Talenta Capital LLP : CTA Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.85% Jul Performance 0.32% Min Investment $ 950k Mgmt. Fee 1.00% Perf. Fee 10.00% Annualized Vol 13.25% Sharpe (RFR=1%) 0.29 CAROR 4.07% Assets $ 596k Worst DD -13.79 S&P Correlation -0.11 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since2/2017 CTA 0.32 -1.62 -0.85 -12.77 12.23 - - 14.98 S&P 500 5.51 12.32 1.25 9.76 31.27 - - 46.58 +/- S&P 500 -5.19 -13.93 -2.10 -22.53 -19.05 - - -31.60 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyPortfolio 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 ManagementFive 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -13.79 5 - 8/1/2019 1/1/2020 -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 Show More 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 6.08 2 2/1/2020 3/1/2020 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 0.32 1 7/1/2020 7/1/2020 0.21 1 11/1/2019 11/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.82 2 9/1/2019 10/1/2019 -5.66 2 12/1/2019 1/1/2020 -5.62 1 2/1/2018 2/1/2018 -4.92 3 4/1/2020 6/1/2020 -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 4 Year1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods8.0042.0040.0037.0031.0025.0019.00 Percent Profitable87.5045.2457.5059.4670.9772.0073.68 Average Period Return7.390.401.082.655.867.7710.10 Average Gain9.163.533.956.549.6812.0715.01 Average Loss-5.00-2.18-2.80-3.05-3.48-3.30-3.65 Best Period14.6012.6710.4418.3622.3721.8128.65 Worst Period-5.00-7.25-8.63-9.47-6.94-6.21-5.10 Standard Deviation7.753.834.216.348.849.5210.92 Gain Standard Deviation6.393.312.815.007.527.528.09 Loss Standard Deviation1.702.132.722.471.941.74 Sharpe Ratio (1%)0.430.080.200.340.550.660.74 Average Gain / Average Loss1.831.621.412.142.783.664.11 Profit / Loss Ratio12.831.341.913.146.799.4111.51 Downside Deviation (10%)15.912.282.963.934.976.397.60 Downside Deviation (5%)3.532.082.402.812.722.723.01 Downside Deviation (0%)1.772.032.272.562.261.992.04 Sortino Ratio (10%)-0.890.00-0.050.050.170.03-0.02 Sortino Ratio (5%)0.940.150.350.761.782.312.69 Sortino Ratio (0%)4.180.200.481.032.593.914.96 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. x {{title}} x {{title}} Add Cancel