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Overview

Sentinel Energy Alpha Fund (SEAF) seeks to provide long-term total return by trading energy derivatives – future contracts, swaps and vanilla options. The Fund’s investment objective is to deliver return streams uncorrelated to traditional markets or well-known alpha sources.
The portfolio is structured to benefit from as many uncorrelated alphas in as many markets as possible. It targets a return of 37.5% against a target volatility of 25% annually.
Sentinel’s team has over a half century of experience across the entire value chain of the oil industry, spanning more than 51 countries. Sentinel Commodities, a fund advisor, is an independent oil and commodity trading company dealing with most types of energy derivatives and a physical book. The firm has developed its own in-house algorithms to trade multiple instruments on multiple exchanges.

Key Facts
FUND DOMICILE Cayman Islands
TYPE OF FUND Open-Ended Fund
CORPORATE STRUCTURE Single Fund
MINIMUM SUBSCRIPTION USD 0.25 Million
MAXIMUM FUND SIZE USD 500 Million
MANAGEMENT FEE 1.7% of NAV
BASIC CARRY 20% (subject to 8% annual low hurdle)
HIGH-PERFORMANCE CARRY 40% (for annual returns above 40%, subject to a three-year escrow, which will be returned should the fund hit a drawdown in the subsequent three years)
REDEMPTION MONTHLY redemption cycle;
no minimum commitment period
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Portfolio Strategy

The Fund is a systematic portfolio utilizing a number of quantitative strategies across oil-based markets to profit from uncorrelated trades within the oil spectrum.
Real time trading algorithms and data science are managed and updated using Python, MySQL and VBA. These were developed in house and are Sentinel’s IP.
The portfolio sub-strategies consist of the following styles that are prevalent in the equity, fixed income and FX markets, but are uniquely applied by SEAF to the oil futures, swaps and options markets:

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Statistical Arbitrage

Exploit the cointegration between related outright contracts versus time spreads, regional differences versus deferred regional differences, crack spreads versus deferred cracks

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Carry

Profit from taking positions further out in the forward curve when their value diverges from the current spot price

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Trend

Oil product cracks, grade differences and regional differences show a clear trend following behavior. This sub-strategy is more prevalent in the swaps market, as commercial hedging activity pushes values for sustained periods of time

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Volatility

Profit from long-term mispricing of oil futures volatility as well as profiting from short-term opportunities such as supply disruption and the impact of large hedging programs distorting the forward curve

Value Propostion
Portfolio Inception Date 17th June 2019
Total Return +69.4% (as of 3rd June)
Annualized Return +66.38%
Annualized Volability +23.34% (25% target)
Sharpe Rarion +2.28
Maximum Drawdown 9.09%