Glenhaven Capital LLC : Glenhaven Global II LP

Year-to-Date
49.85%
Aug Performance
-5.64%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
43.40%
Sharpe (RFR=1%)
0.06
CAROR
-5.27%
Assets
$ 4.6M
Worst DD
-82.52
S&P Correlation
0.10

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
4/2012
Glenhaven Global II LP -5.64 3.61 49.85 108.05 118.09 44.87 - -39.93
S&P 500 3.04 7.72 24.49 33.58 61.14 113.19 - 231.08
+/- S&P 500 -8.68 -4.11 25.37 74.47 56.96 -68.32 - -271.01

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 $ 100k
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%
Strategy Pie Chart

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%
Composition Pie Chart

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 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 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.

   

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
-82.52 82 - 4/1/2012 2/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
132.81 7 11/1/2020 5/1/2021
52.49 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
21.19 2 7/1/2020 8/1/2020
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
14.25 1 7/1/2021 7/1/2021
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
3.29 1 5/1/2020 5/1/2020
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-39.53 5 4/1/2013 8/1/2013
-37.10 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
-13.75 2 9/1/2020 10/1/2020
-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
-11.22 1 4/1/2020 4/1/2020
-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
-5.69 1 6/1/2020 6/1/2020
-5.64 1 8/1/2021 8/1/2021
-5.10 1 1/1/2017 1/1/2017
-3.89 1 6/1/2021 6/1/2021
-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
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Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 14.25 7/2021
Trend Following Strategy Index Month 1 14.25 7/2021
Systematic Trader Index Month 1 14.25 7/2021
Diversified Trader Index Month 1 14.25 7/2021
Trend Following Strategy Index Month 9 1.82 5/2021
Diversified Trader Index Month 10 6.88 4/2021
Trend Following Strategy Index Month 7 6.88 4/2021
Diversified Trader Index Month 10 6.88 4/2021
Trend Following Strategy Index Month 7 6.88 4/2021
Diversified Trader Index Month 7 3.98 3/2021
Trend Following Strategy Index Month 3 3.98 3/2021
Trend Following Strategy Index Month 3 23.22 2/2021
Trend Following Strategy Index Month 3 23.22 2/2021
Trend Following Strategy Index Month 3 23.22 2/2021
Systematic Trader Index Month 3 23.22 2/2021
Systematic Trader Index Month 3 23.22 2/2021
Systematic Trader Index Month 3 23.22 2/2021
IASG CTA Index Month 4 23.22 2/2021
IASG CTA Index Month 4 23.22 2/2021
IASG CTA Index Month 4 23.22 2/2021
Diversified Trader Index Month 4 23.22 2/2021
Diversified Trader Index Month 4 23.22 2/2021
Diversified Trader Index Month 4 23.22 2/2021
Diversified Trader Index Month 3 23.22 2/2021
Systematic Trader Index Month 3 23.22 2/2021
Trend Following Strategy Index Month 3 23.22 2/2021
IASG CTA Index Month 3 23.22 2/2021
Trend Following Strategy Index Month 4 3.80 1/2021
Diversified Trader Index Month 5 3.80 1/2021
Systematic Trader Index Month 6 3.80 1/2021
Diversified Trader Index Month 2 27.34 12/2020
Trend Following Strategy Index Month 2 27.34 12/2020
Systematic Trader Index Month 2 27.34 12/2020
IASG CTA Index Month 2 27.34 12/2020
Systematic Trader Index Month 1 26.41 11/2020
Trend Following Strategy Index Month 1 26.41 11/2020
IASG CTA Index Month 1 26.41 11/2020
Diversified Trader Index Month 1 26.41 11/2020
IASG CTA Index Month 2 52.83 3/2020
Systematic Trader Index Month 2 52.83 3/2020
Trend Following Strategy Index Month 2 52.83 3/2020
Diversified Trader Index Month 2 52.83 3/2020
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
Systematic Trader Index Month 1 13.35 12/2019
Systematic Trader Index Month 1 8.58 11/2019
Trend Following Strategy 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
Diversified Trader Index Month 1 20.30 3/2019
IASG CTA Index Month 1 20.30 3/2019
Trend Following Strategy 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
Diversified Trader Index Month 6 4.70 5/2017
IASG CTA Index Month 6 4.70 5/2017
Trend Following Strategy Index Month 3 4.70 5/2017
Systematic Trader Index Month 4 4.70 5/2017
Systematic Trader Index Month 2 7.52 4/2017
Diversified Trader Index Month 1 7.52 4/2017
IASG CTA Index Month 1 7.52 4/2017
Trend Following Strategy Index Month 1 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.