Tellurian Capital : Tellurian Ascend Fund (Long Active)

archived programs
Year-to-Date
N / A
Apr Performance
-0.55%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.87%
Sharpe (RFR=1%)
0.62
CAROR
12.92%
Assets
$ 26.9M
Worst DD
-22.50
S&P Correlation
0.53

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
1/2010
Tellurian Ascend Fund (Long Active) -0.55 4.78 - 9.65 - - - 32.78
S&P 500 -0.75 6.51 - 2.49 - - - 30.15
+/- S&P 500 0.20 -1.73 - 7.16 - - - 2.62

Strategy Description

Summary

The Tellurian Long Active strategy will implement a discretionary trading strategy in the commodity markets with a long bias and a focus on derivative instruments (futures, options, OTC products and cleared OTC products). There will be no physical deliveries in the course of the trading... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
13.00%
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
20.00%
1-3 Months
75.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
74.00%
Precious Metals
26.00%
Composition Pie Chart

Summary

The Tellurian Long Active strategy will implement a discretionary trading strategy in the commodity markets with a long bias and a focus on derivative instruments (futures, options, OTC products and cleared OTC products). There will be no physical deliveries in the course of the trading activity. The activity will focus on Energy (oil, natural gas and coal), Metals and Agriculturals. No equities are traded.

Investment Strategy

The Tellurian Long Active strategy will follow a discretionary approach based on fundamentals. There will be no systematic trading based on ‘black box’ trading model as a CTA would do or a set portfolio algorithm. Although the strategy will be largely directional with a long bias, it anticipates to entertain some pure relative value trades such as ‘crack spreads’ between oil products, calendar spreads, differentials between two products of the same family, option (volatility) trades, etc

Risk Management

Particular attention is given to the adequate sizing of positions prior to execution, and to the need to assess the current and anticipated liquidity of the segment of the market. This is in order to ensure ability to take profit or unwind positions without encountering critical liquidity issues. Concretely, the total net exposure for the Strategy of up to 250% of Assets will be allocated among the various portfolios. In all cases these limits will be calibrated to the liquidity of the related market, which could vary depending of market conditions prevailing at the time. On average the strategy has been running a net exposure of around 100% of Assets since inception. Only liquid instruments are traded.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Statistics & Ratios

Reward
Average RoR:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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Average Loss:
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Sharpe Ratio: (RF=0%)
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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
-22.50 1 - 8/1/2011 9/1/2011
-6.62 3 5 4/1/2010 7/1/2010
-1.63 1 1 1/1/0001 1/1/2010
-0.89 1 1 1/1/2011 2/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
26.21 6 3/1/2011 8/1/2011
16.80 1 10/1/2011 10/1/2011
12.67 3 2/1/2010 4/1/2010
10.38 3 1/1/2012 3/1/2012
6.20 3 11/1/2010 1/1/2011
2.84 2 8/1/2010 9/1/2010
0.06 1 6/1/2010 6/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.50 1 9/1/2011 9/1/2011
-6.26 1 5/1/2010 5/1/2010
-5.08 2 11/1/2011 12/1/2011
-1.63 1 1/1/2010 1/1/2010
-0.89 1 2/1/2011 2/1/2011
-0.55 1 4/1/2012 4/1/2012
-0.44 1 10/1/2010 10/1/2010
-0.44 1 7/1/2010 7/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable67.8676.9273.91100.00100.00
Average Period Return1.223.576.3416.0423.64
Average Gain3.796.6110.5316.0423.64
Average Loss-4.20-6.53-5.55
Best Period16.8014.8526.2135.0937.57
Worst Period-22.50-15.30-9.712.504.01
Standard Deviation6.317.139.968.449.65
Gain Standard Deviation3.944.047.938.449.65
Loss Standard Deviation7.135.722.55
Sharpe Ratio (1%)0.180.470.591.782.29
Average Gain / Average Loss0.901.011.90
Profit / Loss Ratio1.903.375.38
Downside Deviation (10%)4.624.504.270.611.08
Downside Deviation (5%)4.524.113.31
Downside Deviation (0%)4.494.023.07
Sortino Ratio (10%)0.180.520.9118.2114.87
Sortino Ratio (5%)0.250.811.76
Sortino Ratio (0%)0.270.892.06

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.