Glendorn Capital Management LLC : Diversified Short-Term Trading Strategy

archived programs
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

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 Since
7/2013
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

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... 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%
Strategy Pie Chart

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%
Composition Pie Chart

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.

   

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
-10.17 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
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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
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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
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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.