Cogent Energy Investment Management, LLC : Cogent Energy Commodity Strategy

archived programs
Year-to-Date
N / A
Dec Performance
1.87%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.55%
Sharpe (RFR=1%)
1.05
CAROR
18.49%
Assets
$ 134.7M
Worst DD
-10.01
S&P Correlation
0.02

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Cogent Energy Commodity Strategy 1.87 - - - - 2.40 - 66.37
S&P 500 -1.75 - - - - 62.49 - 116.05
+/- S&P 500 3.62 - - - - -60.10 - -49.68

Strategy Description

Summary

The Cogent Energy Commodity Strategy was launched in January 2013 as an absolute return/non-correlating strategy based on exposure to outright and relative value risk in the US natural gas and electricity commodity futures markets. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
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 QEP
Lock-up Period 1

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -15.00%
Worst Peak-to-Trough -10.01%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 45.00%
1-30 Days 45.00%
Intraday 5.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The Cogent Energy Commodity Strategy was launched in January 2013 as an absolute return/non-correlating strategy based on exposure to outright and relative value risk in the US natural gas and electricity commodity futures markets.

Investment Strategy

Investment themes are generated through fundamental analysis of macro-level supply and demand balances for the physical commodities. The investment objective is to preserve capital and generate absolute returns through positioning the portfolio to capture substantial macroeconomic shifts in the supply and demand balance of these markets. Cogent develops its macro view of the US natural gas and electricity markets through a process driven by its research program. The research program is intended to cover a wide variety of long- and short-term proprietary fundamental studies and analyses of physical markets for domestic and international energy commodities. Based on this research, Cogent seeks to identify macro changes in the supply and demand balances for natural gas and electricity to generate its macro view.

Risk Management

As an alternative investment product, the Cogent Energy Commodity Strategy maintains a high level of liquidity in portfolio construction through the use of only exchange-traded products at the primary trading hubs within, primarily, the first 6 listed calendar months. A comprehensive risk management policy is in place which seeks to protect capital at risk through maximum daily VaR limits, drawdown triggers, and a full suite of risk reporting measures provided by an independent third party vendor.

   

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:
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Risk
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-10.01 6 1 3/1/2013 9/1/2013
-9.36 6 4 5/1/2014 11/1/2014
-4.56 1 2 2/1/2014 3/1/2014
-2.56 2 2 4/1/2015 6/1/2015
-1.66 1 2 1/1/0001 1/1/2013
-0.41 1 1 11/1/2013 12/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
30.62 2 1/1/2014 2/1/2014
20.05 2 10/1/2013 11/1/2013
15.33 5 12/1/2014 4/1/2015
12.52 6 7/1/2015 12/1/2015
5.13 2 4/1/2014 5/1/2014
4.70 2 2/1/2013 3/1/2013
1.40 1 8/1/2013 8/1/2013
1.28 2 9/1/2014 10/1/2014
0.10 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.39 4 4/1/2013 7/1/2013
-8.29 1 11/1/2014 11/1/2014
-4.56 1 3/1/2014 3/1/2014
-2.56 2 5/1/2015 6/1/2015
-2.06 1 9/1/2013 9/1/2013
-1.66 1 1/1/2013 1/1/2013
-1.44 1 6/1/2014 6/1/2014
-1.09 1 8/1/2014 8/1/2014
-0.41 1 12/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable63.8964.7170.9796.00100.00100.00
Average Period Return1.534.9110.2924.0833.6451.24
Average Gain3.789.4716.4525.1233.6451.24
Average Loss-2.45-3.45-4.78-0.88
Best Period15.4730.0852.9553.5260.7268.04
Worst Period-8.29-7.98-10.01-0.885.3239.06
Standard Deviation4.789.3416.4118.4516.138.51
Gain Standard Deviation4.378.4515.6118.0916.138.51
Loss Standard Deviation2.172.793.17
Sharpe Ratio (1%)0.300.500.601.251.995.79
Average Gain / Average Loss1.542.743.4428.70
Profit / Loss Ratio2.735.038.42688.83
Downside Deviation (10%)2.123.214.231.290.52
Downside Deviation (5%)1.972.713.270.38
Downside Deviation (0%)1.932.593.040.18
Sortino Ratio (10%)0.531.151.8514.7749.89
Sortino Ratio (5%)0.741.723.0061.54
Sortino Ratio (0%)0.791.893.39137.57

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.