For Information contact Capital Trading Group
Toll Free: 800-238-2610 | Direct: 312-572-6118 |
[email protected]
 
-

Manager List    »    Statar Capital LLC    »   

Statar Capital LLC - Natural Gas Strategy

Principal(s): Ron Ozer, Terrence Brennan
Strategy: Relative Value / Volatility / Natural Gas
Download Document. (2018-08-01)
Investment Restrictions: 4.7 Exempt - QEP Investors Only++ This Program has Investor Qualifiation Restrictions

Statistics & Program Information

Oct Return   1.25% Worst Drawdown (2)    -21.17% Minimum Investment   $150,000,000
YTD Return   5.79% Losing Streak (3)    -6.60 % AUM (5)   $3,415,000,000
Annual CROR:1 36.79% Sharpe Ratio (4)   1.36 Calmar Ratio (6)    N/A
Trading Methodology
100% Discretionary
Style Sub-Categories
Trading Style
100% Fundamental & Technical
Market Sector
5% Metals
80% Energies
5% Agriculturals
5% Meats
5% Softs
Holding Period
40% Medium Term
60% Short Term
Geographic Sector:

Contracts:
Futures
Options

Start Date   Sep-2018 Currency   US Dollar Margin (7)   5% to 15%
New Money   Yes AUM (5)   $3,415,000,000 Management Fee    2.00%
Min Investment    $150,000,000 Annual CROR 1    36.79% Incentive Fee    20.00%
Fund Minimum    $500,000 Losing Streak (3)    -6.60 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -21.17 % Avg Comm (8)   $4.00
NFA Member    Yes Sharpe Ratio (4)    1.36 Max Comm (9)   
NFA Number    0514697 Calmar Ratio (6)    N/A Round Turns (10)    5,500
Starting Date:  Sep-2018 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $3,415,000,000
Open to US Investors:  Yes Annual CROR:  36.79%
Minimum Fund Investment:  $500,000 Worst Monthly Drawdown:  -21.17
Minimum Managed Account:  $150,000,000 Current Losing Streak:  -6.60 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio:  1.36
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  2.00% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Selling Fee:  0.00% FINRA Member:  No
Other Fees:  None Other Memberships:  None
Type of Fund:
Domicile:
Strategy:
Track Record Prepared By: Self-Prepared
Correlations:

Trading Description, Risk Strategy & Background

The manager believes natural gas is a unique, mathematical market due to its high degree of transparency and expansive fundamental data. The backbone of Statar Capital's natural gas investment strategy is the proprietary forecasting of inventory and supply/demand balances. In addition, the cross commodity relative value strategy is based on deep insight into market participant hedging and allocation psychology, capitalizing on wide ranging opportunities derived from market behavioral dynamics. The trading strategy may contain long/short futures and options in a diversified portfolio of commodities.

The manager aims to employ a calculated, rigorous drawdown analysis, which is integral to the Statar Capital portfolio construction process, drawing from both our fundamental and technical models. The short-term risk metric is based on recent realized volatility, while Medium-term risk projection relies on historical scenario analysis and stress testing. Risk modeling leverages volatility forecasting techniques and tools.

Ron Ozer has had extensive experience trading natural gas at two of the world's premier buy side commodity market participants, Citadel and D. E. Shaw & Co. Ron was hired to Citadel in 2015 as the head portfolio manager for US natural gas. Due to his exceptional strategy returns, Ron was promoted after his first year at Citadel to reporting directly to the firm's founder, Ken Griffin. Ron transformed Citadel's natural gas trading business, leading his team of 8 analysts, traders and meteorologists to become one of the largest and most profitable natural gas businesses at any hedge fund. Moreover, due to his trading strategy's consistent investment returns, Ron's risk and capital allocation grew to one of the largest for any portfolio manager at Citadel. Ron began his career at D. E. Shaw & Co. in 2008 in the equities/futures systematic trading business creating, improving and executing for models. Only one year later, Ron was promoted to a portfolio manager role in the firm's energy group, where his focus was on trading natural gas futures and options. Including his first year as a portfolio manager at D. E. Shaw & Co., Ron was consistently among the top natural gas P&L contributors to one of the largest, most veteran energy trading businesses in the industry. Ron graduated from MIT in 2008 after three years of study with a B.S. in Mathematics and a minor in Economics. He graduated with a GPA of 5.0/5.0, earning membership into the Phi Beta Kappa national honor society.

Xing Yuan has over a decade of trading experience in the commodity markets at Balyasny Asset Management and Morgan Stanley. Xing joined Balyasny Asset Management’s Multi Strategy platform in 2016 as a standalone Portfolio Manager specializing in commodities. Leading a team of three, Xing quickly grew his capital allocation as a direct reflection of positive performance trading primarily cross-sectional futures and volatility relative value strategies. In additional to alpha generation, Xing played an active role in building out the risk and analytic infrastructure for Balyasny’s expansionary efforts in the commodity asset class. Prior to Balyasny, Xing spent 8 years in Morgan Stanley’s Commodity Trading Division, where he ran the industry leading Commodity Index Trading business from 2012 onwards. While overseeing a global team of 7 traders and strategists, Xing consistently delivered proprietary P&L throughout changing market environments. Xing graduated from MIT in 2008 with two B.S. degrees in Mathematics and Management with concentration in Finance, as well as a minor in Economics. In 2015 Xing was recognized by Forbes with the “30 Under 30” award with distinction in Finance. Terrence Brennan has had over 24 years of experience working in the financial services industry. Prior to joining Statar Capital, Terrence was most recently the Chief Operating Officer at Trajectoire Capital, an asset management firm headquartered in Geneva, from June 2016 to June 2018. Terrence had previously spent 18 years as the Chief Operating Officer for Cipher Investment Management, a Commodity Trading Advisor whose assets under management grew to over $500mm over his time there. Terrence worked at Cipher from its inception in June 1994 until the firm closed in June 2012. Terrence was responsible for all areas of day-to-day operations including risk management, performance reporting and compliance. In addition, Terrence directed the implementation of Cipher's trading systems and helped oversee the portfolio which consisted of global commodity and financial futures, as well as interbank foreign exchange contracts. Prior to joining Cipher, Terrence worked at the New York office of Metallgesellschaft Corporation, a metals conglomerate, from October 1991 to April 1994, performing back office operational duties for its Futures Trading Department.

Terrence graduated cum laude from Baruch College, earning a B.B.A. degree in Finance and Investments.

Accounting Notes:

Performance results represent the composite of Statar Capital's Natural Gas Strategy. The strategy is only open to Qualified Eligible Participants as defined in CFTC Regulation 4.7.

Monthly Performance Since September 2018

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2023 12.53% 0.66% -0.65% 0.17% -7.72% -7.28% 12.97% -6.55% 2.64% 1.25%   5.79% -14.86%
2022 3.63% -9.34% 3.92% 20.80% 4.69% 0.21% -9.92% -12.49% 12.18% 4.72% -1.99% 16.02% 30.28% -21.17%
2021 -11.15% 3.38% -4.02% 4.40% 1.68% -0.75% 12.49% 0.80% -0.59% 23.48% 16.87% 3.49% 56.37% -11.84%
2020 2.11% 0.16% 10.05% 13.60% -2.78% 2.94% 2.63% 1.33% 13.25% 1.93% -0.93% 4.61% 59.2% -2.78%
2019 0.75% 4.88% -0.57% 3.40% 2.99% 2.02% 1.40% 5.54% 3.55% -2.82% 5.83% 3.19% 34.24% -2.82%
2018  0.90% 5.62% 1.16% 1.61% 9.54% 0%

Annual Performance

Years201820192020202120222023 YTD
ROR9.54%34.24%59.20%56.37%30.28%5.79%
Max DD0.00%-2.82%-2.78%-11.84%-21.17%-14.86%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

Chart

++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

Footnotes & Definitions:

  • P - Proprietary Trading Results
  • C - Client Trading Results
  • Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.
  1. Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. Annual CROR is not applicable to CTAs that sum their monthly returns.
  2. Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
  3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
  4. Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
  5. Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
  6. Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
  7. Sharpe Ratio: Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
  8. Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
  9. Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
  10. Calmar Ratio: Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
  11. Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
  12. Minimum Investment: Minimum Investment represents the minimum account size.
  13. Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
  14. Number of Winning Months: Number of Winning Months represents the months with positive return.
  15. Number of Losing Months: Number of Losing Months represents the months with negative return.
  16. Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
  17. Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
  18. Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
  19. Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
  20. Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS