Blake Capital Management, Inc.

SRD Currencies

Investment Strategy

The SRD Currency program trades CME Group's Currency Futures. Positions are generally held intraday, and we close out positions before weekends or holidays, to pare risk. Every trade uses a stop-loss order for protection, and generally seeks a multiple of any amount risked. Blake Capital Management, Inc. All of our programs are exclusively focused on pattern recognition strategies and proactive risk-management. See our most recent Disclosure Document for more information.

Investment Strategy

This FX Futures trading program is intended to be uncorrelated to stock market performance. We risk capital to seek exposure to currency fluctuations.

Risk Management

Every trade to establish a new position accompanies a new stop-loss order for protection. Program trades in most liquid FX futures markets, such as Euro FX and Great British Pound futures ("6E" and "6B"). VAR and market impact are considered when devising and executing strategy.

Performance (VAMI)

Monthly Returns

Fund Manager

Harold A. Blake III is Principal of Blake Capital Management, Inc. This Manager has previously worked as a commodity futures broker in Chicago, and as a proprietary futures trader. Full bio is available on CTA d-doc.

General Information

Inception DateJan 2016
Minimum Investment100,000 USD
Management Fee0.00%
Performance Fee33.30%
Highwater MarkYes
Phone+1-786-999-3336
E-mail[email protected]
Websitewww.blakecta.com

Statistics

Total Return Cumulative -8.57%
Sharpe Ratio -0.84
Sortino Ratio -1.14
Winning Months (%) 30.39%
Correlation vs. S&P 500 TR -0.19

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.23 0.00 -0.62 -0.88 -0.41 -0.26 -2.38
2023 -0.44 0.00 -0.67 -0.01 0.24 0.00 0.00 0.00 0.19 -0.36 -0.25 -0.50 -1.79
2022 -0.15 0.16 -0.66 0.00 -0.66 1.41 -0.45 -0.41 -0.22 -0.47 -0.24 0.01 -1.68
2021 -0.10 -0.15 0.07 -0.35 -0.34 -0.32 0.69 -0.41 -0.15 -0.44 0.69 1.04 0.22
2020 0.10 0.61 0.39 0.41 -0.28 -0.43 -0.61 -0.30 0.32 0.03 0.98 -0.49 0.72
2019 -0.14 -0.14 -0.04 -0.21 -0.07 -0.23 -0.07 -0.25 0.06 0.04 -0.28 -0.30 -1.62
2018 -0.33 -0.13 -0.04 -0.20 0.14 -0.21 -0.21 0.08 -0.25 0.17 -0.22 -0.14 -1.33
2017 -0.35 0.05 0.01 -0.27 -0.32 0.05 -0.09 -0.09 -0.12 -0.20 0.10 0.19 -1.04
2016 -0.18 -0.26 0.32 -0.21 -0.20 0.48 -0.04 -0.27 0.02 0.01 -0.12 0.49 0.04
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
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Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month -0.26%
Year To Date -2.38%
3 Month ROR -1.54%
12 Months ROR -3.27%
36 Month ROR -4.40%
Total Return Cumulative -8.57%
Total Return Annualized -1.05%
Best Month 1.41%
Winning Months (%) 30.39%
Gain Deviation 0.35

Risk Statistics

Standard Deviation Annualized 1.24%
Max Drawdown (Monthly) -8.60%
Max Drawdown Length 90
Worst Month -0.88%
Losing Months (%) 63.73%
Average Losing Month -0.28%
Loss Deviation 0.18
Correlation vs S&P 500 -0.19
Correlation vs DJ/CS MF -0.07

Risk/Reward Statistics

Sharpe Ratio -0.84
Sortino Ratio -1.14
Omega Ratio 0.01
Skewness 1.35
Kurtosis 3.57

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -8.60% 90 0 01/2017 -
2 -0.53% 5 7 01/2016 12/2016
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 1.41%-0.88%-0.09%-0.14%-0.26%30.39%
3 Months 1.58%-1.90%-0.25%-0.29%-1.54%27.00%
6 Months 1.42%-2.61%-0.46%-0.45%-2.38%24.74%
1 Year 1.50%-3.27%-0.86%-1.01%-3.27%18.68%
2 Years 0.94%-5.82%-1.61%-1.53%-5.82%7.59%
3 Years 0.22%-4.46%-2.26%-2.32%-4.40%1.49%
5 Years -2.14%-5.62%-3.66%-3.61%-5.62%0.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg-1.05%-2.99%-5.45%-9.87%-17.80%-24.04%
% Positive30.39%27.00%24.74%18.68%7.59%1.49%
Avg. Pos. Period0.31%0.49%0.45%0.39%0.46%0.22%
Avg. Neg. Period-0.28%-0.53%-0.76%-1.15%-1.78%-2.30%
Sharpe Ratio-0.84-1.40-2.18-3.43-4.98-7.56
Sortino Ratio-1.14-1.55-1.98-2.49-2.86-3.16
Standard Deviation0.36%0.62%0.74%0.87%1.12%1.04%
Downside Deviation0.27%0.57%0.82%1.20%1.96%2.49%
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Company Information

Minimum Investment100,000 USD (notional funding: 50.00%)
AUM86,839 USD
Management Fee0.00%
Performance Fee33.30%
Highwater MarkYes
RT per Million1250
Margin to Equity10.00%
Legal StructureManaged Account
Investment RestrictionExperienced Investors

Company Information

CompanyBlake Capital Management, Inc.
PrincipalHarold A. Blake III
Phone+1-786-999-3336
E-mail[email protected]
License NumberNFA 421015
LocationProvidence, United States
Performance Compiled byCTA

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.23 0.00 -0.62 -0.88 -0.41 -0.26 -2.38
2023 -0.44 0.00 -0.67 -0.01 0.24 0.00 0.00 0.00 0.19 -0.36 -0.25 -0.50 -1.79
2022 -0.15 0.16 -0.66 0.00 -0.66 1.41 -0.45 -0.41 -0.22 -0.47 -0.24 0.01 -1.68
2021 -0.10 -0.15 0.07 -0.35 -0.34 -0.32 0.69 -0.41 -0.15 -0.44 0.69 1.04 0.22
2020 0.10 0.61 0.39 0.41 -0.28 -0.43 -0.61 -0.30 0.32 0.03 0.98 -0.49 0.72
2019 -0.14 -0.14 -0.04 -0.21 -0.07 -0.23 -0.07 -0.25 0.06 0.04 -0.28 -0.30 -1.62
2018 -0.33 -0.13 -0.04 -0.20 0.14 -0.21 -0.21 0.08 -0.25 0.17 -0.22 -0.14 -1.33
2017 -0.35 0.05 0.01 -0.27 -0.32 0.05 -0.09 -0.09 -0.12 -0.20 0.10 0.19 -1.04
2016 -0.18 -0.26 0.32 -0.21 -0.20 0.48 -0.04 -0.27 0.02 0.01 -0.12 0.49 0.04
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

The SRD Currency program trades CME Group's Currency Futures. Positions are generally held intraday, and we close out positions before weekends or holidays, to pare risk. Every trade uses a stop-loss order for protection, and generally seeks a multiple of any amount risked. Blake Capital Management, Inc. All of our programs are exclusively focused on pattern recognition strategies and proactive risk-management. See our most recent Disclosure Document for more information.

Investment Strategy

This FX Futures trading program is intended to be uncorrelated to stock market performance. We risk capital to seek exposure to currency fluctuations.

Risk Management

Every trade to establish a new position accompanies a new stop-loss order for protection. Program trades in most liquid FX futures markets, such as Euro FX and Great British Pound futures ("6E" and "6B"). VAR and market impact are considered when devising and executing strategy.

Return Statistics

Last Month -0.26%
Year To Date -2.38%
3 Month ROR -1.54%
12 Months ROR -3.27%
36 Month ROR -4.40%
Total Return Cumulative -8.57%
Total Return Annualized -1.05%
Best Month 1.41%
Winning Months (%) 30.39%
Gain Deviation 0.35

Risk Statistics

Standard Deviation Annualized 1.24%
Max Drawdown (Monthly) -8.60%
Max Drawdown Length 90
Worst Month -0.88%
Losing Months (%) 63.73%
Average Losing Month -0.28%
Loss Deviation 0.18
Correlation vs S&P 500 -0.19
Correlation vs DJ/CS MF -0.07

Risk/Reward Statistics

Sharpe Ratio -0.84
Sortino Ratio -1.14
Omega Ratio 0.01
Skewness 1.35
Kurtosis 3.57

Monthly Returns

Performance (VAMI)

Fund Manager

Harold A. Blake III is Principal of Blake Capital Management, Inc. This Manager has previously worked as a commodity futures broker in Chicago, and as a proprietary futures trader. Full bio is available on CTA d-doc.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -8.60% 90 0 01/2017 -
2 -0.53% 5 7 01/2016 12/2016
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 1.41%-0.88%-0.09%-0.14%-0.26%30.39%
3 Months 1.58%-1.90%-0.25%-0.29%-1.54%27.00%
6 Months 1.42%-2.61%-0.46%-0.45%-2.38%24.74%
1 Year 1.50%-3.27%-0.86%-1.01%-3.27%18.68%
2 Years 0.94%-5.82%-1.61%-1.53%-5.82%7.59%
3 Years 0.22%-4.46%-2.26%-2.32%-4.40%1.49%
5 Years -2.14%-5.62%-3.66%-3.61%-5.62%0.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg-1.05%-2.99%-5.45%-9.87%-17.80%-24.04%
% Positive30.39%27.00%24.74%18.68%7.59%1.49%
Avg. Pos. Period0.31%0.49%0.45%0.39%0.46%0.22%
Avg. Neg. Period-0.28%-0.53%-0.76%-1.15%-1.78%-2.30%
Sharpe Ratio-0.84-1.40-2.18-3.43-4.98-7.56
Sortino Ratio-1.14-1.55-1.98-2.49-2.86-3.16
Standard Deviation0.36%0.62%0.74%0.87%1.12%1.04%
Downside Deviation0.27%0.57%0.82%1.20%1.96%2.49%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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