Brisslen Capital Management, LLC : Brisslen Energy Strategy - Proprietary

Year-to-Date
51.12%
Sep Performance
6.86%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
20.58%
Sharpe (RFR=1%)
0.46
CAROR
8.82%
Assets
$ 327k
Worst DD
-31.51
S&P Correlation
0.17

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Brisslen Energy Strategy - Proprietary 6.86 15.44 51.12 6.18 24.96 - - 37.28
S&P 500 1.72 1.19 18.74 2.15 35.89 - - 49.30
+/- S&P 500 5.14 14.25 32.38 4.03 -10.93 - - -12.01

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.

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
-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
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
28.45 2 1/1/2019 2/1/2019
17.75 2 8/1/2019 9/1/2019
14.01 8 3/1/2017 10/1/2017
13.60 1 5/1/2019 5/1/2019
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
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-31.51 5 8/1/2018 12/1/2018
-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 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable60.0081.4077.5070.5967.8668.18
Average Period Return0.882.073.374.147.8410.12
Average Gain3.734.807.8610.5915.9118.27
Average Loss-3.61-9.91-12.10-11.34-9.21-7.37
Best Period22.3221.4630.9017.2823.1927.74
Worst Period-15.38-29.74-29.99-26.08-24.67-20.31
Standard Deviation5.948.2511.0811.3813.4414.40
Gain Standard Deviation5.074.576.354.665.828.30
Loss Standard Deviation4.4910.279.996.507.206.44
Sharpe Ratio (1%)0.130.220.260.280.470.56
Average Gain / Average Loss1.030.480.650.931.732.48
Profit / Loss Ratio1.642.122.242.243.655.31
Downside Deviation (10%)3.646.358.239.5010.3210.77
Downside Deviation (5%)3.516.037.467.487.196.28
Downside Deviation (0%)3.485.957.277.006.495.35
Sortino Ratio (10%)0.130.130.11-0.090.02-0.01
Sortino Ratio (5%)0.230.300.380.420.881.29
Sortino Ratio (0%)0.250.350.460.591.211.89

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.