Glenrock Capital Mgmt., LLC : Glenrock

archived programs
Year-to-Date
N / A
Sep Performance
4.29%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.51%
Sharpe (RFR=1%)
17.86
CAROR
-
Assets
$ 1.0M
Worst DD
N/A
S&P Correlation
1.00

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
7/2010
Glenrock 4.29 - - - - - - 11.92
S&P 500 8.76 - - - - - - 193.77
+/- S&P 500 -4.47 - - - - - - -181.85

Strategy Description

Summary

Glenrock offers truly original, innovative fundamentally driven strategies designed for superior signal generation and a consistent, repeatable source of long-term “alpha” and a competitive advantage over the traditional price driven technical traders that dominate the managed futures... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
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 4000 RT/YR/$M
Avg. Margin-to-Equity 20%
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 75.00%
Intraday 25.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
75.00%
Technical
25.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Energy
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Grains
10.00%
Precious Metals
5.00%
Softs
3.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

Glenrock offers truly original, innovative fundamentally driven strategies designed for superior signal generation and a consistent, repeatable source of long-term “alpha” and a competitive advantage over the traditional price driven technical traders that dominate the managed futures sector. The foundation of the strategy are well known, historically proven fundamental valuation and investing techniques that Glenrock has adapted or extended for it own use with a unique selection of fundamental market inputs. A successful five year track record from a previous joint venture that closed at a high in performance and AUM, $55,000,000+ from $2,000,000 at inception validates the strategy along with historical databases dating back to 1991 which are used to frame expectations. The strategy helps fill a glaring need of the growing institutional investor need for exposure to the low correlation benefit of managed futures and diversification within the traditionally homogeneous sector.

Investment Strategy

100% discretionary strategy based on proprietary fundamental trading models. Technical analysis is used for timing and risk management.

Risk Management

Control daily risk, minimize kurtosis. Control sector and portfolio risk using risk aggregation and VAR. Vary sector and portfolio leverage to maximize returns and control drawdowns.

   

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
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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

Consecutive Gains

Run-up Length (Mos.) Start End
11.92 3 7/1/2010 9/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month
Number of Periods3.00
Percent Profitable100.00
Average Period Return3.83
Average Gain3.83
Average Loss
Best Period4.29
Worst Period2.99
Standard Deviation0.73
Gain Standard Deviation0.73
Loss Standard Deviation
Sharpe Ratio (1%)5.16
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)
Downside Deviation (5%)
Downside Deviation (0%)
Sortino Ratio (10%)
Sortino Ratio (5%)
Sortino Ratio (0%)

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.