Seven Capital Management : Seven BlackSnake Fund

archived programsClosed to new investments
Year-to-Date
7.19%
Mar Performance
6.80%
Min Investment
$ 125k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.91%
Sharpe (RFR=1%)
-0.02
CAROR
-0.89%
Assets
$ 10.0M
Worst DD
-28.16
S&P Correlation
0.34

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
9/2014
Seven BlackSnake Fund 6.80 7.19 7.19 1.67 7.93 - - -4.00
S&P 500 1.79 13.07 13.07 7.33 36.22 - - 42.26
+/- S&P 500 5.01 -5.88 -5.88 -5.66 -28.29 - - -46.26

Strategy Description

Summary

CTA diversified across 48 futures in fixed income, equity, commodities and forex markets
50% long only (1/3 fixed income; 1/3 equity; 1/3 commodities) & 50% long short (1/4 fixed income; 1/4 equity; 1/4 commodities; 1/4 FX)

Daily quantitative and systematic process applied... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 125k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2200 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
Worst Peak-to-Trough
0%
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
0%
Systematic
100.00%

Strategy

Momentum
30.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Summary

CTA diversified across 48 futures in fixed income, equity, commodities and forex markets
50% long only (1/3 fixed income; 1/3 equity; 1/3 commodities) & 50% long short (1/4 fixed income; 1/4 equity; 1/4 commodities; 1/4 FX)

Daily quantitative and systematic process applied on each Sub component of the Portfolio split into two distinct stages: 1) risk-driven allocation that defines a Risk Budget for each Market in the investment universe on a daily basis; 2) determination of the position (long/short and the quantity) on each Market based on a signal definition and a position sizing from a series of risk , momentum and Leading Macro Indicators computed from market data. Positions always remain within the Risk Budget and are re-calibrated daily depending on market variations. The Risk Budget is defined in order to match the volatility target of the fund (20%).

Risk Management

The Historical Volatility curv of each market is used to adjust the risk on a daily basis.

   

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
-28.16 20 15 2/1/2015 10/1/2016
-24.13 9 - 1/1/2018 10/1/2018
-3.47 1 2 11/1/2014 12/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
14.77 4 11/1/2016 2/1/2017
13.54 2 1/1/2016 2/1/2016
13.10 1 1/1/2018 1/1/2018
12.75 2 10/1/2017 11/1/2017
9.79 2 2/1/2019 3/1/2019
9.41 2 6/1/2016 7/1/2016
8.91 3 9/1/2014 11/1/2014
7.24 3 9/1/2015 11/1/2015
5.62 2 1/1/2015 2/1/2015
5.43 2 7/1/2017 8/1/2017
4.63 2 11/1/2018 12/1/2018
3.30 1 5/1/2018 5/1/2018
2.83 1 7/1/2018 7/1/2018
2.29 2 4/1/2017 5/1/2017
0.14 1 9/1/2018 9/1/2018
0.11 1 4/1/2016 4/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.12 6 3/1/2015 8/1/2015
-17.61 3 8/1/2016 10/1/2016
-16.78 3 2/1/2018 4/1/2018
-9.24 1 12/1/2015 12/1/2015
-7.51 1 10/1/2018 10/1/2018
-6.92 1 6/1/2018 6/1/2018
-6.41 1 6/1/2017 6/1/2017
-4.47 1 3/1/2016 3/1/2016
-3.47 1 12/1/2014 12/1/2014
-2.37 1 1/1/2019 1/1/2019
-2.10 1 9/1/2017 9/1/2017
-1.58 1 3/1/2017 3/1/2017
-0.63 1 12/1/2017 12/1/2017
-0.62 1 5/1/2016 5/1/2016
-0.45 1 8/1/2018 8/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable56.3650.9442.0050.0055.2653.1325.00
Average Period Return0.06-0.29-1.31-2.82-1.12-1.68-3.22
Average Gain3.605.958.447.027.388.727.66
Average Loss-4.51-6.77-8.37-12.66-11.62-13.47-6.84
Best Period13.1015.9727.2831.6918.4827.649.68
Worst Period-13.30-19.24-24.12-22.50-25.41-24.83-13.18
Standard Deviation5.177.8410.4412.3011.4513.157.42
Gain Standard Deviation2.883.916.068.525.426.672.27
Loss Standard Deviation3.645.136.455.857.397.184.12
Sharpe Ratio (1%)0.00-0.07-0.17-0.31-0.23-0.28-0.84
Average Gain / Average Loss0.800.881.010.550.640.651.12
Profit / Loss Ratio1.030.910.730.550.780.730.37
Downside Deviation (10%)4.016.629.5713.2213.9517.2120.31
Downside Deviation (5%)3.846.058.3010.4710.0011.629.22
Downside Deviation (0%)3.805.918.009.829.1310.386.85
Sortino Ratio (10%)-0.09-0.23-0.40-0.59-0.62-0.69-0.93
Sortino Ratio (5%)-0.01-0.09-0.22-0.36-0.26-0.32-0.68
Sortino Ratio (0%)0.02-0.05-0.16-0.29-0.12-0.16-0.47

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.