Brisslen Capital Management, LLC : Brisslen Energy Strategy - Client

Year-to-Date
27.12%
Oct Performance
2.53%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
13.93%
Sharpe (RFR=1%)
0.49
CAROR
-
Assets
$ 6.0M
Worst DD
-16.48
S&P Correlation
0.05

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
12/2017
Brisslen Energy Strategy - Client 2.53 13.11 27.12 10.86 - - - 14.08
S&P 500 2.04 1.92 21.16 12.01 - - - 11.33
+/- S&P 500 0.49 11.20 5.96 -1.15 - - - 2.75

Strategy Description

Summary

Fundamental/Technical: Henry Hub Natural Gas and WTI Crude Oil... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
15.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
16.48%
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
50.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

Fundamental/Technical: Henry Hub Natural Gas and WTI Crude Oil

Investment Strategy

Brisslen applies a fundamental supply and demand foundation to a technical methodology while operating within a framework of rigorous risk management infrastructure. Brisslen trades long/short natural gas and crude oil futures to capture directional and relative value opportunities which should provide for returns that are uncorrelated to other asset classes.

Risk Management

Drawdown -4.99% Max MTE 15.00%
Drawdown -5.00% Max MTE 11.250%
Drawdown -7.50% Max MTE 7.500%
Drawdown -10.00% Max MTE 3.750%

   

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

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
-16.48 5 9 7/1/2018 12/1/2018
-2.28 1 1 12/1/2017 1/1/2018
-0.08 1 1 5/1/2018 6/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
13.11 3 8/1/2019 10/1/2019
12.36 2 1/1/2019 2/1/2019
7.11 1 5/1/2019 5/1/2019
5.26 1 2/1/2018 2/1/2018
2.19 2 4/1/2018 5/1/2018
1.25 1 7/1/2018 7/1/2018
1.04 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.48 5 8/1/2018 12/1/2018
-5.02 2 3/1/2019 4/1/2019
-2.28 1 1/1/2018 1/1/2018
-1.68 2 6/1/2019 7/1/2019
-0.08 1 6/1/2018 6/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods23.0021.0018.0012.00
Percent Profitable47.8371.4361.1116.67
Average Period Return0.651.711.81-2.66
Average Gain3.785.028.138.04
Average Loss-2.42-6.58-8.13-4.80
Best Period9.2013.1119.1210.86
Worst Period-8.97-15.13-15.43-11.18
Standard Deviation4.026.789.525.94
Gain Standard Deviation2.843.445.353.98
Loss Standard Deviation2.525.954.563.30
Sharpe Ratio (1%)0.140.210.14-0.62
Average Gain / Average Loss1.560.761.001.68
Profit / Loss Ratio1.561.911.570.34
Downside Deviation (10%)2.565.087.119.39
Downside Deviation (5%)2.404.665.996.01
Downside Deviation (0%)2.354.565.715.23
Sortino Ratio (10%)0.100.09-0.09-0.82
Sortino Ratio (5%)0.240.310.22-0.61
Sortino Ratio (0%)0.280.370.32-0.51

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.