Crabel Capital Management : Crabel Two Plus Program

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
3.20%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.93%
Sharpe (RFR=1%)
0.48
CAROR
6.99%
Assets
$ 1.5M
Worst DD
-25.58
S&P Correlation
-0.15

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
7/2004
Crabel Two Plus Program 3.20 - - - - - -14.51 92.13
S&P 500 4.31 - - - - - 62.38 214.43
+/- S&P 500 -1.11 - - - - - -76.89 -122.30

Strategy Description

Summary

Crabel Two Plus was developed to serve as a complementary portfolio to our short-term strategies in our flagship Multi-Product program. The objective of this research was to create a product with a superior risk/reward ratio while remaining uncorrelated with our short-term products.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 4700 RT/YR/$M
Avg. Margin-to-Equity 13%
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 2.00%
1-30 Days 98.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
15.00%
Momentum
8.00%
Trend-following
77.00%
Strategy Pie Chart

Composition

Currency FX
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Precious Metals
8.00%
Energy
7.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Crabel Two Plus was developed to serve as a complementary portfolio to our short-term strategies in our flagship Multi-Product program. The objective of this research was to create a product with a superior risk/reward ratio while remaining uncorrelated with our short-term products. The combination of the two styles of trading provides a valuable addition to our Multi-Product through both risk reduction and improved returns. Because of the longer holding periods in the Crabel Two Plus program, the capacity available in this product is significantly greater than the desired allocation in our Multi-Product. Therefore, we now offer this product as a stand-alone investment providing superior alpha in this short to medium-term strategy space. The program is also available through U.S. and offshore fund structures with a minimum investment of $1,000,000. Performance history is based on a full portfolio. The minimum account size for the full portfolio is $30 million trading level. The minimum account size for the reduced portfolio (few markets) is $5 million.

Investment Strategy

Crabel Two Plus employs multiple, price-driven, systematic strategies that participate in market trends. Many of the strategies are based on concepts and technologies from Crabel’s short-term portfolio. The product’s objective is to deliver a high risk-adjusted return with greater alpha relative to the trend-following industry.

Risk Management

The average holding period is 5 days with a range of 2 to 55 days. Risk is controlled by dynamic sizing of new trades relative to market volatility, the use of stops and time exits along with a balance of volatility derived from 4 sectors and 3 geographic 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
-25.58 29 - 4/1/2011 9/1/2013
-16.98 4 10 4/1/2006 8/1/2006
-10.62 11 7 2/1/2009 1/1/2010
-7.85 1 3 9/1/2005 10/1/2005
-6.61 2 2 6/1/2008 8/1/2008
-5.70 1 4 12/1/2004 1/1/2005
-5.06 2 2 1/1/0001 8/1/2004
-3.60 1 2 3/1/2008 4/1/2008
-3.51 1 1 2/1/2011 3/1/2011
-3.44 1 1 10/1/2010 11/1/2010
-3.15 2 1 6/1/2007 8/1/2007
-1.69 1 1 8/1/2010 9/1/2010
-0.37 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
30.97 7 9/1/2007 3/1/2008
21.85 6 9/1/2008 2/1/2009
18.97 5 5/1/2005 9/1/2005
18.54 4 9/1/2004 12/1/2004
16.09 4 1/1/2006 4/1/2006
15.97 5 9/1/2006 1/1/2007
14.46 1 5/1/2012 5/1/2012
13.08 3 4/1/2007 6/1/2007
12.85 7 2/1/2010 8/1/2010
10.89 2 10/1/2013 11/1/2013
7.27 1 11/1/2005 11/1/2005
5.75 1 4/1/2013 4/1/2013
5.46 1 12/1/2010 12/1/2010
5.44 2 12/1/2012 1/1/2013
4.98 1 9/1/2009 9/1/2009
4.84 3 7/1/2011 9/1/2011
4.73 2 5/1/2008 6/1/2008
4.57 2 2/1/2005 3/1/2005
4.45 1 4/1/2011 4/1/2011
3.43 1 11/1/2009 11/1/2009
3.20 1 2/1/2014 2/1/2014
2.38 1 10/1/2010 10/1/2010
1.22 1 2/1/2011 2/1/2011
1.10 1 7/1/2012 7/1/2012
0.36 1 7/1/2009 7/1/2009
0.19 1 12/1/2011 12/1/2011
0.11 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.98 4 5/1/2006 8/1/2006
-14.69 5 5/1/2013 9/1/2013
-10.33 4 8/1/2012 11/1/2012
-9.85 2 10/1/2011 11/1/2011
-8.65 2 5/1/2011 6/1/2011
-8.52 4 3/1/2009 6/1/2009
-8.02 1 6/1/2012 6/1/2012
-7.85 1 10/1/2005 10/1/2005
-6.97 2 12/1/2009 1/1/2010
-6.61 2 7/1/2008 8/1/2008
-5.70 1 1/1/2005 1/1/2005
-5.06 2 7/1/2004 8/1/2004
-3.64 2 12/1/2013 1/1/2014
-3.60 1 4/1/2008 4/1/2008
-3.53 1 10/1/2009 10/1/2009
-3.51 1 3/1/2011 3/1/2011
-3.44 1 11/1/2010 11/1/2010
-3.17 1 4/1/2005 4/1/2005
-3.15 2 7/1/2007 8/1/2007
-2.51 1 12/1/2005 12/1/2005
-2.35 2 3/1/2012 4/1/2012
-1.82 2 2/1/2007 3/1/2007
-1.69 1 9/1/2010 9/1/2010
-1.54 2 2/1/2013 3/1/2013
-1.54 1 1/1/2012 1/1/2012
-0.37 1 1/1/2011 1/1/2011
-0.10 1 8/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods116.00114.00111.00105.0099.0093.0081.0069.0057.00
Percent Profitable56.9060.5363.9664.7671.7270.9767.9075.3682.46
Average Period Return0.642.033.877.8911.9016.3329.5042.1251.53
Average Gain3.386.549.4716.0120.5027.2248.2059.0164.13
Average Loss-2.97-4.89-6.07-7.02-9.89-10.28-10.04-9.54-7.68
Best Period14.4616.1428.8643.4461.6669.2878.83108.65121.39
Worst Period-9.42-15.58-16.61-16.74-19.31-22.28-21.83-18.79-14.93
Standard Deviation4.026.959.3914.5719.7023.0432.5140.2340.13
Gain Standard Deviation2.704.446.2911.3316.4617.9220.9131.1832.12
Loss Standard Deviation2.233.554.404.594.346.276.444.064.74
Sharpe Ratio (1%)0.140.260.360.470.530.620.810.951.16
Average Gain / Average Loss1.141.341.562.282.072.654.806.188.35
Profit / Loss Ratio1.502.052.774.195.256.4710.1618.9239.23
Downside Deviation (10%)2.654.445.767.689.7311.7115.2716.4416.39
Downside Deviation (5%)2.473.914.735.476.477.418.237.035.69
Downside Deviation (0%)2.433.784.484.965.736.466.725.123.73
Sortino Ratio (10%)0.090.180.240.380.440.520.901.251.46
Sortino Ratio (5%)0.230.450.711.261.611.933.225.418.16
Sortino Ratio (0%)0.270.540.861.592.082.534.398.2213.82

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.