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/ Brisslen Capital Management, LLC / Brisslen Energy Strategy - Proprietary

Brisslen Capital Management, LLC : Brisslen Energy Strategy - Proprietary

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Year-to-Date
19.59%
Jun Performance
-7.04%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
20.84%
Sharpe (RFR=1%)
0.21
CAROR
3.30%
Assets
$ 228k
Worst DD
-31.51
S&P Correlation
0.28
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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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Brisslen Energy Strategy - Proprietary -7.04 -5.31 -19.59 -2.68 -4.03 - - 15.73
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 58.16
+/- S&P 500 -8.88 -25.26 -15.55 -8.07 -30.86 - - -42.43

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 3%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 32.69%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 65.00%
1-30 Days 35.00%
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.

Monthly Annual
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
-31.51 5 9 7/1/2018 12/1/2018
-19.61 7 - 11/1/2019 6/1/2020
-5.94 1 1 1/1/2017 2/1/2017
-3.80 1 1 9/1/2016 10/1/2016
-2.41 3 1 10/1/2017 1/1/2018
-0.77 1 1 4/1/2016 5/1/2016
-0.32 2 1 1/1/0001 2/1/2016
-0.04 1 1 5/1/2018 6/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
28.45 2 1/1/2019 2/1/2019
23.47 4 8/1/2019 11/1/2019
14.01 8 3/1/2017 10/1/2017
13.60 1 5/1/2019 5/1/2019
10.88 1 4/1/2020 4/1/2020
8.49 3 11/1/2016 1/1/2017
8.19 4 2/1/2018 5/1/2018
8.10 4 6/1/2016 9/1/2016
2.75 2 3/1/2016 4/1/2016
2.22 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.51 5 8/1/2018 12/1/2018
-15.10 4 12/1/2019 3/1/2020
-14.60 2 5/1/2020 6/1/2020
-9.65 2 3/1/2019 4/1/2019
-5.94 1 2/1/2017 2/1/2017
-3.80 1 10/1/2016 10/1/2016
-2.66 2 6/1/2019 7/1/2019
-2.41 3 11/1/2017 1/1/2018
-0.77 1 5/1/2016 5/1/2016
-0.32 2 1/1/2016 2/1/2016
-0.04 1 6/1/2018 6/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable55.5673.0871.4374.4270.2767.7489.47
Average Period Return0.441.713.637.558.249.0213.87
Average Gain3.885.479.6313.7715.2716.5916.28
Average Loss-4.02-8.49-11.38-10.55-8.39-6.86-6.59
Best Period22.3222.9335.9458.4327.3927.7435.61
Worst Period-15.38-29.74-29.99-26.08-24.67-20.31-9.15
Standard Deviation6.018.8612.6814.6512.6913.3211.20
Gain Standard Deviation5.025.398.2010.966.398.069.04
Loss Standard Deviation4.138.498.866.696.705.753.62
Sharpe Ratio (1%)0.060.170.250.450.530.530.97
Average Gain / Average Loss0.970.640.851.301.822.422.47
Profit / Loss Ratio1.261.752.123.804.305.0820.99
Downside Deviation (10%)3.916.608.708.539.4710.519.01
Downside Deviation (5%)3.766.217.826.686.425.923.23
Downside Deviation (0%)3.726.127.616.245.754.982.29
Sortino Ratio (10%)0.010.070.130.300.07-0.12-0.21
Sortino Ratio (5%)0.100.240.400.981.051.193.36
Sortino Ratio (0%)0.120.280.481.211.431.816.05

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.

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