Glendorn Capital Management LLC : MultiWeek (Enhanced)

Year-to-Date
10.34%
Oct Performance
2.82%
Min Investment
$ 750k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
13.93%
Sharpe (RFR=1%)
0.37
CAROR
-
Assets
$ 4.5M
Worst DD
-12.10
S&P Correlation
-0.62

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2019
MultiWeek (Enhanced) 2.82 -0.48 10.34 0.87 - - - 9.51
S&P 500 -2.77 -0.04 1.21 7.65 - - - 17.43
+/- S&P 500 5.59 -0.45 9.13 -6.78 - - - -7.92

Strategy Description

Summary

MultiWeek (Enhanced) uses pullback and against the trend strategies on the 30 most liquid global futures markets. This includes stock indices, commodities, fixed income and currency markets. Ideas behind the trading strategies originate from observing recurring market behavior. The... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 750k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 3.00
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 1200 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 20.00%
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

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
33.00%
Energy
20.00%
Currency Futures
17.00%
Interest Rates
17.00%
Softs
4.00%
Industrial Metals
3.00%
Precious Metals
3.00%
Grains
3.00%
Composition Pie Chart

Summary

MultiWeek (Enhanced) uses pullback and against the trend strategies on the 30 most liquid global futures markets. This includes stock indices, commodities, fixed income and currency markets. Ideas behind the trading strategies originate from observing recurring market behavior. The objective is to capture directional price movements, where positions are held for two to three weeks on average.

Investment Strategy

*Ideas behind trading strategies originate from observing recurring market behavior, modeled through a single input, price.
*Each strategy uses identical parameters across market universe without a directional bias.
*Selection of tradable universe is based on market liquidity.
*The portfolio trades across asset classes and geographies.
*All positions have defined exit levels, including money management, trailing and time stops, as well as profit targets.
*Position sizes dynamically change and are inversely related to market volatility.

Risk Management

Risk management is also systematic. At the portfolio level, annualized volatility is expected to be between 12-16%. 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:
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Gain Frequency:
Average Gain:
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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
-12.10 3 3 9/1/2019 12/1/2019
-9.73 5 - 4/1/2020 9/1/2020
-3.05 1 1 3/1/2019 4/1/2019
-0.72 1 1 1/1/0001 2/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
18.87 3 1/1/2020 3/1/2020
14.90 5 5/1/2019 9/1/2019
2.82 1 10/1/2020 10/1/2020
2.09 1 3/1/2019 3/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.10 3 10/1/2019 12/1/2019
-9.73 6 4/1/2020 9/1/2020
-3.05 1 4/1/2019 4/1/2019
-0.72 1 2/1/2019 2/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods21.0019.0016.0010.00
Percent Profitable47.6252.6368.7580.00
Average Period Return0.511.393.125.83
Average Gain3.716.807.008.11
Average Loss-2.64-4.63-5.40-3.30
Best Period11.3318.8711.8720.06
Worst Period-6.17-12.10-9.73-5.67
Standard Deviation4.027.486.827.71
Gain Standard Deviation2.975.693.546.71
Loss Standard Deviation2.183.463.323.36
Sharpe Ratio (1%)0.110.150.390.63
Average Gain / Average Loss1.411.471.302.46
Profit / Loss Ratio1.411.632.859.83
Downside Deviation (10%)2.544.624.724.13
Downside Deviation (5%)2.364.043.692.20
Downside Deviation (0%)2.313.903.441.82
Sortino Ratio (10%)0.040.030.140.20
Sortino Ratio (5%)0.180.280.712.20
Sortino Ratio (0%)0.220.360.913.21

Top Performer Badges

Index Award Type Rank Performance Period

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