Crabel Capital Management : WPD Crabel Futures Program

Year-to-Date
2.74%
Jul Performance
1.38%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.05%
Sharpe (RFR=1%)
0.67
CAROR
9.27%
Assets
$ 280.0M
Worst DD
-27.41
S&P Correlation
0.03

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
7/2008
WPD Crabel Futures Program 1.38 0.66 2.74 1.84 11.09 13.67 114.96 167.19
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 198.70 132.73
+/- S&P 500 0.07 -0.51 -16.14 -3.97 -24.64 -39.13 -83.74 34.46

Strategy Description

Summary

Crabel Capital Management, LLC is a global alternative investment firm specializing in futures and foreign currency trading. Pioneers of short-term trading, the firm offers broadly diversified sytematic products that display low correlation to traditional asset classes. CCM has delivered... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
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
0 RT/YR/$M
Avg. Margin-to-Equity
15%
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
92.00%
Intraday
8.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
38.00%
Momentum
14.00%
Trend-following
27.00%
Other
21.00%
Strategy Pie Chart

Composition

Stock Indices
47.00%
Interest Rates
25.00%
Currency FX
14.00%
Energy
7.00%
Precious Metals
6.00%
Grains
1.00%
Composition Pie Chart

Summary

Crabel Capital Management, LLC is a global alternative investment firm specializing in futures and foreign currency trading. Pioneers of short-term trading, the firm offers broadly diversified sytematic products that display low correlation to traditional asset classes. CCM has delivered over 20 years of uncorrelated returns to its worldwide customer-base. The firm has grown to over $1.5 billion in assets under management with a dedicated team of seasoned research professionals.

Investment Strategy

The WPD Crabel Futures Program is a diversified portfolio of trading strategies and associated allocation, risk management and slippage minimization techniques developed by CCM’s Southport, CT research and portfolio management team. Strategies are typically price-driven. Approximately 40 liquid markets are traded, spanning the stock index, bond, forex and commodity sectors, but allocation among sectors varies over time and may be unequal. Many strategies are universal, traded identically across markets, but others are market or sector specific, and at times exposure can be concentrated in just a few markets. Portfolio risk is allocated fluidly among mean-reversion and momentum, medium-term trend, quantitative global macro and special opportunity strategies with a broad goal of parity between mean-reversion and momentum. Hold times range from one hour to several weeks, averaging three days. Long-term correlations with CTA, stock and bond indices are low, but vary in the short term. All strategies are associated with stop loss levels and an attempt is made via risk management overlays to moderate portfolio skew and 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.

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
-27.41 10 10 5/1/2009 3/1/2010
-15.49 2 9 4/1/2013 6/1/2013
-12.67 10 19 3/1/2015 1/1/2016
-11.69 3 2 8/1/2011 11/1/2011
-4.68 2 2 7/1/2014 9/1/2014
-3.95 1 1 11/1/2014 12/1/2014
-3.71 5 5 5/1/2018 10/1/2018
-3.62 1 1 7/1/2008 8/1/2008
-3.53 1 1 2/1/2011 3/1/2011
-3.23 2 - 3/1/2019 5/1/2019
-2.26 1 1 9/1/2012 10/1/2012
-2.01 1 2 11/1/2012 12/1/2012
-1.89 1 1 5/1/2011 6/1/2011
-1.78 2 1 4/1/2012 6/1/2012
-0.99 1 4 8/1/2017 9/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
37.12 9 9/1/2008 5/1/2009
29.02 5 12/1/2011 4/1/2012
21.94 9 10/1/2013 6/1/2014
20.22 3 6/1/2010 8/1/2010
13.48 3 12/1/2010 2/1/2011
11.29 6 3/1/2017 8/1/2017
11.20 3 7/1/2012 9/1/2012
11.02 3 1/1/2015 3/1/2015
8.68 2 4/1/2011 5/1/2011
7.93 1 7/1/2008 7/1/2008
7.63 1 10/1/2010 10/1/2010
7.56 4 1/1/2013 4/1/2013
6.94 6 12/1/2017 5/1/2018
6.65 1 7/1/2013 7/1/2013
6.52 1 11/1/2012 11/1/2012
6.49 1 11/1/2009 11/1/2009
5.94 5 5/1/2016 9/1/2016
5.57 2 2/1/2016 3/1/2016
5.27 2 10/1/2014 11/1/2014
4.05 5 11/1/2018 3/1/2019
3.77 1 8/1/2009 8/1/2009
3.50 2 7/1/2011 8/1/2011
3.24 2 6/1/2019 7/1/2019
1.92 1 9/1/2015 9/1/2015
1.56 2 12/1/2016 1/1/2017
1.39 1 4/1/2010 4/1/2010
0.89 1 1/1/2010 1/1/2010
0.85 1 12/1/2015 12/1/2015
0.73 2 8/1/2018 9/1/2018
0.52 1 7/1/2015 7/1/2015
0.44 1 5/1/2015 5/1/2015
0.41 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.89 2 9/1/2009 10/1/2009
-15.49 2 5/1/2013 6/1/2013
-12.85 2 6/1/2009 7/1/2009
-11.69 3 9/1/2011 11/1/2011
-7.39 2 2/1/2010 3/1/2010
-6.22 1 8/1/2015 8/1/2015
-5.70 2 10/1/2016 11/1/2016
-4.68 3 7/1/2014 9/1/2014
-4.08 1 12/1/2009 12/1/2009
-3.95 1 12/1/2014 12/1/2014
-3.62 1 8/1/2008 8/1/2008
-3.56 1 2/1/2017 2/1/2017
-3.53 1 3/1/2011 3/1/2011
-3.24 1 1/1/2016 1/1/2016
-3.23 2 4/1/2019 5/1/2019
-2.73 1 10/1/2018 10/1/2018
-2.67 2 8/1/2013 9/1/2013
-2.65 1 6/1/2015 6/1/2015
-2.44 1 4/1/2015 4/1/2015
-2.36 2 10/1/2015 11/1/2015
-2.26 1 10/1/2012 10/1/2012
-2.01 1 12/1/2012 12/1/2012
-1.89 1 6/1/2011 6/1/2011
-1.78 2 5/1/2012 6/1/2012
-1.73 2 6/1/2018 7/1/2018
-1.05 1 11/1/2010 11/1/2010
-0.99 1 9/1/2017 9/1/2017
-0.50 1 9/1/2010 9/1/2010
-0.40 1 5/1/2010 5/1/2010
-0.36 1 11/1/2017 11/1/2017
-0.20 1 4/1/2016 4/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods133.00131.00128.00122.00116.00110.0098.0086.0074.00
Percent Profitable66.1765.6569.5378.6982.7694.55100.00100.00100.00
Average Period Return0.812.374.638.7813.6819.9932.1544.4156.86
Average Gain2.745.939.7113.4917.8421.3932.1544.4156.86
Average Loss-3.03-4.44-6.98-8.59-6.27-4.30
Best Period12.9322.1729.6551.5752.6774.66109.33121.09142.92
Worst Period-10.50-13.46-22.57-26.69-14.61-7.733.345.0112.12
Standard Deviation3.776.7610.4114.7515.9118.3325.5431.0633.20
Gain Standard Deviation2.634.947.5712.4214.1617.8625.5431.0633.20
Loss Standard Deviation2.603.965.558.214.762.41
Sharpe Ratio (1%)0.190.310.400.530.770.981.141.301.56
Average Gain / Average Loss0.901.341.391.572.854.98
Profit / Loss Ratio1.812.563.185.7913.6686.32
Downside Deviation (10%)2.474.046.057.446.424.384.645.623.82
Downside Deviation (5%)2.323.585.125.783.771.56
Downside Deviation (0%)2.293.474.905.443.241.13
Sortino Ratio (10%)0.160.280.360.510.952.223.534.077.64
Sortino Ratio (5%)0.310.590.811.353.2311.52
Sortino Ratio (0%)0.350.680.941.624.2317.73

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 2.34 3/2018
Diversified Trader Index Month 5 1.96 6/2017
Diversified Trader Index Month 8 2.47 3/2017
Diversified Trader Index Month 9 6.65 7/2013
Systematic Trader Index Month 10 6.65 7/2013
Diversified Trader Index Month 6 6.52 11/2012
IASG CTA Index Month 7 6.52 11/2012
Systematic Trader Index Month 7 6.52 11/2012
Diversified Trader Index Month 7 5.14 9/2012
IASG CTA Index Month 7 5.14 9/2012
Systematic Trader Index Month 10 5.14 9/2012
Diversified Trader Index Month 9 10.31 1/2012
Diversified Trader Index Month 3 9.85 12/2011
Systematic Trader Index Month 4 9.85 12/2011
IASG CTA Index Month 5 9.85 12/2011
Systematic Trader Index Month 8 6.10 7/2010
Diversified Trader Index Month 10 6.10 7/2010
Diversified Trader Index Month 8 4.57 3/2009
Systematic Trader Index Month 6 4.57 3/2009
Systematic Trader Index Month 6 12.93 9/2008
IASG CTA Index Month 8 12.93 9/2008
Diversified Trader Index Month 6 12.93 9/2008

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