful attention is also paid to this potential area of error. We address systematic risk with redundancy (backup location), human overlay (manual execution as needed), alternative data services, and a business continuity plan.

   

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
-25.00 5 - 1/1/2011 6/1/2011
-6.53 3 15 10/1/2008 1/1/2009
-3.79 3 1 4/1/2010 7/1/2010
-1.80 1 2 5/1/2008 6/1/2008
-1.25 2 1 10/1/2010 12/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
29.29 6 12/1/2007 5/1/2008
23.56 3 8/1/2010 10/1/2010
16.29 4 7/1/2008 10/1/2008
10.84 2 3/1/2010 4/1/2010
10.50 1 1/1/2011 1/1/2011
3.29 2 10/1/2009 11/1/2009
3.09 2 4/1/2009 5/1/2009
1.53 1 8/1/2009 8/1/2009
0.72 1 2/1/2009 2/1/2009
0.13 1 12/1/2008 12/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.00 5 2/1/2011 6/1/2011
-6.39 1 11/1/2008 11/1/2008
-3.79 3 5/1/2010 7/1/2010
-2.66 2 6/1/2009 7/1/2009
-1.80 1 6/1/2008 6/1/2008
-1.25 2 11/1/2010 12/1/2010
-1.06 3 12/1/2009 2/1/2010
-1.01 1 9/1/2009 9/1/2009
-0.44 1 3/1/2009 3/1/2009
-0.28 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable53.4968.2986.8490.63100.00100.00
Average Period Return1.103.467.7214.6220.1226.64
Average Gain4.077.5810.4616.2820.1226.64
Average Loss-2.58-5.41-10.31-1.41
Best Period10.8923.5634.8343.7847.6948.61
Worst Period-11.15-18.57-17.12-3.413.378.76
Standard Deviation4.368.4511.5412.7012.0910.10
Gain Standard Deviation3.035.879.4412.1612.0910.10
Loss Standard Deviation2.946.017.051.76
Sharpe Ratio (1%)0.230.380.631.071.542.44
Average Gain / Average Loss1.581.401.0111.58
Profit / Loss Ratio2.023.026.69111.92
Downside Deviation (10%)2.684.965.222.310.980.43
Downside Deviation (5%)2.534.554.540.86
Downside Deviation (0%)2.494.454.380.62
Sortino Ratio (10%)0.260.451.014.1712.8238.20
Sortino Ratio (5%)0.400.711.5915.77
Sortino Ratio (0%)0.440.781.7623.76

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.