Glenhaven Capital LLC : Glenhaven Global II LP

Year-to-Date: 21.24%
Dec Performance: 13.35%

Min Investment: $ 25k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 38.04%
Sharpe (RFR=1%): -0.26
CAROR: -14.87%

Assets: $ 2.2M
Worst DD: -82.52
S&P Correlation: 0.16

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 4/2012
Glenhaven Global II LP	13.35	23.63	21.24	21.24	-31.76	-35.78	-	-71.28
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	-	128.76
+/- S&P 500	10.49	15.10	-7.63	-7.63	-74.60	-91.10	-	-200.04

Strategy Description

Summary

Glenhaven 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%

Summary

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 Management

Instead 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.

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

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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

Consecutive Gains

Run-up	Length (Mos.)	Start	End
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

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-39.53	5	4/1/2013	8/1/2013
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	93.00	91.00	88.00	82.00	76.00	70.00	58.00	46.00	34.00
Percent Profitable	45.16	43.96	37.50	32.93	21.05	12.86	5.17	6.52	0.00
Average Period Return	-0.73	-3.00	-6.20	-13.02	-19.12	-24.68	-32.83	-38.27	-50.88
Average Gain	8.66	11.02	16.34	18.53	19.75	22.88	3.77	2.85
Average Loss	-8.63	-13.99	-19.72	-28.51	-29.48	-31.70	-34.82	-41.14	-50.88
Best Period	31.00	28.29	40.03	41.00	60.04	46.36	8.83	3.86	-32.82
Worst Period	-31.24	-34.35	-41.85	-57.82	-63.19	-59.33	-63.94	-65.43	-67.37
Standard Deviation	10.98	15.50	20.87	26.21	26.59	23.32	17.66	19.35	9.77
Gain Standard Deviation	7.27	7.78	10.68	13.32	18.19	13.30	4.38	1.29
Loss Standard Deviation	6.54	10.25	11.73	14.25	17.20	14.57	15.82	16.49	9.77
Sharpe Ratio (1%)	-0.07	-0.21	-0.32	-0.53	-0.78	-1.14	-2.03	-2.19	-5.73
Average Gain / Average Loss	1.00	0.79	0.83	0.65	0.67	0.72	0.11	0.07
Profit / Loss Ratio	0.84	0.62	0.50	0.32	0.18	0.11	0.01	0.00
Downside Deviation (10%)	8.15	13.70	19.80	29.80	36.29	41.42	51.65	62.81	79.09
Downside Deviation (5%)	7.96	13.09	18.44	26.80	31.43	34.24	39.90	46.46	56.80
Downside Deviation (0%)	7.91	12.94	18.09	26.06	30.27	32.52	37.19	42.79	51.78
Sortino Ratio (10%)	-0.14	-0.31	-0.44	-0.60	-0.74	-0.84	-0.94	-0.95	-0.99
Sortino Ratio (5%)	-0.10	-0.25	-0.36	-0.52	-0.66	-0.78	-0.90	-0.91	-0.99
Sortino Ratio (0%)	-0.09	-0.23	-0.34	-0.50	-0.63	-0.76	-0.88	-0.89	-0.98

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Month	1	8.58	11/2019
Trend Following Strategy Index	Month	1	8.58	11/2019
Systematic Trader Index	Month	1	8.58	11/2019
Diversified Trader Index	Month	1	8.58	11/2019
Diversified Trader Index	Month	1	20.30	3/2019
Systematic Trader Index	Month	1	20.30	3/2019
Trend Following Strategy Index	Month	1	20.30	3/2019
IASG CTA 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
Trend Following Strategy Index	Month	3	2.82	4/2018
Diversified Trader Index	Month	8	2.82	4/2018
Trend Following Strategy Index	Month	8	8.45	10/2017
Diversified Trader Index	Month	10	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
IASG CTA Index	Month	1	7.52	4/2017
Trend Following Strategy Index	Month	1	7.52	4/2017
Diversified Trader 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.

^#1

Top Performer

IASG CTA INDEX

NOVEMBER
2019

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Glenhaven Global II LP	-14.87%

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Glenhaven Capital LLC : Glenhaven Global II LP

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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