Talenta Capital LLP : CTA

Year-to-Date: 3.33%
Dec Performance: -3.72%

Min Investment: $ 950k
Mgmt. Fee: 1.00%
Perf. Fee: 10.00%

Annualized Vol: 14.05%
Sharpe (RFR=1%): 0.36
CAROR: 5.21%

Assets: $ 601k
Worst DD: -12.03
S&P Correlation: 0.00

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Growth of 1,000 - VAMI

Monthly Performance

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	2019	1yr	3yr	5yr	10yr	Since 2/2017
CTA	-3.72	-5.15	-3.33	-3.33	-	-	-	15.96
S&P 500	2.86	8.53	28.87	28.87	-	-	-	35.30
+/- S&P 500	-6.58	-13.68	-32.20	-32.20	-	-	-	-19.33

Strategy Description

Summary

The CTA Fund offers investors access to Talenta Capital's systematic trend following trading strategy which takes long and short trades in highly liquid futures across a range of global markets. The strategy is designed to offer uncorrelated returns and a measure of protection against... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 950k
Trading Level Incremental Increase: $ 500k
CTA Max Funding Factor: 2.00
Management Fee: 1.00%
Performance Fee: 10.00%
Average Commission: $0
Available to US Investors: No

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: 100 RT/YR/$M
Avg. Margin-to-Equity: 20%
Targeted Worst DD: -15.00%
Worst Peak-to-Trough: 15.00%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 20.00%
1-3 Months: 80.00%
1-30 Days: 0%
Intraday: 0%

Summary

Investment Strategy

Portfolio creation algorithms have no tuneable parameters, exploit price pattern information, avoid lagged indicators and apply correlation controls when identifying potential trades. Position sizes are risk-adjusted. The strategy is designed to offer structural resilience in both range-bound and trending markets. The operational architecture reflects decades of systems and trading experience.

Risk Management

Five key principles used to control risk include: (1) Dynamic capital allocation enabling reduced risk of Fund drawdowns; (2) Proprietary, systematic risk management at fund and position levels combined with risk-adjusted position sizing; (3) Portfolios designed to be systematically uncorrelated at the instrument level, reducing potential exposure to adverse events in specific markets; (4) Lack of leverage applied to underlying instruments combined with high liquidity execution methods, enabling reduced slippage and downside volatility; (5) Structural long term non-correlation of CTA with equities markets.

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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.

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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
-12.03	4	-	8/1/2019	12/1/2019
-5.62	1	2	1/1/2018	2/1/2018
-5.09	5	4	8/1/2018	1/1/2019
-4.69	4	1	2/1/2017	6/1/2017
-3.83	2	1	7/1/2017	9/1/2017
-2.45	1	2	10/1/2017	11/1/2017
-1.17	2	1	5/1/2019	7/1/2019
-0.84	1	1	4/1/2018	5/1/2018

Consecutive Gains

Run-up	Length (Mos.)	Start	End
12.67	1	10/1/2017	10/1/2017
8.83	2	12/1/2017	1/1/2018
7.15	1	8/1/2019	8/1/2019
7.06	2	3/1/2018	4/1/2018
5.92	1	5/1/2019	5/1/2019
5.27	1	7/1/2017	7/1/2017
3.45	1	11/1/2018	11/1/2018
3.33	1	2/1/2017	2/1/2017
2.99	3	6/1/2018	8/1/2018
2.83	1	4/1/2017	4/1/2017
1.23	1	2/1/2019	2/1/2019
0.21	1	11/1/2019	11/1/2019

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-8.82	2	9/1/2019	10/1/2019
-5.62	1	2/1/2018	2/1/2018
-4.58	2	9/1/2018	10/1/2018
-4.47	2	5/1/2017	6/1/2017
-3.85	2	12/1/2018	1/1/2019
-3.83	2	8/1/2017	9/1/2017
-3.72	1	12/1/2019	12/1/2019
-2.98	1	3/1/2017	3/1/2017
-2.45	1	11/1/2017	11/1/2017
-1.17	2	6/1/2019	7/1/2019
-0.84	1	5/1/2018	5/1/2018
-0.61	2	3/1/2019	4/1/2019

Time Windows Analysis

	3 Year	4 Year	1 Month	3 Month	6 Month	12 Month	18 Month
Number of Periods	20.00	8.00	35.00	33.00	30.00	24.00	18.00
Percent Profitable	40.00	87.50	45.71	63.64	70.00	79.17	88.89
Average Period Return	0.45	7.39	0.50	1.56	4.02	8.30	11.69
Average Gain	5.75	9.16	3.80	3.92	6.79	10.96	13.41
Average Loss	-3.08	-5.00	-2.27	-2.58	-2.45	-1.81	-2.01
Best Period	10.05	14.60	12.67	10.44	18.36	22.37	21.81
Worst Period	-8.03	-5.00	-7.25	-8.63	-5.85	-3.33	-3.77
Standard Deviation	5.40	7.75	4.06	4.16	6.04	8.36	8.16
Gain Standard Deviation	4.14	6.39	3.43	2.95	4.97	7.29	6.84
Loss Standard Deviation	2.34		1.86	2.26	1.87	1.21	2.48
Sharpe Ratio (1%)	-0.48	0.43	0.10	0.31	0.58	0.87	1.25
Average Gain / Average Loss	1.86	1.83	1.67	1.52	2.78	6.06	6.66
Profit / Loss Ratio	1.24	12.83	1.41	2.66	6.48	23.01	53.26
Downside Deviation (10%)	16.19	15.91	2.38	2.65	2.92	3.35	3.95
Downside Deviation (5%)	5.11	3.53	2.19	2.15	1.88	1.38	1.32
Downside Deviation (0%)	2.95	1.77	2.14	2.03	1.65	0.96	0.89
Sortino Ratio (10%)	-0.95	-0.89	0.04	0.12	0.53	0.98	1.04
Sortino Ratio (5%)	-0.51	0.94	0.19	0.61	1.87	5.31	7.71
Sortino Ratio (0%)	0.15	4.18	0.23	0.77	2.44	8.62	13.13

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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More Programs by Talenta Capital LLP

Program Name	CAROR
Multi-Strategy	12.25%
CTA	5.21%

IASG Activity

Blends 13
Portfolios 6
Watchlists 8

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Talenta Capital LLP : CTA

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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