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Recent Statistics
  • Sep Return: 2.58%
  • YTD Return: 12.62%
  • Annual CROR:1 6.12 %
  • Worst DD:2 -29.32%
  • Losing Streak:3 -0.98 %
  • Sharpe Ratio:4 0.36
  • Min Investment: $15,000
  • AUM:5 $524,955
  • Calmar Ratio:6 0.00
The objective of our strategy is to achieve substantial capital appreciation through the speculative trading of option credit spreads in the Energy Markets. Despite the limited exposure afforded by spread writing, this strategy entails a comparatively high level of risk. The seller (writer) of an option risks losing the difference between the premiums received for the option and the price of the underlying futures contract that the writer must purchase upon exercise of the option. The value of options contracts primarily consist of two components, intrinsic value and time value. Intrinsic value is the amount the contract is in the money and time value is the premium received less intrinsic value. BNC CL will mainly use out of the money option spreads, thus there is no intrinsic value, only time value. Determining the trading range, the individual strike prices and the Bluenose Capital Management, LLC's primary goal is the development and implementation of alternative investment strategies to generate better than average growth. Unlike traditional equity managers, our managed futures programs seek to be flexible enough to profit in rising markets as well as declining markets and inflationary or deflationary environments. Further, we believe that investments in stock indexes and commodities, not individual stocks or sectors, hold more possibilities for growth than day trading, swing trading, trend following or "buy and hold" strategies. Since market conditions are constantly changing, we continually reevaluate the particular strategies being employed at any point in time. Bluenose Capital Management, LLC trading strategy incorporates five vital elements; fundamental analysis, technical analysis, money-management, strategy identification and risk assessment.

By constantly monitoring and evaluating these various factors we are able to maintain the overall risk profile of our programs to maximize returns without taking outsized risk relative to our return targets. At present, the main alternative investment strategy that best meets Bluenose Capital Management, LLC criteria for effective growth to risk management is one that focuses on the writing (selling) of options using futures contracts of indices and other commodities.

Rob McLallen is Managing Director and co-founder of Bluenose Capital Management, LLC. Mr. McLallen earned his BBA with a concentration in finance from The College of William and Mary. He has over 20 years of experience in the financial services industry serving both individuals and institutional clients. Mr. McLallen has held positions as a financial advisor at Merrill Lynch and UBS. He served as a Principal of Castlemaine Partners, LLC, a registered investment advisor he founded in 2001. He lives in Vienna, Virginia with his wife and two sons. Mr. McLallen is active in his community lacrosse, serving on the leadership board of the Fellowship of Christian Athletes Lacrosse Ministry and as a member of the College of Elders at Vienna Presbyterian Church. Joseph Natoli is Managing Director and co-founder of Bluenose Capital Management, LLC. Mr. Natoli received a Bachelors of Science in Economics from Randolph Macon College and earned his MBA from The George Washington University. Mr. Natoli has over 12 years of experience in the commodity markets holding trading and management positions at Chesapeake Investment Services. Mr. Natoli founded Zephyr Asset Management, a registered commodity trading advisor serving as Managing Director until starting Bluenose Capital Management. Mr. Natoli is Series 3 (National Commodities Futures Representative) qualified. He lives in Davidsonville, Maryland with his wife and two daughters. Mr. Natoli is active in his community and coaches girls Travel soccer.


  • Trading Methodology
    100% Discretionary
  • Style Sub-Categories
    Option Writer
  • Trading Style
    100% Option Trading
  • Market Allocation

  • Holding Period
    30% Medium Term
    70% Short Term
  • Sector
    US
    Contracts
    Options

Performance Since December 2013

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 2.48% 2.57% 1.89% 1.93% -1.37% -0.86% -1.08% 3.97% 2.58%   12.62% -3.27%
2016 -5.63% 5.55% 2.67% -6.60% 7.15% 4.48% 1.13% 3.48% 0.16% 1.07% -1.48% 4.38% 16.49% -6.6%
2015 3.52% 0.78% 3.46% 3.69% -2.39% 2.54% -2.92% -5.78% 4.21% 0.66% 0.18% -0.82% 6.79% -8.53%
2014 -1.23% 6.30% -2.92% 7.23% 6.66% 1.58% -11.41% 10.84% 0.84% -10.01% -18.68% -2.46% -16.3% -29.32%
2013  7.08% 7.08% 0%

Years20132014201520162017 YTD
ROR7.08%-16.30%6.79%16.49%12.62%
Max DD0.00%-29.32%-8.53%-6.60%-3.27%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING. THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

Program Information
  • Start Date: Dec-2013
  • New Money: Yes
  • Min Investment: $15,000
  • Fund Minimum: $0
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0419569
  • Currency: US Dollar
  • AUM:5 $524,955
  • Annual CROR:1 : 6.12%
  • Worst Drawdown:2 -29.32 %
  • Losing Streak:3 -0.98 %
  • Sharpe Ratio:4 0.36
  • Calmar Ratio:6 0.00
  • Margin:7: 50-60%
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: None
  • Avg Comm:8 12.00
  • Max Comm:9:
  • Round Turns:10 8,000
Additional Information
  • Other Memberships: None Listed
  • Correlations: AG CTA Index: 0.122 | AG Discretionary CTA Index: 0.509 | Option Writer Asset Weighted Index: 0.652 |
  • Track Record Prepared By: In-House

  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

    THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.