Glendorn Capital Management LLC : Diversified Short-Term Trading Strategy

Year-to-Date: N / A
Jun Performance: 1.23%

Min Investment: $ 2,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 9.38%
Sharpe (RFR=1%): 0.09
CAROR: 1.40%

Assets: $ 2.0M
Worst DD: -10.17
S&P Correlation: 0.20

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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	Jun	Qtr	2019	1yr	3yr	5yr	10yr	Since 7/2013
Diversified Short-Term Trading Strategy	1.23	2.91	-	-2.43	7.48	7.19	-	7.19
S&P 500	0.48	2.93	-	11.21	30.43	67.53	-	59.63
+/- S&P 500	0.75	-0.02	-	-13.64	-22.95	-60.34	-	-52.44

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 2,000k
Trading Level Incremental Increase: $ 500k
CTA Max Funding Factor: 4.00
Management Fee: 1.00%
Performance Fee: 20.00%
Average Commission: $6.00
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: Daily
Redemption Frequency: Daily
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 2500 RT/YR/$M
Avg. Margin-to-Equity: 9%
Targeted Worst DD: -15.00%
Worst Peak-to-Trough: 11.31%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 100.00%
Intraday: 0%

Summary

Glendorn Capital applies a multiple model, short-term systematic futures strategy across 48 futures markets. The strategy holds positions for less than a week on average in global stock index, commodity, fixed income and currency futures markets. Our edge lies in our ability to take insights gained from live trading and incorporating these insights into the system. This generates a feedback loop which allows our systems to adapt to changing market environments.

Investment Strategy

Ideas behind the strategy originate from observing recurring market behavior, modeled through a single input, price. Each model uses identical parameters across the market universe without a directional bias. All positions have defined exit levels. Position sizes dynamically change and are inversely related to market volatility.

Risk Management

At the portfolio level, annualized volatility is targeted between 8-10%. A volatility based stop loss determines the size of position for each trade. Every position has a protective stop loss associated with it.

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Index: Chart Type:

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:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-10.17	6	13	12/1/2014	6/1/2015
-8.60	1	-	1/1/2018	2/1/2018
-5.73	13	5	7/1/2016	8/1/2017
-4.31	2	7	1/1/2014	3/1/2014
-2.89	1	1	10/1/2013	11/1/2013
-0.15	1	1	8/1/2013	9/1/2013

Consecutive Gains

Run-up	Length (Mos.)	Start	End
8.19	5	8/1/2014	12/1/2014
6.18	1	7/1/2016	7/1/2016
5.13	2	12/1/2016	1/1/2017
4.96	2	12/1/2017	1/1/2018
4.83	2	12/1/2013	1/1/2014
4.35	2	4/1/2016	5/1/2016
4.11	2	3/1/2018	4/1/2018
3.76	2	1/1/2016	2/1/2016
3.53	1	10/1/2013	10/1/2013
3.44	3	4/1/2017	6/1/2017
3.12	1	5/1/2015	5/1/2015
3.05	1	11/1/2015	11/1/2015
2.75	3	4/1/2014	6/1/2014
2.59	2	9/1/2017	10/1/2017
1.47	1	9/1/2016	9/1/2016
1.29	2	7/1/2015	8/1/2015
1.23	1	6/1/2018	6/1/2018
0.60	2	7/1/2013	8/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-8.60	1	2/1/2018	2/1/2018
-8.59	1	6/1/2015	6/1/2015
-4.70	4	1/1/2015	4/1/2015
-4.38	2	7/1/2017	8/1/2017
-4.31	2	2/1/2014	3/1/2014
-4.13	2	2/1/2017	3/1/2017
-3.97	2	10/1/2016	11/1/2016
-2.95	1	8/1/2016	8/1/2016
-2.89	1	11/1/2013	11/1/2013
-2.79	1	3/1/2016	3/1/2016
-2.68	1	12/1/2015	12/1/2015
-1.43	1	7/1/2014	7/1/2014
-1.26	2	9/1/2015	10/1/2015
-0.95	1	11/1/2017	11/1/2017
-0.68	1	5/1/2018	5/1/2018
-0.33	1	6/1/2016	6/1/2016
-0.15	1	9/1/2013	9/1/2013

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	60.00	58.00	55.00	49.00	43.00	37.00	25.00	13.00
Percent Profitable	58.33	63.79	54.55	59.18	62.79	59.46	80.00	92.31
Average Period Return	0.15	0.37	0.65	1.10	1.62	1.86	2.95	4.21
Average Gain	1.83	2.52	3.67	4.65	4.63	4.25	4.50	4.72
Average Loss	-2.20	-3.41	-2.99	-4.03	-3.47	-1.65	-3.28	-1.90
Best Period	6.18	6.82	9.17	11.72	11.06	10.16	11.14	9.86
Worst Period	-8.60	-7.41	-10.17	-9.90	-5.78	-5.07	-5.08	-1.90
Standard Deviation	2.71	3.46	4.19	5.06	5.00	3.96	4.04	2.74
Gain Standard Deviation	1.50	1.89	2.48	2.98	3.64	3.18	2.77	2.12
Loss Standard Deviation	2.23	2.02	2.64	2.14	1.71	1.70	1.02
Sharpe Ratio (1%)	0.03	0.04	0.03	0.02	0.02	-0.04	-0.02	0.05
Average Gain / Average Loss	0.83	0.74	1.23	1.15	1.34	2.59	1.37	2.48
Profit / Loss Ratio	1.17	1.30	1.48	1.67	2.25	3.79	5.49	29.74
Downside Deviation (10%)	2.20	3.05	4.13	6.12	7.69	9.25	13.42	17.54
Downside Deviation (5%)	2.04	2.50	2.93	3.48	3.22	2.59	2.97	1.82
Downside Deviation (0%)	2.00	2.37	2.66	2.90	2.34	1.48	1.52	0.53
Sortino Ratio (10%)	-0.12	-0.28	-0.44	-0.64	-0.78	-0.91	-0.96	-0.99
Sortino Ratio (5%)	0.03	0.05	0.05	0.03	0.04	-0.06	-0.03	0.08
Sortino Ratio (0%)	0.08	0.16	0.24	0.38	0.69	1.26	1.93	7.97

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	5	5.00	12/2016
Systematic Trader Index	Month	6	5.00	12/2016
IASG CTA Index	Month	8	5.00	12/2016
IASG CTA Index	Month	5	6.18	7/2016
Diversified Trader Index	Month	6	6.18	7/2016
Systematic Trader Index	Month	7	6.18	7/2016

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#5

Top Performer

DIVERSIFIED TRADER INDEX

DECEMBER
2016

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More Programs by Glendorn Capital Management LLC

Program Name	CAROR
MultiWeek Trading Strategy	3.68%
MultiWeek (Enhanced)	-

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Watchlists 7

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Glendorn Capital Management LLC : Diversified Short-Term Trading Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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