Talenta Capital LLP : Multi-Strategy

Year-to-Date
1.37%
Jul Performance
4.64%
Min Investment
$ 950k
Mgmt. Fee
0.75%
Perf. Fee
10.00%
Annualized Vol
12.70%
Sharpe (RFR=1%)
0.71
CAROR
9.68%
Assets
$ 716k
Worst DD
-13.37
S&P Correlation
0.84

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 Since
2/2017
Multi-Strategy 4.64 2.24 -1.37 -0.66 27.74 - - 38.16
S&P 500 5.51 12.32 1.25 9.76 31.27 - - 46.58
+/- S&P 500 -0.87 -10.07 -2.62 -10.41 -3.53 - - -8.42

Strategy Description

Summary

The Talenta Multi-Strategy Fund offers investors a range of uncorrelated, systematic and momentum trading strategies that trade highly liquid futures across global markets and S&P500. The Fund targets annual growth of 10-15% at a level of volatility below 10%.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 950k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 0.75%
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 50.00%
4-12 Months 10.00%
1-3 Months 40.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
55.00%
Currency Futures
5.00%
Currency FX
5.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Grains
5.00%
Interest Rates
5.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Summary

The Talenta Multi-Strategy Fund offers investors a range of uncorrelated, systematic and momentum trading strategies that trade highly liquid futures across global markets and S&P500. The Fund targets annual growth of 10-15% at a level of volatility below 10%.

Investment Strategy

The trading strategy portfolio is designed to capture market upside and offer protection against adverse market events (‘crisis alpha’) offering 'attractive correlation' over time which is structural in nature. Portfolios are created using algorithms with few tuneable parameters and positions that are risk-adjusted. The approach is designed to offer structural resilience in both range-bound and trending markets.

Risk Management

Proprietary capital allocation, capital preservation and risk management algorithms operate across and within strategies enabling drawdown reduction and low latency market recovery. Risk management is applied at Fund, strategy and instrument levels. Risk management techniques include: - volatility adjusted position sizing - low parameter, price-driven threshold analysis - volatility ranking - correlation controls - limitations on equity per position - portfolio heat-based risk management - risk free rate threshold to underpin absolute return intent

   

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:
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Loss Frequency:
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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
-13.37 3 - 12/1/2019 3/1/2020
-10.51 4 6 8/1/2018 12/1/2018
-5.29 1 5 1/1/2018 2/1/2018
-2.48 1 2 8/1/2019 9/1/2019
-1.47 1 1 2/1/2017 3/1/2017
-1.15 1 1 5/1/2017 6/1/2017
-0.36 1 2 7/1/2017 8/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
17.84 5 9/1/2017 1/1/2018
11.35 2 4/1/2020 5/1/2020
10.90 4 1/1/2019 4/1/2019
9.91 6 3/1/2018 8/1/2018
7.45 3 6/1/2019 8/1/2019
4.72 1 2/1/2017 2/1/2017
4.64 1 7/1/2020 7/1/2020
3.81 1 7/1/2017 7/1/2017
3.29 3 10/1/2019 12/1/2019
2.98 1 11/1/2018 11/1/2018
2.52 2 4/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.37 3 1/1/2020 3/1/2020
-6.84 1 12/1/2018 12/1/2018
-6.71 2 9/1/2018 10/1/2018
-5.29 1 2/1/2018 2/1/2018
-2.48 1 9/1/2019 9/1/2019
-2.29 1 6/1/2020 6/1/2020
-1.71 1 5/1/2019 5/1/2019
-1.47 1 3/1/2017 3/1/2017
-1.15 1 6/1/2017 6/1/2017
-0.36 1 8/1/2017 8/1/2017
Show More

Time Windows Analysis

 4 Year1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods8.0042.0040.0037.0031.0025.0019.00
Percent Profitable100.0069.0577.5072.9787.1096.00100.00
Average Period Return44.780.842.204.149.2613.0817.26
Average Gain44.782.674.277.2611.0213.9317.26
Average Loss-3.25-4.90-4.31-2.58-7.23
Best Period54.008.499.3517.4227.4528.8428.80
Worst Period30.02-9.11-13.37-10.52-5.34-7.230.14
Standard Deviation9.503.674.936.498.257.918.88
Gain Standard Deviation9.502.332.744.277.306.838.88
Loss Standard Deviation2.654.162.682.22
Sharpe Ratio (1%)4.290.210.400.561.001.461.72
Average Gain / Average Loss0.820.871.694.271.93
Profit / Loss Ratio1.833.004.5628.8146.22
Downside Deviation (10%)2.483.453.782.993.302.81
Downside Deviation (5%)2.333.072.831.461.760.43
Downside Deviation (0%)2.302.982.601.161.45
Sortino Ratio (10%)0.170.280.441.421.662.50
Sortino Ratio (5%)0.320.641.295.666.5935.58
Sortino Ratio (0%)0.370.741.598.019.04

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.