Talenta Capital LLP : CTA

Year-to-Date
0.20%
Oct Performance
-1.69%
Min Investment
$ 950k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
14.24%
Sharpe (RFR=1%)
0.47
CAROR
6.92%
Assets
$ 623k
Worst DD
-8.82
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2017
CTA -1.69 -2.30 0.20 2.36 - - - 20.19
S&P 500 2.04 1.92 21.16 12.01 - - - 27.20
+/- S&P 500 -3.73 -4.22 -20.96 -9.65 - - - -7.01

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%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
10.00%
Currency FX
10.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Composition Pie Chart

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 adverse market events. The CTA strategy targets annual growth of 10-15% at a level of volatility of 10-15%.

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.

   

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
-8.82 2 - 8/1/2019 10/1/2019
-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
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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
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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
-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
Show More

Time Windows Analysis

 3 Year4 Year1 Month3 Month6 Month12 Month18 Month
Number of Periods20.008.0033.0031.0028.0022.0016.00
Percent Profitable40.0087.5045.4567.7475.0086.3693.75
Average Period Return0.457.390.642.104.639.2513.34
Average Gain5.759.164.043.926.7910.9614.25
Average Loss-3.08-5.00-2.19-1.72-1.85-1.63-0.26
Best Period10.0514.6012.6710.4418.3622.3721.81
Worst Period-8.03-5.00-7.25-3.08-3.92-2.48-0.26
Standard Deviation5.407.754.113.635.778.076.98
Gain Standard Deviation4.146.393.412.954.977.296.17
Loss Standard Deviation2.341.880.811.481.13
Sharpe Ratio (1%)-0.480.430.140.510.721.021.70
Average Gain / Average Loss1.861.831.842.283.686.7455.22
Profit / Loss Ratio1.2412.831.534.7911.0342.71828.36
Downside Deviation (10%)16.1915.912.351.752.342.752.57
Downside Deviation (5%)5.113.532.161.201.361.030.44
Downside Deviation (0%)2.951.772.111.071.150.690.06
Sortino Ratio (10%)-0.95-0.890.100.500.921.542.23
Sortino Ratio (5%)-0.510.940.261.543.048.0226.88
Sortino Ratio (0%)0.154.180.301.964.0313.39206.84

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.