Talenta Capital LLP : Multi-Strategy

Year-to-Date
17.13%
Aug Performance
2.32%
Min Investment
$ 950k
Mgmt. Fee
0.75%
Perf. Fee
10.00%
Annualized Vol
11.40%
Sharpe (RFR=1%)
1.09
CAROR
13.62%
Assets
$ 721k
Worst DD
-10.51
S&P Correlation
0.80

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2017
Multi-Strategy 2.32 7.45 17.13 4.83 - - - 39.07
S&P 500 -1.81 6.34 16.73 0.85 - - - 22.55
+/- S&P 500 4.13 1.12 0.40 3.98 - - - 16.52

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:
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
-10.51 4 6 8/1/2018 12/1/2018
-5.29 1 5 1/1/2018 2/1/2018
-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
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
3.81 1 7/1/2017 7/1/2017
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
-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
-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
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Time Windows Analysis

 3 Year4 Year1 Month3 Month6 Month12 Month18 Month
Number of Periods20.008.0031.0029.0026.0020.0014.00
Percent Profitable100.00100.0074.1979.3184.6295.00100.00
Average Period Return28.8444.781.123.096.0411.4717.39
Average Gain28.8444.782.544.817.8512.2317.39
Average Loss-2.95-3.52-3.89-2.99
Best Period36.3954.008.089.3517.4227.4528.84
Worst Period21.4330.02-6.84-9.23-5.27-2.996.64
Standard Deviation4.909.503.294.335.948.296.42
Gain Standard Deviation4.909.502.172.514.427.766.42
Loss Standard Deviation2.473.311.37
Sharpe Ratio (1%)5.264.290.320.660.931.262.47
Average Gain / Average Loss0.861.372.024.09
Profit / Loss Ratio2.475.2411.1077.64
Downside Deviation (10%)2.072.562.582.040.25
Downside Deviation (5%)1.942.201.780.90
Downside Deviation (0%)1.902.111.590.67
Sortino Ratio (10%)0.340.731.383.1738.66
Sortino Ratio (5%)0.541.293.1111.69
Sortino Ratio (0%)0.591.463.7917.14

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.