Crabel Capital Management : Crabel Contra

Year-to-Date
5.45%
Oct Performance
1.73%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
0%
Annualized Vol
10.97%
Sharpe (RFR=1%)
-0.05
CAROR
-
Assets
$ 351.2M
Worst DD
-10.86
S&P Correlation
-0.78

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2019
Crabel Contra 1.73 4.11 5.45 2.08 - - - -0.13
S&P 500 -2.77 -0.04 1.21 7.65 - - - 31.60
+/- S&P 500 4.50 4.15 4.24 -5.57 - - - -31.72

Strategy Description

Investment Strategy

CRABEL CONTRA 1X (Class N) is a diversified portfolio of short-term, systematic trading strategies designed to exhibit negative correlation to global equity markets. The program combines machine learning concepts with persistent short-term alpha drivers to arrive at a portfolio... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 0%
Average Commission
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 4500 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

CRABEL CONTRA 1X (Class N) is a diversified portfolio of short-term, systematic trading strategies designed to exhibit negative correlation to global equity markets. The program combines machine learning concepts with persistent short-term alpha drivers to arrive at a portfolio of unique strategies engineered to take advantage of negative equity beta relationships across a broad set of markets. Contra aims to deliver positive returns in all environments while remaining opportunistically geared towards volatile, equity bear market environments. The program targets a 10% annualized standard deviation with an average holding period of approximately seven days. Downside risk is mitigated by dynamically sizing trades relative to market volatility and actively employing stops on all trades. Execution excellence provides an advantage in efficiently accessing unique exposures in over 120 futures and foreign exchange markets.

   

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:
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Risk
Standard Deviation:
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Loss Frequency:
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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:
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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
-10.86 4 3 8/1/2019 12/1/2019
-10.75 5 - 3/1/2020 8/1/2020
-1.58 2 1 5/1/2019 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
13.49 3 1/1/2020 3/1/2020
4.11 2 9/1/2020 10/1/2020
3.90 1 5/1/2019 5/1/2019
3.89 1 8/1/2019 8/1/2019
0.01 1 6/1/2020 6/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.86 4 9/1/2019 12/1/2019
-7.05 2 7/1/2020 8/1/2020
-3.99 2 4/1/2020 5/1/2020
-1.58 2 6/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable44.4431.2538.4642.86
Average Period Return0.04-0.63-1.06-1.31
Average Gain3.106.375.752.25
Average Loss-2.41-3.81-5.32-3.98
Best Period5.7913.498.975.74
Worst Period-4.42-7.91-8.66-9.71
Standard Deviation3.175.906.144.71
Gain Standard Deviation1.734.672.343.03
Loss Standard Deviation1.262.812.774.01
Sharpe Ratio (1%)-0.01-0.15-0.25-0.49
Average Gain / Average Loss1.291.671.080.56
Profit / Loss Ratio1.030.760.680.42
Downside Deviation (10%)2.284.736.447.67
Downside Deviation (5%)2.064.034.994.60
Downside Deviation (0%)2.013.864.643.99
Sortino Ratio (10%)-0.16-0.39-0.55-0.82
Sortino Ratio (5%)-0.02-0.22-0.31-0.50
Sortino Ratio (0%)0.02-0.16-0.23-0.33

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.