Crabel Capital Management : Crabel Multi-Product

Year-to-Date
1.85%
Aug Performance
-4.01%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
30.00%
Annualized Vol
13.36%
Sharpe (RFR=1%)
0.62
CAROR
8.78%
Assets
$ 2,112.0M
Worst DD
-16.26
S&P Correlation
0.05

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
3/1998
Crabel Multi-Product -4.01 -3.44 -1.85 0.85 18.67 25.67 51.85 564.17
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 230.13 214.42
+/- S&P 500 -11.02 -18.42 -10.20 -18.76 -21.72 -50.01 -178.28 349.74

Strategy Description

Summary

Crabel is a global alternative investment firm specializing in systematic, automated trading of worldwide futures and foreign exchange. Our Los Angeles based firm was founded by short-term trading pioneer Toby Crabel and has delivered over 25 years of uncorrelated returns for its institutional... 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 30.00%
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 8500 RT/YR/$M
Avg. Margin-to-Equity 9%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 86.00%
Intraday 14.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
22.00%
Momentum
55.00%
Trend-following
11.00%
Other
12.00%
Strategy Pie Chart

Composition

Stock Indices
29.00%
Currency FX
26.00%
Interest Rates
25.00%
Energy
11.00%
Precious Metals
5.00%
Other
2.00%
Grains
1.00%
Softs
1.00%
Composition Pie Chart

Summary

Crabel is a global alternative investment firm specializing in systematic, automated trading of worldwide futures and foreign exchange. Our Los Angeles based firm was founded by short-term trading pioneer Toby Crabel and has delivered over 25 years of uncorrelated returns for its institutional clients. The firm has developed a diverse array of trading strategies designed to systematically capture market anomalies implemented through a technologically advanced, low latency infrastructure. Global co-location facilities and proprietary execution algorithms allow the firm to efficiently trade in approximately 200 futures and foreign exchange markets.

Investment Strategy

The Crabel Multi-Product is a highly diversified portfolio of uncorrelated and predominantly short-term systematic trading concepts designed to achieve low correlation with traditional market and strategy indices. The majority of the price-driven strategies can be classified as short-term momentum or mean-reversion trades. A small portion of the portfolio is allocated to longer holding period strategies. Most trades are designed to work symmetrically, either long or short. The portfolio is well diversified across approximately 200 markets with a broad goal of achieving balance across the four major market sectors: equities, fixed income, commodities and foreign exchange. Portfolio risk is controlled by employing stops and predetermined time exits for all trades. Individual markets are capped and overall exposure is dynamically managed to target an 8-10% annualized standard deviation.

Risk Management

Crabel Multi-Product trades multiple liquid global futures and currency markets and a small portion of the portfolio is allocated to individual equity markets. Risk is controlled by employing stop loss levels, time exits and diversification across sectors and geographical regions.

   

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
-16.26 4 1 4/1/1998 8/1/1998
-15.05 8 1 10/1/1998 6/1/1999
-14.35 4 8 7/1/2001 11/1/2001
-14.23 5 29 4/1/2013 9/1/2013
-14.04 2 2 9/1/2000 11/1/2000
-12.64 10 17 7/1/2016 5/1/2017
-9.88 16 12 9/1/2008 1/1/2010
-6.90 2 5 7/1/2006 9/1/2006
-4.71 2 6 9/1/2011 11/1/2011
-4.44 3 2 2/1/2007 5/1/2007
-4.39 4 4 10/1/2018 2/1/2019
-4.05 1 3 2/1/2003 3/1/2003
-4.01 1 - 7/1/2020 8/1/2020
-3.99 2 6 5/1/2005 7/1/2005
-3.89 1 1 9/1/2002 10/1/2002
-3.71 1 1 7/1/2008 8/1/2008
-3.37 4 4 9/1/2003 1/1/2004
-3.13 1 2 10/1/1999 11/1/1999
-2.75 2 2 2/1/2011 4/1/2011
-2.50 1 1 7/1/2011 8/1/2011
-1.89 1 2 7/1/2012 8/1/2012
-1.52 1 1 8/1/1999 9/1/1999
-1.50 1 1 12/1/2002 1/1/2003
-1.38 1 4 5/1/2004 6/1/2004
-1.37 1 1 1/1/2001 2/1/2001
-0.99 1 1 8/1/2019 9/1/2019
-0.98 1 4 1/1/2020 2/1/2020
-0.93 1 2 3/1/2008 4/1/2008
-0.86 1 1 6/1/2003 7/1/2003
-0.55 1 1 12/1/2004 1/1/2005
-0.02 1 1 5/1/2001 6/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
44.04 2 9/1/1998 10/1/1998
43.69 10 12/1/1999 9/1/2000
39.41 10 6/1/2007 3/1/2008
27.63 2 7/1/1999 8/1/1999
23.08 8 9/1/2012 4/1/2013
21.00 4 6/1/2002 9/1/2002
18.91 11 9/1/2015 7/1/2016
17.40 2 12/1/2000 1/1/2001
17.03 3 3/1/2001 5/1/2001
16.44 9 11/1/2005 7/1/2006
11.23 4 10/1/2013 1/1/2014
9.55 2 12/1/2017 1/1/2018
8.11 3 6/1/2019 8/1/2019
7.59 4 2/1/2005 5/1/2005
6.15 3 4/1/2003 6/1/2003
6.04 2 1/1/2007 2/1/2007
6.00 2 3/1/2002 4/1/2002
5.94 4 10/1/2019 1/1/2020
5.92 3 5/1/2012 7/1/2012
5.79 3 7/1/2010 9/1/2010
5.77 3 12/1/2010 2/1/2011
5.59 5 5/1/2014 9/1/2014
4.91 6 7/1/2004 12/1/2004
4.75 1 9/1/2008 9/1/2008
4.65 2 11/1/2002 12/1/2002
4.43 2 10/1/2006 11/1/2006
3.65 3 4/1/2009 6/1/2009
3.57 2 4/1/2004 5/1/2004
3.46 1 3/1/2019 3/1/2019
3.43 3 5/1/2011 7/1/2011
3.37 2 9/1/2017 10/1/2017
3.30 2 8/1/2003 9/1/2003
3.30 2 12/1/2001 1/1/2002
2.79 1 9/1/2011 9/1/2011
2.76 3 5/1/2008 7/1/2008
2.74 1 1/1/2009 1/1/2009
2.68 2 4/1/2010 5/1/2010
2.55 1 10/1/1999 10/1/1999
2.46 2 11/1/2014 12/1/2014
2.39 2 12/1/2011 1/1/2012
2.34 2 8/1/2005 9/1/2005
2.27 2 6/1/2017 7/1/2017
2.19 2 3/1/1998 4/1/1998
2.15 3 3/1/2018 5/1/2018
2.14 1 3/1/2012 3/1/2012
2.01 1 2/1/2004 2/1/2004
1.97 1 10/1/2018 10/1/2018
1.96 1 12/1/2016 12/1/2016
1.66 1 2/1/2003 2/1/2003
1.62 1 7/1/2001 7/1/2001
1.56 1 3/1/2015 3/1/2015
1.34 1 8/1/2009 8/1/2009
1.33 1 2/1/2010 2/1/2010
1.23 1 8/1/2018 8/1/2018
1.17 1 5/1/2015 5/1/2015
1.10 2 4/1/1999 5/1/1999
1.03 1 7/1/2015 7/1/2015
0.92 1 3/1/2017 3/1/2017
0.83 1 3/1/2014 3/1/2014
0.66 1 3/1/2020 3/1/2020
0.59 2 6/1/2020 7/1/2020
0.46 1 8/1/2013 8/1/2013
0.21 1 11/1/2003 11/1/2003
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.26 4 5/1/1998 8/1/1998
-14.35 4 8/1/2001 11/1/2001
-14.04 2 10/1/2000 11/1/2000
-13.87 5 11/1/1998 3/1/1999
-9.26 3 10/1/2008 12/1/2008
-8.75 4 8/1/2016 11/1/2016
-8.07 3 5/1/2013 7/1/2013
-7.13 1 9/1/2013 9/1/2013
-6.90 2 8/1/2006 9/1/2006
-5.92 2 1/1/2017 2/1/2017
-5.40 1 8/1/2015 8/1/2015
-4.99 5 9/1/2009 1/1/2010
-4.71 2 10/1/2011 11/1/2011
-4.44 3 3/1/2007 5/1/2007
-4.39 4 11/1/2018 2/1/2019
-4.05 1 3/1/2003 3/1/2003
-4.01 1 8/1/2020 8/1/2020
-3.99 2 6/1/2005 7/1/2005
-3.89 1 10/1/2002 10/1/2002
-3.71 1 8/1/2008 8/1/2008
-3.50 1 2/1/2014 2/1/2014
-3.47 1 6/1/2015 6/1/2015
-3.13 1 11/1/1999 11/1/1999
-2.96 1 7/1/2009 7/1/2009
-2.75 2 3/1/2011 4/1/2011
-2.56 2 10/1/2010 11/1/2010
-2.54 2 4/1/2019 5/1/2019
-2.50 1 8/1/2011 8/1/2011
-2.44 1 6/1/1999 6/1/1999
-2.36 1 2/1/2002 2/1/2002
-2.31 1 2/1/2018 2/1/2018
-2.31 2 12/1/2003 1/1/2004
-2.21 1 10/1/2005 10/1/2005
-2.14 1 4/1/2014 4/1/2014
-1.89 1 8/1/2012 8/1/2012
-1.89 1 3/1/2004 3/1/2004
-1.81 1 11/1/2017 11/1/2017
-1.52 1 9/1/1999 9/1/1999
-1.50 1 1/1/2003 1/1/2003
-1.38 1 6/1/2004 6/1/2004
-1.37 1 2/1/2001 2/1/2001
-1.30 1 10/1/2003 10/1/2003
-1.19 2 6/1/2018 7/1/2018
-1.10 2 4/1/2017 5/1/2017
-1.05 1 2/1/2012 2/1/2012
-0.99 1 9/1/2019 9/1/2019
-0.98 1 2/1/2020 2/1/2020
-0.93 1 4/1/2008 4/1/2008
-0.86 1 7/1/2003 7/1/2003
-0.76 1 4/1/2015 4/1/2015
-0.72 1 12/1/2006 12/1/2006
-0.55 1 1/1/2005 1/1/2005
-0.51 1 6/1/2010 6/1/2010
-0.50 1 3/1/2010 3/1/2010
-0.47 1 10/1/2014 10/1/2014
-0.32 1 8/1/2017 8/1/2017
-0.28 1 4/1/2012 4/1/2012
-0.28 2 1/1/2015 2/1/2015
-0.25 1 9/1/2018 9/1/2018
-0.17 2 2/1/2009 3/1/2009
-0.14 1 5/1/2002 5/1/2002
-0.10 2 4/1/2020 5/1/2020
-0.02 1 6/1/2001 6/1/2001
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods270.00268.00265.00259.00253.00247.00235.00223.00211.00
Percent Profitable61.8568.6671.7079.9290.5192.7199.5798.21100.00
Average Period Return0.772.364.849.6414.8320.0029.9139.6250.12
Average Gain2.535.158.5712.9116.8021.8130.0440.3850.12
Average Loss-2.08-3.74-4.62-3.39-3.97-2.97-0.44-2.25
Best Period39.3637.6335.5164.1876.98109.54157.94184.44196.69
Worst Period-9.81-16.06-14.43-11.58-9.13-6.69-0.44-4.627.20
Standard Deviation3.866.599.0912.2915.7720.0826.4031.3133.99
Gain Standard Deviation3.685.787.7411.5415.2619.7526.3831.0733.99
Loss Standard Deviation1.983.363.903.032.911.721.64
Sharpe Ratio (1%)0.180.320.480.700.850.901.021.141.32
Average Gain / Average Loss1.221.371.863.814.237.3467.9917.93
Profit / Loss Ratio1.973.014.7015.1640.3993.4015909.52981.47
Downside Deviation (10%)1.963.364.324.144.194.545.216.364.94
Downside Deviation (5%)1.812.913.412.381.911.430.370.88
Downside Deviation (0%)1.772.813.212.031.500.920.030.36
Sortino Ratio (10%)0.190.340.551.121.732.152.722.844.55
Sortino Ratio (5%)0.380.721.273.636.9812.5471.9940.28
Sortino Ratio (0%)0.440.841.514.759.8621.751037.76111.10

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 7 2.88 10/2019
Diversified Trader Index Month 9 1.40 9/2017
Systematic Trader Index Month 10 1.40 9/2017
Diversified Trader Index Month 10 0.98 6/2017
Diversified Trader Index Month 7 6.67 1/2014
Systematic Trader Index Month 8 6.67 1/2014
Diversified Trader Index Month 9 3.58 8/2007
Diversified Trader Index Month 9 6.47 7/2007
Systematic Trader Index Month 7 2.59 2/2006
Diversified Trader Index Month 5 2.59 2/2006
Diversified Trader Index Month 5 3.25 4/2005
Systematic Trader Index Month 5 3.25 4/2005
IASG CTA Index Month 7 3.25 4/2005
Diversified Trader Index Month 5 2.25 4/2004
Systematic Trader Index Month 9 2.25 4/2004
IASG CTA Index Month 6 2.75 6/2003
Systematic Trader Index Month 4 2.75 6/2003
Diversified Trader Index Month 4 2.75 6/2003
Diversified Trader Index Month 3 4.34 11/2002
Systematic Trader Index Month 3 4.34 11/2002
IASG CTA Index Month 7 4.34 11/2002
Systematic Trader Index Month 8 2.90 4/2002
Diversified Trader Index Month 7 2.90 4/2002
Diversified Trader Index Month 10 1.25 1/2002
IASG CTA Index 3 Year 7 66.68 1998 - 2001
Diversified Trader Index Month 8 -1.80 11/2001
Systematic Trader Index Month 3 5.27 5/2001
Diversified Trader Index Month 2 5.27 5/2001
IASG CTA Index Month 5 5.27 5/2001
IASG CTA Index Month 3 6.64 4/2001
Systematic Trader Index Month 3 6.64 4/2001
Diversified Trader Index Month 1 6.64 4/2001
IASG CTA Index Month 2 11.08 1/2001
Systematic Trader Index Month 2 11.08 1/2001
Diversified Trader Index Month 2 11.08 1/2001
Systematic Trader Index Month 3 4.78 9/2000
Diversified Trader Index Month 2 4.78 9/2000
IASG CTA Index Month 6 4.78 9/2000
Diversified Trader Index Month 7 3.39 6/2000
Systematic Trader Index Month 5 3.39 6/2000
Diversified Trader Index Month 3 7.50 4/2000
IASG CTA Index Month 4 7.50 4/2000
Systematic Trader Index Month 4 7.50 4/2000
Diversified Trader Index Month 10 1.55 3/2000
IASG CTA Index Month 7 5.99 2/2000
Systematic Trader Index Month 5 5.99 2/2000
Diversified Trader Index Month 5 5.99 2/2000
IASG CTA Index Month 4 2.55 10/1999
Systematic Trader Index Month 3 2.55 10/1999
Diversified Trader Index Month 2 2.55 10/1999
IASG CTA Index Month 4 8.00 8/1999
Systematic Trader Index Month 4 8.00 8/1999
Diversified Trader Index Month 4 8.00 8/1999
Diversified Trader Index Month 1 18.18 7/1999
IASG CTA Index Month 1 18.18 7/1999
Systematic Trader Index Month 1 18.18 7/1999
Systematic Trader Index Month 6 3.36 10/1998
Diversified Trader Index Month 6 3.36 10/1998
IASG CTA Index Month 8 3.36 10/1998
Systematic Trader Index Month 1 39.36 9/1998
Diversified Trader Index Month 1 39.36 9/1998
IASG CTA Index Month 2 39.36 9/1998
Diversified Trader Index Month 5 0.22 4/1998
Systematic Trader Index Month 6 0.22 4/1998
IASG CTA Index Month 10 0.22 4/1998

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.