Glendorn Capital Management LLC : MultiWeek Trading Strategy

Year-to-Date
1.75%
Aug Performance
0.75%
Min Investment
$ 1,500k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
4.94%
Sharpe (RFR=1%)
0.95
CAROR
5.71%
Assets
$ 1.8M
Worst DD
-4.77
S&P Correlation
-0.11

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
10/2016
MultiWeek Trading Strategy 0.75 2.27 1.75 2.50 - - - 17.60
S&P 500 -1.81 6.34 16.73 0.85 - - - 36.24
+/- S&P 500 2.56 -4.07 -14.98 1.65 - - - -18.65

Strategy Description

Summary

The MultiWeek Trading Strategy 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.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
10.00%
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
600 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
10.00%
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

The MultiWeek Trading Strategy 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 6-8%. 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
-4.77 6 - 10/1/2018 4/1/2019
-1.87 1 2 12/1/2016 1/1/2017
-1.75 1 2 7/1/2018 8/1/2018
-1.52 1 4 1/1/2018 2/1/2018
-0.76 1 2 7/1/2017 8/1/2017
-0.74 1 2 3/1/2017 4/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
5.56 5 9/1/2017 1/1/2018
4.84 3 5/1/2017 7/1/2017
3.91 4 5/1/2019 8/1/2019
3.75 3 10/1/2016 12/1/2016
3.63 2 6/1/2018 7/1/2018
3.57 2 9/1/2018 10/1/2018
2.27 2 2/1/2017 3/1/2017
1.36 1 3/1/2019 3/1/2019
0.99 2 3/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.59 4 11/1/2018 2/1/2019
-1.87 1 1/1/2017 1/1/2017
-1.75 1 8/1/2018 8/1/2018
-1.52 1 4/1/2019 4/1/2019
-1.52 1 2/1/2018 2/1/2018
-0.76 1 8/1/2017 8/1/2017
-0.74 1 4/1/2017 4/1/2017
-0.19 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable68.5784.8583.3395.83100.00
Average Period Return0.471.362.595.558.61
Average Gain1.231.883.495.798.61
Average Loss-1.18-1.57-1.91-0.05
Best Period3.094.846.4311.4914.97
Worst Period-2.70-4.44-4.77-0.052.83
Standard Deviation1.431.782.493.413.89
Gain Standard Deviation0.881.201.363.273.89
Loss Standard Deviation0.861.731.86
Sharpe Ratio (1%)0.270.620.841.331.83
Average Gain / Average Loss1.041.201.82127.65
Profit / Loss Ratio2.286.739.122935.88
Downside Deviation (10%)1.011.281.962.231.97
Downside Deviation (5%)0.840.931.200.33
Downside Deviation (0%)0.810.861.030.01
Sortino Ratio (10%)0.070.100.060.250.52
Sortino Ratio (5%)0.461.201.7513.84
Sortino Ratio (0%)0.591.592.50599.08

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 8 3.09 10/2018

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