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Blackheath Fund Management

blackheath.altavra.com

Open A Futures and/or Forex Trading Account.

Manager Name: Blackheath Fund Management
Program Name: Sentiment Strategy, Volatility Arbitrage
Minimum Investment: 500,000 USD, 375,000 USD
Strategy: Arbitrage, Volatility Trading
Markets: Diversified
Restrictions: QEP
Disclosure Document: Call
Management Agreement: Call
Download Page: Download PDF Version: Blackheath Fund Management
Print Page: Printable Version: Blackheath Fund Management
Disclosure Statement: Open

View The Performance Report for

Blackheath Fund Management

includes free access to the managed futures database

Commodity Trading Advisor (CTA) Report: Blackheath Fund Management

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This program is only available for Qualified Eligible Persons (QEP). What is QEP?

PLEASE NOTE: ALTAVRA does NOT charge a load, upfront or initial fee on any account.

Online Account Application: open.altavra.com / Account Forms: forms.altavra.com / Manager Shortcut: blackheath.altavra.com

Program Description: Trading Methodology and Risk Management

 

Blackheath Fund Management seeks capital appreciation of Clients’ accounts through speculative trading in commodity futures and options on commodity futures. There is no representation being made that the trading programs offered by Blackheath Fund Management will be successful in achieving this goal. Blackheath Fund Management offers programs based on the two strategies: the Sentiment Strategy, and the Volatility Arbitrage Strategy.


Blackheath Fund Management recommends that clients open accounts with a minimum of $500,000 for the Sentiment Strategy and $375,000 for the Volatility Arbitrage Strategy (Vol Arb), in order to ensure that clients will have sufficient equity in their accounts to fully participate in the program. However, Blackheath Fund Management reserves the right to waive these minimum funding requirements. Blackheath Fund Management will accept notionally funded accounts. Please refer to the discussion regarding units and gearing for the Volatility Arbitrage Strategy in the disclosure document.

 

The trading programs utilized by Blackheath Fund Management are proprietary and confidential. The descriptions below are therefore general by necessity and are not intended to be exhaustive.

 

Program Description: Trading Programs
Money managers generally rely on either fundamental or technical analysis, or a combination thereof, in making trading decisions and attempting to identify price trends in a commodity interest. “Fundamental analysis” is the consideration of factors external to the market of a particular instrument. For example, weather and political events which affect the supply and demand of that particular instrument, in order to predict future prices of that instrument. As an example, some of the fundamental factors that affect the supply of commodities (e.g., agricultural products such as corn and soybeans) include the acreage planted, weather during the growing season, harvesting and distribution of the commodity and the previous year’s crop carryover.
 

The demand for such commodities is determined in part by domestic consumption and exports and is a product of many factors, including general world economic conditions, exports and the cost of competing products which might be substituted as alternate sources of food or fiber.


Technical analysis is not based on the anticipated supply and demand of the “cash” or “physical” (i.e., actual) commodity; instead, technical analysis is based on the theory that a study of the markets themselves (in particular, of trends of prices established by the markets for various instruments during selected historical periods) provides a means of anticipating prices. Technical analysis of the markets often includes a study of the actual daily, weekly and monthly price fluctuations, as well as volume variations and changes in open interest, utilizing charts and/or computers for analysis of these items and other technical market data.

 

Both general methodologies have been employed with success by traders and investors in the past; however, neither trading method can be assured of success in a particular interval of time.


Program Description: The Sentiment Strategy

The investment process involves the use of sentiment and positioning indicators as part of a futures-only strategy. Generally, Blackheath Fund Management has been able to identify several exploitable market situations that are the result of hard-wired human biases and or crowd behavior. The task for Blackheath Fund Management is to constantly monitor markets for these types of situations. Then, once they are discovered, a determination must be made as to whether the situation can be traded in a way that fits within the portfolios’ risk and money management systems. To the extent that market behaviorists believe that better informed investors can exploit market sentiment to their benefit, this program falls into the general category of behavioral finance.

 

The Sentiment Strategy does not employ any technical indicators, and assessments of fundamental supply and demand factors do not play a direct role in trading decisions. The strategy is characterized by strict money management controls with the basic objective being to risk no more than 3% of capital in any single trade. Moreover, the overall portfolio risk is monitored closely in order to moderate performance volatility. Normally, the portfolio holds no more than six positions, and most typically the portfolio holds three positions.


There are approximately 30 different major contracts in which the accounts managed under this strategy will trade (including Silver, Gold, Copper, Platinum, Palladium, Japanese Yen, Swiss Franc, Canadian Dollar, Euro Currency, British Pound, Australian Dollar, Ten Year Bonds, Crude Oil, Natural Gas, Unleaded Gasoline (RBOB), Heating Oil, Soybeans, Oats, Wheat, Rice, Corn, Sugar, Cocoa, Coffee, Orange Juice, Cotton and Lumber). All are listed on internationally recognized exchanges and generally have good depth which enhances the risk management process. All ideas are expressed through outright trades (no spreads or paired trades) and are typically made in one of the first two contracts months of any future. Equity or equity related indices or futures are normally not traded and the strategy does not normally trade options contracts.


At normal leverage, the Sentiment Strategy has a margin-to-equity ratio of 5% - 10%, though instances of over 30% should be considered possible.


Program Description: The Volatility Arbitrage Strategy

The investment process involves trading both futures and futures options to exploit the fact that implied volatility (a measure of what investors are willing to pay for options) consistently outstrips realized volatility (a determinant of the fair-value of options). Past results are not necessarily indicative of future results. The risk of loss in trading futures, options and off-exchange forex can be substantial.

 

The investment strategy attempts to remain delta neutral and does not take a view on assets it sells or purchases. Portfolios

trade a diversified basket of futures and futures option. There are approximately 30 different major contracts in which portfolios will trade (including silver, cold, copper, platinum, palladium, Japanese Yen, Swiss Franc, Canadian Dollar, Euro Currency, British Pound, Australian Dollar, Ten Year Bonds, crude oil, natural gas, unleaded gasoline (RBOB), heating oil, soybeans, oats, wheat, rice, corn, sugar, cocoa, coffee, orange juice, cotton and lumber). All are listed on internationally recognized exchanges and generally have good depth which enhances the risk management process. Blackheath Fund Management may add other types of options and futures it trades in an effort to add diversification, these include but are not limited to, single stock options and options listed on other exchanges around the globe.

 

Portfolios are dynamically hedged using real-time tick by tick risk monitoring driven by an in-house algorithmic risk management system. Our system monitors such variables as implied volatility and time to expiration and creates multiple stop levels for each open position. These levels are updated frequently according to the algorithm.

 

Management Information: Christopher L. Foster

Christopher L. Foster - Chief Executive Officer, Compliance Officer, Portfolio Manager, Director. Christopher Foster is the architect and Portfolio Manager of Blackheath Fund Management’s Sentiment Strategy. Christopher Foster is also one of the founders of Blackheath Fund Management along with Chris Harrop.


Between 1989 and 2000 Christopher Foster was with Friedberg Mercantile Group (FMG) as a Registered Representative in futures and futures options contracts, then as an Associate Portfolio Manager. It was there, under the instruction of Albert Friedberg, the Portfolio Manager of FMG, that he first became familiar with analyzing crowd behavior and sentiment indicators, which was the genesis of Blackheath Fund Management’s Sentiment Strategy.


From 2000 to 2009, Christopher Foster was with Scotia McLeod as an Investment Advisor and Director, Financial Services, as well as a Portfolio Manager in futures and futures options contracts. He left Scotia in August 2009 to become C.E.O. at Blackheath Fund Management Inc.

 

Chris received a Bachelor of Arts (Honors) degree from the University of Toronto in 1985. His professional qualifications include the National Commodity Futures Exam (Series 3 and Series 32), Canadian Futures Exam (Parts I and II) (now the  Futures Licensing Course), the Canadian Securities Course, the Canadian Commodity Supervisors Exam, the Canadian Options Exam, the Canadian Investment Management Program (Parts I and II), the F.C.S.I. Designation, and the Partners, Directors and Senior Officers Exam.

 

Management Information: Dr. Andrew Cumming

Dr. Andrew Cumming – Portfolio Manager and Managing Director. Dr. Andrew Cumming is the developer and Portfolio Manager of Blackheath Fund Management's Volatility Arbitrage Strategy. Dr. Andrew Cumming has worked in equity derivatives at Citibank (1993-1996), Deutsche Bank (1996 -1998) and at Scotiabank, where he was Managing Director and Head of the Equity Related Products Group from 1998 to 2002. Since that time he has served on a number of corporate and philanthropic boards while developing innovative trading strategies in options with a Toronto proprietary trading group, before joining Blackheath Fund Management in September 2010.


Dr. Andrew Cumming earned his Ph.D. in Physics (nonlinear dynamics, pattern formation and chaos) from M.I.T. and completed his postdoctoral work at Bell Labs in New Jersey. He was awarded a Presidential Young Investigator Award by President George H.W. Bush, after which he was a faculty member in Physics at the University of Florida.


Dr. Andrew Cumming has extensive experience in modeling, trading and risk management and now brings these skills to the development and management of a direction agnostic multi-market volatility arbitrage program for qualified investors. Dr. Andrew Cumming's professional qualifications include the Canadian Securities Course, the Derivatives Fundamentals Course, the Futures Licensing Course, the Options Licensing Course and the Partners, Directors and Senior Officers Course.

 

Management Information: J. P. (Jack) Duffy
J.P. (Jack) Duffy, Director and Chairman of Audit Committee Jack is a Chartered Accountant (CA & FCA), a Certified Fraud Examiner (CFE), a Certified Financial Planner (CFP), holds the designation Institute Certified Director (ICD.D) and is a Licensed Public Accountant in the Province of Ontario.


Jack Duffy has been President of Financial & Estate Planning Inc, a company providing services of corporate finance, mergers & acquisitions, corporate reorganizations and financial, estate and succession planning since 1997. Jack Duffy has also operated J.P. Duffy, Chartered Accountant since 1997, in addition to acting as a salesperson for Dundee Private Investors Inc. since 2004.
 

Jack Duffy is on the board of a number of for-profit and not-for-profit organizations and has experience as the Chair of the audit committee on the board of a number of public companies. He has also been involved in the start-up of a number of public and not-for-profit companies. Jack Duffy has been the Office Managing Partner of a National accounting firm and Senior Vice-President of one of Canada’s largest bankruptcy and insolvency firms and is qualified as an “Expert Witness” in the Ontario Courts. Jack Duffy has forty years experience in advising businesses in matters relating to accounting, auditing, taxation and special  services involving bankruptcies, receiverships, corporate workouts and investigations in forensic accounting. His professional qualifications include the Chartered Accountant Designation, the Certified Financial Planner Designation, and completion of the Canadian Investment Funds Course.

 

The descriptions above are from the manager’s disclosure document.

 

THE RISK OF LOSS IN TRADING FUTURES, OPTIONS AND OFF-EXCHANGE FOREX CAN BE SUBSTANTIAL.  PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.  PLEASE READ THE CTA'S RISK DISCLOSURE DOCUMENT CAREFULLY BEFORE INVESTING MONEY. 

 

Disclosure Statement   Download Page Download PDF Version: Blackheath Fund Management    Print Page Printable Version: Blackheath Fund Management

 

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THE RISK OF LOSS IN TRADING FUTURES AND OPTIONS CAN BE SUBSTANTIAL. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THIS MATERIAL HAS BEEN PREPARED BY A SALES OR TRADING EMPLOYEE OR AGENT OF ALTAVRA AND IS, OR IS IN THE NATURE OF A SOLICITATION. THIS MATERIAL IS NOT A RESEARCH REPORT PREPARED BY AN ALTAVRA RESEARCH DEPARTMENT. YOU AGREE THAT YOU ARE AN EXPERIENCED USER OF THE FINANCIAL MARKETS, CAPABLE OF MAKING INDEPENDENT TRADING DECISIONS, AND AGREE THAT YOU ARE NOT, AND WILL NOT RELY SOLELY ON THIS DOCUMENT IN MAKING TRADING DECISIONS. (ALTAVRA.CO/RISK)

THIS CONTENT AND ALL OF ITS LINKS ARE FOR INFORMATIONAL PURPOSES ONLY, AND IS CURRENT ONLY AS OF THE DATE(S) HEREOF. IT DOES NOT CONSTITUTE A SOLICITATION FOR ANY CTA OR TRADING PROGRAM, AND THE INFORMATION IS SUBJECT TO CHANGE WITHOUT NOTICE. THE FIGURES CONTAINED HEREIN WERE OBTAINED OR COMPILED FROM INFORMATION PROVIDED BY THE CTA, TRADER OR THEIR REPRESENTATIVES. NEITHER ALTAVRA NOR ANY OF ITS AFFILIATES OR EMPLOYEES MAKES ANY ENDORSEMENT OR REPRESENTATION AS TO ITS ACCURACY, VALIDITY OR COMPLETENESS. THE INFORMATION HAS NOT BEEN INDEPENDENTLY VERIFIED AND THEREFORE CANNOT BE GUARANTEED. WHILE ALTAVRA MAY PROVIDE INVESTORS WITH CTA ANALYSIS, ALTAVRA DOES NOT PROVIDE “DUE DILIGENCE” ON AN INVESTOR’S BEHALF AND IS NOT RESPONSIBLE FOR A CUSTOMER’S INVESTMENT DECISIONS.

NO OFFER OR SOLICITATION MAY BE MADE PRIOR TO REVIEW OF THE CTA’S CURRENT DISCLOSURE DOCUMENT (
FORMS.ALTAVRA.COM), WHICH INVESTORS SHOULD READ CAREFULLY PRIOR TO INVESTING. INVESTORS MAY ALSO WISH TO CONSULT THEIR LEGAL, TAX AND INVESTMENT ADVISORS TO DETERMINE WHETHER AN INVESTMENT IS APPROPRIATE IN LIGHT OF THE INVESTOR’S RISK TOLERANCE, INVESTMENT OBJECTIVES AND FINANCIAL SITUATION.

ALL FUTURES AND OPTIONS TRADING INCLUDING MANAGED FUTURES IS SPECULATIVE, INVOLVES A HIGH DEGREE OF RISK AND IS SUITABLE ONLY FOR PERSONS WHO CAN ASSUME THE RISK OF LOSS IN EXCESS OF THEIR MARGIN DEPOSIT. NO REPRESENTATION OR ASSURANCE IS MADE THAT ANY CTA OR TRADING PROGRAM WILL OR IS LIKELY TO ACHIEVE ITS OBJECTIVES, BENCHMARKS OR TARGETED RETURNS OR THAT ANY INVESTOR WILL OR IS LIKELY TO ACHIEVE A PROFIT OR WILL BE ABLE TO AVOID INCURRING SUBSTANTIAL LOSSES.

 
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