Research Center

Blackthorne Research Center

Welcome to the Blackthorne Research Center, dedicated to rigorous inquiry and advancing understanding across diverse fields. Explore our work and join us in the pursuit of meaningful discoveries.

Blackthorne Wins Above Replacement Portfolio (BWARP)

Inspired by Money Ball and a variation of the CWARP, developed by Christopher Cole. CWARP assesses the positive or negative impact of an alternative investment on the existing portfolio’s risk adjusted return through the utilization of the Sortino and Return to Max Drawdown ratio. 

The research put forth by Blackthorne examines the stability of this metric and proposes a variation to the calculation which captures the value while increasing its reliability across portfolio structures and market regimes.

Managing Normal and Catastrophic Risk

The management of normal and catastrophic risk is an important concern as a part of effective portfolio management.  This paper describes some current methods used to manage tail risk in the futures market, and describes a scenario analysis approach to stress testing developed at Blackthorne Capital Management. 

The approach relies on the identification of days with extreme moves in returns, and uses those return values as a basis for limiting position sizes in specific markets. 

Managing Seasonality in Agricultural Futures Markets

Agricultural futures markets differ from equity and other financial markets in important ways. One important difference is the implied seasonality in agricultural markets precipitated by the traditional seasonality in production (Gann, 1941; Williams and Noseworthy, 1977; Grushkow and Smith, 1980, Bernstein, 1997).

This paper describes a method developed at Blackthorne Capital Management for improving the returns in strategies with exposure in the agricultural markets by analyzing the seasonality in returns.