Glenhaven Capital LLC : Glenhaven Global II LP Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.85% Mar Performance 52.83% Min Investment $ 25k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 43.18% Sharpe (RFR=1%) -0.19 CAROR -14.86% Assets $ 2.1M Worst DD -82.52 S&P Correlation 0.00 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since4/2012 Glenhaven Global II LP 52.83 0.00 -3.85 21.76 -39.57 -35.32 - -72.39 S&P 500 -12.51 -20.00 -20.00 -8.82 8.28 23.72 - 119.52 +/- S&P 500 65.34 20.00 16.15 30.58 -47.84 -59.04 - -191.91 Strategy Description SummaryGlenhaven Global II LP utilizes a fully systematic approach intended to capture trends, both long and short, across 60+ diversified futures markets. The Fund is calibrated for a high degree of volatility in an aim to offer investors an efficient vehicle for gaining exposure to trend... Read More Account & Fees Type Fund Minimum Investment $ 25k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 40% Targeted Worst DD -50.00% Worst Peak-to-Trough 72.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 1.00% 4-12 Months 38.00% 1-3 Months 42.00% 1-30 Days 19.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Stock Indices 25.00% Interest Rates 17.00% Currency Futures 14.00% Softs 11.00% Energy 10.00% Grains 8.00% Precious Metals 5.00% Livestock 5.00% Industrial Metals 3.00% VIX 2.00% SummaryGlenhaven Global II LP utilizes a fully systematic approach intended to capture trends, both long and short, across 60+ diversified futures markets. The Fund is calibrated for a high degree of volatility in an aim to offer investors an efficient vehicle for gaining exposure to trend following. Investment Strategy The Fund employs several different systems that are all trend following in nature, but set to capture moves within different time frames that range from the medium-term to the long-term. The Fund's strategy underwent a major change in mid-2015 that became fully implemented by January 2016. Prior to the change, the Fund employed a single, medium-term trend following system that only took on long positions. After several years of research, Glenhaven implemented the addition of a longer-term system to handle long positions and a separate system for handling short positions that we believe together strongly enhance the risk/return profile of the overall Program.Risk ManagementInstead of relying on large concentrated positions in an effort to generate outsized returns, the Fund strategy is intentionally agnostic to the market being traded and applies the same sizing formula to all positions. The result is that no single position should be a significant driver of performance relative to the overall volatility of the Fund. 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 -82.52 82 - 4/1/2012 2/1/2019 Show More Consecutive Gains Run-up Length (Mos.) Start End 52.83 1 3/1/2020 3/1/2020 33.36 2 6/1/2016 7/1/2016 31.00 1 12/1/2018 12/1/2018 26.53 2 3/1/2019 4/1/2019 26.26 2 9/1/2013 10/1/2013 23.63 3 10/1/2019 12/1/2019 23.48 2 1/1/2016 2/1/2016 22.98 4 2/1/2017 5/1/2017 21.70 1 7/1/2012 7/1/2012 16.90 1 11/1/2015 11/1/2015 16.70 1 2/1/2014 2/1/2014 15.66 2 12/1/2012 1/1/2013 12.33 3 4/1/2014 6/1/2014 11.60 1 11/1/2014 11/1/2014 11.48 1 8/1/2019 8/1/2019 9.90 1 9/1/2016 9/1/2016 8.50 1 8/1/2014 8/1/2014 8.45 1 10/1/2017 10/1/2017 8.30 1 9/1/2015 9/1/2015 8.13 2 1/1/2015 2/1/2015 7.80 1 6/1/2019 6/1/2019 6.80 1 12/1/2016 12/1/2016 5.96 2 12/1/2017 1/1/2018 5.51 1 8/1/2018 8/1/2018 3.00 1 3/1/2013 3/1/2013 2.82 1 4/1/2018 4/1/2018 1.20 1 4/1/2015 4/1/2015 1.10 1 4/1/2016 4/1/2016 1.00 1 4/1/2012 4/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -39.53 5 4/1/2013 8/1/2013 -37.09 2 1/1/2020 2/1/2020 -35.21 4 5/1/2015 8/1/2015 -34.35 3 9/1/2018 11/1/2018 -33.83 2 2/1/2018 3/1/2018 -29.14 4 8/1/2012 11/1/2012 -25.48 2 1/1/2019 2/1/2019 -25.15 2 5/1/2012 6/1/2012 -19.46 4 6/1/2017 9/1/2017 -18.92 2 9/1/2014 10/1/2014 -14.50 1 12/1/2014 12/1/2014 -13.77 3 5/1/2018 7/1/2018 -13.52 2 10/1/2016 11/1/2016 -13.10 1 8/1/2016 8/1/2016 -12.80 1 3/1/2016 3/1/2016 -12.70 1 2/1/2013 2/1/2013 -11.90 1 10/1/2015 10/1/2015 -10.43 3 11/1/2013 1/1/2014 -10.00 1 7/1/2014 7/1/2014 -6.03 1 9/1/2019 9/1/2019 -5.82 1 5/1/2019 5/1/2019 -5.10 1 1/1/2017 1/1/2017 -3.80 1 5/1/2016 5/1/2016 -3.10 1 3/1/2015 3/1/2015 -2.60 1 3/1/2014 3/1/2014 -2.22 1 7/1/2019 7/1/2019 -2.12 1 11/1/2017 11/1/2017 -0.30 1 12/1/2015 12/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods96.0094.0091.0085.0079.0073.0061.0049.0037.00 Percent Profitable44.7942.5538.4635.2921.5212.334.926.120.00 Average Period Return-0.59-3.29-6.07-11.95-18.83-24.99-33.49-38.33-50.91 Average Gain9.6911.0215.9818.4219.4122.883.772.85 Average Loss-9.10-13.89-19.84-28.51-29.31-31.73-35.42-41.01-50.91 Best Period52.8328.2940.0341.0060.0446.368.833.86-32.82 Worst Period-31.24-34.35-41.85-57.82-63.19-59.33-63.94-65.43-67.37 Standard Deviation12.4615.4820.8226.4426.4123.2017.5819.049.69 Gain Standard Deviation9.857.7810.6813.1517.6713.304.381.29 Loss Standard Deviation6.8310.3511.6614.2517.0514.8015.7416.319.69 Sharpe Ratio (1%)-0.05-0.23-0.32-0.49-0.77-1.16-2.08-2.23-5.78 Average Gain / Average Loss1.070.790.810.650.660.720.110.07 Profit / Loss Ratio0.880.590.500.350.180.100.010.00 Downside Deviation (10%)8.5813.8419.7229.2735.9941.6452.2562.7779.11 Downside Deviation (5%)8.3913.2418.3626.3231.1434.4540.4646.3956.82 Downside Deviation (0%)8.3413.0818.0225.6029.9832.7337.7442.7051.80 Sortino Ratio (10%)-0.12-0.33-0.43-0.58-0.73-0.85-0.94-0.95-0.99 Sortino Ratio (5%)-0.08-0.27-0.36-0.49-0.65-0.78-0.90-0.91-0.99 Sortino Ratio (0%)-0.07-0.25-0.34-0.47-0.63-0.76-0.89-0.90-0.98 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 2 52.83 3/2020 Diversified Trader Index Month 2 52.83 3/2020 IASG CTA Index Month 2 52.83 3/2020 Trend Following Strategy Index Month 2 52.83 3/2020 Systematic Trader Index Month 1 13.35 12/2019 Diversified Trader Index Month 1 13.35 12/2019 IASG CTA Index Month 1 13.35 12/2019 Trend Following Strategy Index Month 1 13.35 12/2019 Trend Following Strategy Index Month 1 8.58 11/2019 Systematic Trader Index Month 1 8.58 11/2019 IASG CTA Index Month 1 8.58 11/2019 Diversified Trader Index Month 1 8.58 11/2019 IASG CTA Index Month 1 20.30 3/2019 Trend Following Strategy Index Month 1 20.30 3/2019 Diversified Trader Index Month 1 20.30 3/2019 Systematic Trader Index Month 1 20.30 3/2019 Trend Following Strategy Index Month 3 2.82 4/2018 Diversified Trader Index Month 8 2.82 4/2018 Diversified Trader Index Month 10 8.45 10/2017 Trend Following Strategy Index Month 8 8.45 10/2017 Trend Following Strategy Index Month 3 4.70 5/2017 Systematic Trader Index Month 4 4.70 5/2017 IASG CTA Index Month 6 4.70 5/2017 Diversified Trader Index Month 6 4.70 5/2017 Diversified Trader Index Month 1 7.52 4/2017 Trend Following Strategy Index Month 1 7.52 4/2017 IASG CTA Index Month 1 7.52 4/2017 Systematic Trader Index Month 2 7.52 4/2017 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