Seven Capital Management : Seven BlackSnake Program

archived programs
Year-to-Date
N / A
Apr Performance
-1.71%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.13%
Sharpe (RFR=1%)
0.14
CAROR
2.03%
Assets
$ 10.0M
Worst DD
-23.87
S&P Correlation
0.42

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Seven BlackSnake Program -1.71 - - - 1.61 10.78 - 13.56
S&P 500 3.93 - - - 41.19 54.79 - 131.27
+/- S&P 500 -5.64 - - - -39.59 -44.00 - -117.71

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 Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 2200 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Financial & Metals 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
-23.87 20 15 2/1/2015 10/1/2016
-17.46 13 - 1/1/2018 2/1/2019
-10.71 4 3 4/1/2013 8/1/2013
-4.51 1 1 12/1/2013 1/1/2014
-3.69 2 1 5/1/2014 7/1/2014
-3.48 2 1 2/1/2014 4/1/2014
-3.46 1 2 11/1/2014 12/1/2014
-1.57 1 1 1/1/2013 2/1/2013
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
15.72 4 8/1/2014 11/1/2014
13.17 4 9/1/2013 12/1/2013
11.54 2 1/1/2016 2/1/2016
11.30 1 1/1/2018 1/1/2018
9.72 2 6/1/2016 7/1/2016
9.50 2 10/1/2017 11/1/2017
8.71 1 2/1/2017 2/1/2017
7.37 1 3/1/2019 3/1/2019
7.08 2 3/1/2013 4/1/2013
6.84 2 7/1/2017 8/1/2017
5.70 3 9/1/2015 11/1/2015
5.60 2 1/1/2015 2/1/2015
5.55 1 2/1/2014 2/1/2014
4.69 1 5/1/2014 5/1/2014
4.46 1 1/1/2013 1/1/2013
4.45 2 11/1/2016 12/1/2016
2.87 2 4/1/2017 5/1/2017
2.78 2 11/1/2018 12/1/2018
2.58 1 5/1/2018 5/1/2018
2.55 3 7/1/2018 9/1/2018
1.89 1 7/1/2013 7/1/2013
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.37 6 3/1/2015 8/1/2015
-14.03 3 8/1/2016 10/1/2016
-10.49 1 10/1/2018 10/1/2018
-10.32 3 2/1/2018 4/1/2018
-9.11 1 12/1/2015 12/1/2015
-8.93 2 5/1/2013 6/1/2013
-5.95 1 6/1/2017 6/1/2017
-5.42 3 3/1/2016 5/1/2016
-4.51 1 1/1/2014 1/1/2014
-4.01 1 9/1/2017 9/1/2017
-3.77 1 8/1/2013 8/1/2013
-3.69 2 6/1/2014 7/1/2014
-3.48 2 3/1/2014 4/1/2014
-3.46 1 12/1/2014 12/1/2014
-2.94 2 1/1/2019 2/1/2019
-2.01 1 6/1/2018 6/1/2018
-1.84 1 1/1/2017 1/1/2017
-1.71 1 4/1/2019 4/1/2019
-1.57 1 2/1/2013 2/1/2013
-1.01 1 3/1/2017 3/1/2017
-0.29 1 12/1/2017 12/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable52.6364.8660.5661.5462.7158.4946.3468.97
Average Period Return0.260.560.822.313.463.040.491.70
Average Gain3.544.296.289.5711.0011.436.566.72
Average Loss-3.38-6.31-7.58-9.30-9.21-8.77-4.75-9.45
Best Period11.3012.5521.7729.7630.9525.2017.4422.72
Worst Period-10.49-15.50-20.37-19.21-21.05-21.35-9.83-16.41
Standard Deviation4.376.228.4111.0111.9711.897.018.90
Gain Standard Deviation2.593.294.906.287.346.285.314.65
Loss Standard Deviation2.724.105.045.555.956.602.744.79
Sharpe Ratio (1%)0.040.050.040.120.160.09-0.36-0.27
Average Gain / Average Loss1.050.680.831.031.191.301.380.71
Profit / Loss Ratio1.161.251.271.652.011.841.191.58
Downside Deviation (10%)3.205.077.069.5611.0513.1516.7621.69
Downside Deviation (5%)3.024.565.957.227.458.096.087.95
Downside Deviation (0%)2.974.445.686.686.657.013.995.84
Sortino Ratio (10%)-0.05-0.13-0.23-0.28-0.37-0.55-0.91-0.92
Sortino Ratio (5%)0.060.070.050.180.260.13-0.42-0.30
Sortino Ratio (0%)0.090.130.140.350.520.430.120.29

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.