Glendorn Capital Management LLC

MultiWeek Trading Strategy *QEP*


Monthly Performance (%)

Date Range: 09/16 - 08/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 1.60 1.65 3.82 -0.01 -1.20 0.12 -1.08 -1.77   3.05 
2019 -1.75 -0.16 1.36 -1.52 1.61 0.81 0.69 0.75 2.53 -2.15 -1.28 -3.45  -2.70 
2018 2.72 -1.52 0.89 0.10 -0.19 0.82 2.79 -1.75 0.47 3.09 -2.70 -0.04  4.59 
2017 -1.87 1.26 1.00 -0.74 0.68 2.55 1.54 -0.76 0.26 1.15 0.31 1.02  6.51 
2016 0.03 2.29 1.40  3.75 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The MultiWeek Trading Strategy uses pullback and against the trend strategies active in our Diversified Short-Term Trading Strategy with an extended holding period in 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 caputre directional price movements, where positions are held for three weeks on average, and as long as one month.

Performance Statistics

Date Range: 09/16 - 08/20
  Program S&P 500 Coquest 40 
Total Return 15.88% 74.61% -1.95% 
Annualized Return 3.83% 14.95% -0.49% 
Annualized Std. Deviation 5.58% 15.19% 7.12% 
Correlation -0.36 0.10 
Sharpe Ratio (rf=2.5%) 0.24 0.82 -0.42 
Worst Month -3.45% -12.35% -6.10% 
Date of Worst Month 12/2019 03/2020 02/2018 
Worst Drawdown -6.74% -19.60% -9.14% 
Date of Worst Drawdown 9/19 - 12/19 12/19 - 3/20 1/18 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 09/16 - 08/20
Year or YTD Program S&P 500 Coquest 40 
2020 3.05 9.75 -1.80 
2019 -2.70 31.50 7.53 
2018 4.59 -4.38 -4.29 
2017 6.51 21.84 1.24 
2016 3.75 3.83 -2.92 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 09/16 - 08/20
Date: 8/31/2020
Perf: $993.33 Date: 7/31/2020
Perf: $1,004.69 Date: 6/30/2020
Perf: $985.86 Date: 5/31/2020
Perf: $998.64 Date: 4/30/2020
Perf: $1,010.46 Date: 3/31/2020
Perf: $1,007.14 Date: 2/29/2020
Perf: $1,006.53 Date: 1/31/2020
Perf: $1,021.76 Date: 12/31/2019
Perf: $1,011.54 Date: 11/30/2019
Perf: $1,017.85 Date: 10/31/2019
Perf: $1,007.97 Date: 9/30/2019
Perf: $1,030.75 Date: 8/31/2019
Perf: $1,060.12 Date: 7/31/2019
Perf: $1,023.08 Date: 6/30/2019
Perf: $989.35 Date: 5/31/2019
Perf: $969.95 Date: 4/30/2019
Perf: $989.34 Date: 3/31/2019
Perf: $962.86 Date: 2/28/2019
Perf: $929.49 Date: 1/31/2019
Perf: $923.58 Date: 12/31/2018
Perf: $940.70 Date: 11/30/2018
Perf: $936.77 Date: 10/31/2018
Perf: $948.14 Date: 9/30/2018
Perf: $972.16 Date: 8/31/2018
Perf: $976.55 Date: 7/31/2018
Perf: $952.27 Date: 6/30/2018
Perf: $959.46 Date: 5/31/2018
Perf: $951.47 Date: 4/30/2018
Perf: $963.91 Date: 3/31/2018
Perf: $953.61 Date: 2/28/2018
Perf: $954.47 Date: 1/31/2018
Perf: $1,016.47 Date: 12/31/2017
Perf: $982.86 Date: 11/30/2017
Perf: $972.26 Date: 10/31/2017
Perf: $971.00 Date: 9/30/2017
Perf: $931.95 Date: 8/31/2017
Perf: $952.04 Date: 7/31/2017
Perf: $936.49 Date: 6/30/2017
Perf: $932.85 Date: 5/31/2017
Perf: $960.91 Date: 4/30/2017
Perf: $959.09 Date: 3/31/2017
Perf: $964.88 Date: 2/28/2017
Perf: $979.17 Date: 1/31/2017
Perf: $958.28 Date: 12/31/2016
Perf: $970.81 Date: 11/30/2016
Perf: $963.48 Date: 10/31/2016
Perf: $974.20 Date: 9/30/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,745.77 Date: 7/31/2020
Perf: $1,628.67 Date: 6/30/2020
Perf: $1,541.72 Date: 5/31/2020
Perf: $1,511.64 Date: 4/30/2020
Perf: $1,442.95 Date: 3/31/2020
Perf: $1,278.99 Date: 2/29/2020
Perf: $1,459.20 Date: 1/31/2020
Perf: $1,590.06 Date: 12/31/2019
Perf: $1,590.70 Date: 11/30/2019
Perf: $1,544.07 Date: 10/31/2019
Perf: $1,489.98 Date: 9/30/2019
Perf: $1,458.33 Date: 8/31/2019
Perf: $1,431.56 Date: 7/31/2019
Perf: $1,454.55 Date: 6/30/2019
Perf: $1,433.90 Date: 5/31/2019
Perf: $1,339.46 Date: 4/30/2019
Perf: $1,430.29 Date: 3/31/2019
Perf: $1,374.62 Date: 2/28/2019
Perf: $1,348.46 Date: 1/31/2019
Perf: $1,306.52 Date: 12/31/2018
Perf: $1,209.63 Date: 11/30/2018
Perf: $1,329.70 Date: 10/31/2018
Perf: $1,303.11 Date: 9/30/2018
Perf: $1,398.79 Date: 8/31/2018
Perf: $1,390.86 Date: 7/31/2018
Perf: $1,346.95 Date: 6/30/2018
Perf: $1,298.64 Date: 5/31/2018
Perf: $1,290.64 Date: 4/30/2018
Perf: $1,260.27 Date: 3/31/2018
Perf: $1,255.50 Date: 2/28/2018
Perf: $1,288.22 Date: 1/31/2018
Perf: $1,337.58 Date: 12/31/2017
Perf: $1,265.09 Date: 11/30/2017
Perf: $1,251.20 Date: 10/31/2017
Perf: $1,213.93 Date: 9/30/2017
Perf: $1,186.29 Date: 8/31/2017
Perf: $1,162.35 Date: 7/31/2017
Perf: $1,158.75 Date: 6/30/2017
Perf: $1,135.36 Date: 5/31/2017
Perf: $1,128.37 Date: 4/30/2017
Perf: $1,112.68 Date: 3/31/2017
Perf: $1,101.34 Date: 2/28/2017
Perf: $1,100.02 Date: 1/31/2017
Perf: $1,058.01 Date: 12/31/2016
Perf: $1,038.29 Date: 11/30/2016
Perf: $1,018.13 Date: 10/31/2016
Perf: $981.80 Date: 9/30/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,158.79 Date: 7/31/2020
Perf: $1,179.67 Date: 6/30/2020
Perf: $1,192.55 Date: 5/31/2020
Perf: $1,191.12 Date: 4/30/2020
Perf: $1,205.58 Date: 3/31/2020
Perf: $1,205.70 Date: 2/29/2020
Perf: $1,161.34 Date: 1/31/2020
Perf: $1,142.49 Date: 12/31/2019
Perf: $1,124.50 Date: 11/30/2019
Perf: $1,164.68 Date: 10/31/2019
Perf: $1,179.78 Date: 9/30/2019
Perf: $1,205.70 Date: 8/31/2019
Perf: $1,175.95 Date: 7/31/2019
Perf: $1,167.20 Date: 6/30/2019
Perf: $1,159.20 Date: 5/31/2019
Perf: $1,149.89 Date: 4/30/2019
Perf: $1,131.67 Date: 3/31/2019
Perf: $1,149.13 Date: 2/28/2019
Perf: $1,133.71 Date: 1/31/2019
Perf: $1,135.53 Date: 12/31/2018
Perf: $1,155.76 Date: 11/30/2018
Perf: $1,156.22 Date: 10/31/2018
Perf: $1,188.30 Date: 9/30/2018
Perf: $1,152.68 Date: 8/31/2018
Perf: $1,147.29 Date: 7/31/2018
Perf: $1,167.73 Date: 6/30/2018
Perf: $1,136.03 Date: 5/31/2018
Perf: $1,126.79 Date: 4/30/2018
Perf: $1,128.94 Date: 3/31/2018
Perf: $1,127.81 Date: 2/28/2018
Perf: $1,117.86 Date: 1/31/2018
Perf: $1,135.11 Date: 12/31/2017
Perf: $1,105.06 Date: 11/30/2017
Perf: $1,093.90 Date: 10/31/2017
Perf: $1,090.52 Date: 9/30/2017
Perf: $1,078.12 Date: 8/31/2017
Perf: $1,075.32 Date: 7/31/2017
Perf: $1,083.56 Date: 6/30/2017
Perf: $1,067.13 Date: 5/31/2017
Perf: $1,040.59 Date: 4/30/2017
Perf: $1,033.56 Date: 3/31/2017
Perf: $1,041.27 Date: 2/28/2017
Perf: $1,030.96 Date: 1/31/2017
Perf: $1,018.13 Date: 12/31/2016
Perf: $1,037.53 Date: 11/30/2016
Perf: $1,023.21 Date: 10/31/2016
Perf: $1,000.30 Date: 9/30/2016
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 09/16 - 08/20
Date: 8/31/2020
Return: -1.77 % Date: 7/31/2020
Return: -1.08 % Date: 6/30/2020
Return: 0.12 % Date: 5/31/2020
Return: -1.20 % Date: 4/30/2020
Return: -0.01 % Date: 3/31/2020
Return: 3.82 % Date: 2/29/2020
Return: 1.65 % Date: 1/31/2020
Return: 1.60 % Date: 12/31/2019
Return: -3.45 % Date: 11/30/2019
Return: -1.28 % Date: 10/31/2019
Return: -2.15 % Date: 9/30/2019
Return: 2.53 % Date: 8/31/2019
Return: 0.75 % Date: 7/31/2019
Return: 0.69 % Date: 6/30/2019
Return: 0.81 % Date: 5/31/2019
Return: 1.61 % Date: 4/30/2019
Return: -1.52 % Date: 3/31/2019
Return: 1.36 % Date: 2/28/2019
Return: -0.16 % Date: 1/31/2019
Return: -1.75 % Date: 12/31/2018
Return: -0.04 % Date: 11/30/2018
Return: -2.70 % Date: 10/31/2018
Return: 3.09 % Date: 9/30/2018
Return: 0.47 % Date: 8/31/2018
Return: -1.75 % Date: 7/31/2018
Return: 2.79 % Date: 6/30/2018
Return: 0.82 % Date: 5/31/2018
Return: -0.19 % Date: 4/30/2018
Return: 0.10 % Date: 3/31/2018
Return: 0.89 % Date: 2/28/2018
Return: -1.52 % Date: 1/31/2018
Return: 2.72 % Date: 12/31/2017
Return: 1.02 % Date: 11/30/2017
Return: 0.31 % Date: 10/31/2017
Return: 1.15 % Date: 9/30/2017
Return: 0.26 % Date: 8/31/2017
Return: -0.76 % Date: 7/31/2017
Return: 1.54 % Date: 6/30/2017
Return: 2.55 % Date: 5/31/2017
Return: 0.68 % Date: 4/30/2017
Return: -0.74 % Date: 3/31/2017
Return: 1.00 % Date: 2/28/2017
Return: 1.26 % Date: 1/31/2017
Return: -1.87 % Date: 12/31/2016
Return: 1.40 % Date: 11/30/2016
Return: 2.29 % Date: 10/31/2016
Return: 0.03 % Date: 9/30/2016
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 09/16 - 08/20
Return: 4.00 %
Count: 1 Return: -3.00 %
Count: 2 Return: 3.00 %
Count: 5 Return: -1.00 %
Count: 5 Return: -2.00 %
Count: 7 Return: 1.00 %
Count: 12 Return: 2.00 %
Count: 5 Return: 0.00 %
Count: 11

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 09/16 - 08/20
Date: 8/31/2020
Drawdown: -3.89 % Date: 7/31/2020
Drawdown: -2.16 % Date: 6/30/2020
Drawdown: -1.09 % Date: 5/31/2020
Drawdown: -1.21 % Date: 4/30/2020
Drawdown: -0.01 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: -3.68 % Date: 1/31/2020
Drawdown: -5.24 % Date: 12/31/2019
Drawdown: -6.74 % Date: 11/30/2019
Drawdown: -3.40 % Date: 10/31/2019
Drawdown: -2.15 % Date: 9/30/2019
Drawdown: 0.00 % Date: 8/31/2019
Drawdown: -1.04 % Date: 7/31/2019
Drawdown: -1.78 % Date: 6/30/2019
Drawdown: -2.45 % Date: 5/31/2019
Drawdown: -3.23 % Date: 4/30/2019
Drawdown: -4.77 % Date: 3/31/2019
Drawdown: -3.30 % Date: 2/28/2019
Drawdown: -4.59 % Date: 1/31/2019
Drawdown: -4.44 % Date: 12/31/2018
Drawdown: -2.74 % Date: 11/30/2018
Drawdown: -2.70 % Date: 10/31/2018
Drawdown: 0.00 % Date: 9/30/2018
Drawdown: -1.29 % Date: 8/31/2018
Drawdown: -1.75 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: 0.00 % Date: 5/31/2018
Drawdown: -0.73 % Date: 4/30/2018
Drawdown: -0.54 % Date: 3/31/2018
Drawdown: -0.64 % Date: 2/28/2018
Drawdown: -1.52 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: -0.50 % Date: 8/31/2017
Drawdown: -0.76 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: -0.07 % Date: 4/30/2017
Drawdown: -0.74 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: -0.63 % Date: 1/31/2017
Drawdown: -1.87 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Glendorn Capital Management LLC
Address:
City:
State:
Zip:
Country:

Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Mini-Futures Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Mean-reversion Yes 
 Pattern Recognition Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $1,500,000 
 Margin / Equity Ratio: 7% 
 Managed Account Availability: Open 
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