AutumnGold

Glenhaven Capital LLC - Glenhaven Global II LP

Principal(s): Daniel Blum and James Tyler
Strategy:
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Investment Restrictions: 4.7 Exempt - QEPs Only++
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1800 Bering Drive Suite 730
Houston, TX 77057 USA
1-713-252-9546

Main E-Mail: [email protected]
Marketing E-Mail: [email protected]
Administrative E-Mail: [email protected]

Statistics & Program Information

Aug Return -13.01%	Worst Drawdown ⁽²⁾ -82.52%	Minimum Investment 100,000
YTD Return 14.76%	Losing Streak ⁽³⁾ -34.88 %	AUM⁽⁵⁾ 5,003,000
Annual CROR:¹ -3.60%	Sharpe Ratio ⁽⁴⁾ 0.09	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 100% Systematic	Style Sub-Categories Momentum Algorithmic	Trading Style 100% Trend Following
Market Sector 25% Stock Indices 14% Currencies 17% Financials 8% Metals 10% Energies 8% Agriculturals 5% Meats 11% Softs 2% VIX	Holding Period 40% Long Term 40% Medium Term 20% Short Term	Geographic Sector US Contracts:

Start Date Apr-2012	Currency US Dollar	Margin ⁽⁷⁾ 30 - 70%
New Money Yes	AUM ⁽⁵⁾ 5,003,000	Management Fee 2.0%
Min Investment 2,500,000	Annual CROR ¹ -3.60%	Incentive Fee 20%
Fund Minimum 100,000	Losing Streak ⁽³⁾ -34.88 %	Other Fees None
Notional Funds No	Worst Drawdown ⁽²⁾ -82.52 %	Avg Comm ⁽⁸⁾
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.09	Max Comm ⁽⁹⁾
NFA Number 0425852	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 1,500

Starting Date: Apr-2012	Currency: US Dollar
Open to New Investors: Yes	Current Assets: 5,003,000
Open to US Investors: Yes	Annual CROR: -3.60%
Minimum Fund Investment: 100,000	Worst Monthly Drawdown: -82.52
Minimum Managed Account: 2,500,000	Current Losing Streak: -34.88 %
Domocile: US	Calmar: N/A
Subscriptions: Monthly	Sharpe Ratio: 0.09
Redemptions: Monthly	US Attorney: Cole-Frieman & Mallon LLP
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Kaufman, Rossin and Co., PA
Administraton Fee: 0.00%	Prime Broker: Interactive Brokers LLC
Management Fee: 2.00%	Auditor: Spicer Jeffries LLP
Incentive Fee: 20.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund: Futures Fund Single Advisor Fund	Domicile: US	Strategy: Futures Strategies Multi-Strategy

Track Record Prepared By: Kaufman Rossin & Co., P.A.

Correlations:

Trading Description, Risk Strategy & Background

Trading Description

Glenhaven Capital LLC is a CTA/CPO formed in 2010 to offer robust systematic trend-following strategies to investors. The firm's main fund, Glenhaven Global II LP, employs a purely systematic program that seeks to capture trends, both long and short, over several medium to long-term time frames. Glenhaven also manages separate accounts using systematic/trend-following strategies.

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. 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 current strategy, which became fully implemented in February 2016, was developed by a team that included Howard Brazzil. Mr. Brazzil is an industry veteran who was previously a portfolio manager and strategy developer for Edward O. Thorp, a well-regarded pioneer in hedge funds and quantitative investing. Other than the first 6 months of the Fund's existence, performance prior to February 2016 was driven by a long-only system that identified trends over a singular, medium-term, time frame. The transition to the current trading strategy began in April 2015 and was fully implemented by February 2016.

Investments in the Fund are restricted to investors who meet the criteria of Qualified Eligible Persons pursuant to CFTC Regulation 4.7 and the rules promulgated thereunder.

Risk Strategy

Background

Glenhaven Capital LLC ("Glenhaven Capital") was formed in 2010 and serves as the general partner and fund manager for Glenhaven Global II LP (the "Fund"), a managed futures fund which launched in April 2012. All strategies run by Glenhaven were developed by a team that included Howard Brazzil. Mr. Brazzil is an industry veteran who was previously a portfolio manager and strategy developer for Edward O. Thorp, a well-regarded pioneer in hedge funds and quantitative investing.

Performance

Since its launch, the Fund has utilized three different trading systems. The "Current Long-Short System" is the system currently used by the Fund and commenced in Feb 2016. It is differentiated from the prior systems used by the Fund because it combines multiple trading systems that can take on long and short positions over multiple time frames. The prior trading systems identified trends over a singular time frame.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2023	16.36%	-1.81%	-5.94%	7.01%	1.52%	13.02%	-0.02%	-13.01%					14.76%	-13.03%
2022	-4.27%	11.92%	5.96%	20.80%	-8.12%	6.02%	-20.36%	-5.09%	12.51%	-4.83%	-9.09%	5.72%	3.91%	-28.33%
2021	3.78%	23.18%	3.96%	6.88%	1.82%	-3.89%	14.25%	-5.64%	4.32%	4.83%	-18.31%	2.79%	37.6%	-18.31%
2020	-21.77%	-19.59%	52.49%	-11.22%	3.29%	-5.69%	10.29%	9.88%	-11.89%	-2.11%	26.41%	27.31%	39.6%	-37.09%
2019	-20.77%	-5.94%	20.21%	5.26%	-5.82%	7.80%	-2.22%	11.48%	-6.03%	0.45%	8.58%	13.35%	21.24%	-25.48%
2018	5.56%	-31.24%	-3.77%	2.82%	-3.92%	-4.85%	-5.68%	5.51%	-11.96%	-20.82%	-5.82%	31.00%	-43.81%	-59.36%
2017	-5.10%	8.69%	0.51%	7.52%	4.70%	-6.98%	-0.88%	-5.98%	-7.09%	8.45%	-2.12%	0.38%	0.16%	-19.46%
2016	1.80%	21.30%	-12.80%	1.10%	-3.80%	21.90%	9.40%	-13.10%	9.90%	-13.00%	-0.60%	6.80%	23.19%	-17.41%
2015	0.40%	7.70%	-3.10%	1.20%	-3.40%	-6.80%	-6.90%	-22.72%	8.30%	-11.90%	16.90%	-0.30%	-23.63%	-39.4%
2014	-6.60%	16.70%	-2.60%	9.90%	1.80%	0.40%	-10.00%	8.50%	-8.80%	-11.10%	11.60%	-14.50%	-9.91%	-24.45%
2013	14.40%	-12.70%	3.00%	-4.90%	-12.20%	-20.40%	-2.70%	-6.50%	9.70%	15.10%	0.00%	-4.10%	-24.68%	-45.63%
2012				1.00%	-11.10%	-15.80%	21.70%	-7.40%	-3.20%	-18.00%	-3.60%	1.10%	-34.09%	-35.45%

Annual Performance

Years	2012	2013	2014	2015	2016	2017
ROR	-34.09%	-24.68%	-9.91%	-23.63%	23.19%	0.16%
Max DD	-35.45%	-45.63%	-24.45%	-39.40%	-17.41%	-19.46%

Years	2018	2019	2020	2021	2022	2023 YTD
ROR	-43.81%	21.24%	39.60%	37.60%	3.91%	14.76%
Max DD	-59.36%	-25.48%	-37.09%	-18.31%	-28.33%	-13.03%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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Accounting Notes:

Please note the highly volatile nature of monthly returns. Fluctuations in account value in excess of 50% are expected and the timing of investment will have a material impact on ultimate gains or losses. It is important to understand that past results are not necessarily indicative of future results. Futures Trading Involves Substantial Risk of Loss. Investors should be aware that a loss of investment is possible. Please review carefully all of the disclosures and disclaimers set forth on the following pages of this presentation. Monthly returns reflect those of an actual investor who entered the Fund at it's launch. Actual returns for any given investor will be dependent on the timing of entry and the impact of any applicable fees thereafter.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

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