Glendorn Capital Management LLC : Diversified Short-Term Trading Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 YTD 1yr 3yr 5yr 10yr Since7/2013 Diversified Short-Term Trading Strategy 1.23 - - - -2.43 7.48 - 7.19 S&P 500 0.48 - - - 30.43 67.53 - 82.04 +/- S&P 500 0.75 - - - -32.86 -60.04 - -74.86 Strategy Description SummaryGlendorn 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... Read More 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% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 30.00% Momentum 30.00% Pattern Recognition 40.00% Composition Stock Indices 37.00% Currency Futures 13.00% Energy 13.00% Interest Rates 13.00% Softs 8.00% Precious Metals 6.00% Grains 6.00% Industrial Metals 2.00% Livestock 2.00% SummaryGlendorn 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 StrategyIdeas 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 ManagementAt 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -10.17 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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00 Percent Profitable58.3363.7954.5559.1862.7959.4680.0092.31 Average Period Return0.150.370.651.101.621.862.954.21 Average Gain1.832.523.674.654.634.254.504.72 Average Loss-2.20-3.41-2.99-4.03-3.47-1.65-3.28-1.90 Best Period6.186.829.1711.7211.0610.1611.149.86 Worst Period-8.60-7.41-10.17-9.90-5.78-5.07-5.08-1.90 Standard Deviation2.713.464.195.065.003.964.042.74 Gain Standard Deviation1.501.892.482.983.643.182.772.12 Loss Standard Deviation2.232.022.642.141.711.701.02 Sharpe Ratio (1%)0.030.040.030.020.02-0.04-0.020.05 Average Gain / Average Loss0.830.741.231.151.342.591.372.48 Profit / Loss Ratio1.171.301.481.672.253.795.4929.74 Downside Deviation (10%)2.203.054.136.127.699.2513.4217.54 Downside Deviation (5%)2.042.502.933.483.222.592.971.82 Downside Deviation (0%)2.002.372.662.902.341.481.520.53 Sortino Ratio (10%)-0.12-0.28-0.44-0.64-0.78-0.91-0.96-0.99 Sortino Ratio (5%)0.030.050.050.030.04-0.06-0.030.08 Sortino Ratio (0%)0.080.160.240.380.691.261.937.97 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. x {{title}} x {{title}} Add Cancel