Cranwood Capital Management : Cranwood International Fund

archived programs
Year-to-Date
N / A
Apr Performance
1.14%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
8.03%
Sharpe (RFR=1%)
0.75
CAROR
6.88%
Assets
$ 535k
Worst DD
-13.99
S&P Correlation
-0.19

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/2008
Cranwood International Fund 1.14 2.23 - 1.46 -0.71 18.84 - 49.93
S&P 500 0.62 5.69 - 17.93 38.13 115.81 - 35.95
+/- S&P 500 0.52 -3.46 - -16.47 -38.84 -96.98 - 13.98

Strategy Description

Summary

The investment objective of the Cranwood International Fund, Ltd. is to generate high, absolute total returns by arbitraging temporary discrepancies occurring along the US Treasury yield curve. These discrepancies are identified by Cranwood traders using a proprietary model identifying... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
0%
Performance Fee
20.00%
Average Commission
$1.00
Available to US Investors
No

Subscriptions

High Water Mark
No
Subscription Frequency
Redemption Frequency
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
158 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Arbitrage & Spread 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

Arbitrage
100.00%
Strategy Pie Chart

Composition

Other
100.00%
Composition Pie Chart

Summary

The investment objective of the Cranwood International Fund, Ltd. is to generate high, absolute total returns by arbitraging temporary discrepancies occurring along the US Treasury yield curve. These discrepancies are identified by Cranwood traders using a proprietary model identifying brief, transitory shifts based upon intraday imbalances. These arbitrage techniques include the simultaneous sale and purchase of US Treasury futures contracts creating a spread among commonly traded Treasury notes and bonds. Along with the extensive experience of Cranwood’s Chief Executive Officer and Chief Investment Officer, Pete Powers, Cranwood employs traders who monitor and trade the entirety of the 22 1/2 hour trading day, maintain strong risk measures to limit loss and delegate trading efficiently among experienced futures traders and former Chicago Board of Trade floor traders with cumulative trading experience of over 94 years. Strategy involves the creation of spread positions through the simultaneous purchase and sale of futures contracts of US Treasury securities obligations. Proprietary analytical methods are utilized to identify trades. These trades compare values of Treasury instruments of differing maturities to determine whether one instrument is comparatively undervalued or overvalued to the others along the yield curve. Trading strategy is non-directional. It is not important for strategy to discern market direction, only to evaluate relative value in regards to historical yield curve behavior. Trade decisions involve a thorough evaluation of associated risks, the ability to execute efficiently, and extraneous interest rate factors. Dynamic monitoring of trading activity during the entirety of the 22 1/2 hour trading day. Positions are closed to cash within the same trading day. Risk control is heightened during major market announcements (i.e. Federal Reserve announcements, significant economic data releases, etc) or during significant global events.

Investment Strategy

Cranwood Management Trader CEO and Chief Investment Peter Powers is the Chief Executive Officer and Chief Investment Officer of Cranwood Capital Management, LLC overseeing the Cranwood Fixed Income Arbitrage Fund, LP and the Cranwood International Fund, Ltd, a British Virgin Island domiciled offshore fund. Mr. Powers experience includes a long career of trading US Treasury futures contracts, he is a seat holder of the Chicago Board of Trade as a registered floor broker, and has been a member of the National Futures Association since 1998. Prior to Cranwood Capital Management, LLC, Mr. Powers served as the head trader and sole manager of Elite Trading Company, LLC. In 2003, Mr. Powers purchased a seat on the CBOT and is a registered floor broker. From 1998-2003, and prior to Elite Trading Company, LLC, Mr. Powers was an independent floor trader with the CBOT. In 1997, Mr. Powers served as floor clerk at the CBOT for SSS Commodities. From 1995-1997, he served as Vice President in the Institutional Fixed Income department at Dean Witter Reynolds and from 1991-1995, was a Financial Consultant with Smith Barney. Mr. Powers holds a Bachelor of Science degree in Finance from the University of South Carolina, Coastal graduating in 1990.ltJoseph R. Radostitz is the Chief Risk Officer supervising the trading activity of Cranwood’s trading desk. Mr. Radostitz has over 14 years of experience in trading futures contracts, was a member of both the Chicago Board of Trade and Chicago Board of Options Exchange, and has acted as a mentor and trainer for many junior futures traders. Most recently Mr. Radostitz has been the Senior US Treasury Bond Futures Yield Curve Spread Trader for Elite Trading Company, LLC managing an eight man trading group. Mr. Radostitz will be responsible for the risk management of Cranwood International Fund Ltd. supervising trading strategy and the execution of Cranwood trading. Mr. Radostitz is a graduate of Elmhurst College with a Bachelor of Arts in Marketing.William J. Powers is the head of Research and Development of Cranwood Capital Management. Mr. Powers will be responsible for overseeing the development of new projects and serve as manager and liaison for global and domestic business operations. Mr. Powers has over 6 years experience as a trader of US Treasury and Eurodollar futures. Mr. Powers graduated from Cleveland State University with a Bachelor of Arts in History and Education.Disclaimer for trading results. Results portrayed represent actual trading and were achieved by means intended to be applied to the current investment strategy of Cranwood International Fund, Ltd. The results may not reflect the impact that material economic and market factors may have on the adviser's decision-making in the future. The results also include exchange fees that are lower than actual expenses. Certain other expenses that the Fund will incur have not been included, such as audit and accounting fees. The results portrayed represent net returns that were the result of live trading accounts managed by Pete Powers and Elite Trading Company, LLC traders between July 2005 and March 2008 utilizing an investment strategy that is representative of the strategy that will be utilized by the Fund. The results are calculated net of management fees and include fees associated with the performance allocation that will be paid to the Fund’s adviser. Past performance is not necessarily indicative of future results and there is always the possibility of loss.

   

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
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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
-13.99 18 - 7/1/2012 1/1/2014
-9.63 14 6 1/1/2009 3/1/2010
-2.49 3 2 3/1/2011 6/1/2011
-2.14 3 1 9/1/2008 12/1/2008
-0.60 1 1 7/1/2008 8/1/2008
-0.16 1 1 4/1/2012 5/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
24.70 8 8/1/2010 3/1/2011
24.17 4 4/1/2008 7/1/2008
11.89 10 7/1/2011 4/1/2012
6.21 3 4/1/2010 6/1/2010
4.30 1 1/1/2009 1/1/2009
2.80 1 9/1/2008 9/1/2008
2.57 4 9/1/2009 12/1/2009
2.23 3 2/1/2014 4/1/2014
2.03 3 5/1/2013 7/1/2013
1.92 2 6/1/2012 7/1/2012
0.72 2 11/1/2012 12/1/2012
0.60 1 5/1/2011 5/1/2011
0.55 1 10/1/2013 10/1/2013
0.50 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.19 7 2/1/2009 8/1/2009
-6.85 3 8/1/2012 10/1/2012
-6.49 2 3/1/2013 4/1/2013
-4.04 3 1/1/2010 3/1/2010
-2.14 3 10/1/2008 12/1/2008
-1.99 3 11/1/2013 1/1/2014
-1.71 1 1/1/2013 1/1/2013
-1.70 1 4/1/2011 4/1/2011
-1.40 1 6/1/2011 6/1/2011
-1.30 2 8/1/2013 9/1/2013
-0.90 1 7/1/2010 7/1/2010
-0.60 1 8/1/2008 8/1/2008
-0.16 1 5/1/2012 5/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable60.2760.5660.2951.6162.5076.0094.74100.00
Average Period Return0.581.582.674.998.5213.7025.3629.51
Average Gain1.834.387.1614.9917.9420.1726.8829.51
Average Loss-1.45-2.72-4.15-5.67-7.18-6.81-2.10
Best Period6.4517.6426.8831.2536.0042.4053.6166.65
Worst Period-6.40-6.85-7.78-12.45-13.99-11.08-3.5017.13
Standard Deviation2.324.927.4011.9615.2116.2012.9012.62
Gain Standard Deviation1.764.135.997.6111.0112.7911.4212.62
Loss Standard Deviation1.762.182.403.324.063.811.97
Sharpe Ratio (1%)0.220.270.290.330.460.721.732.02
Average Gain / Average Loss1.261.611.722.642.502.9612.77
Profit / Loss Ratio2.132.482.622.824.179.37229.93
Downside Deviation (10%)1.522.824.467.809.518.995.611.16
Downside Deviation (5%)1.382.303.285.175.854.691.31
Downside Deviation (0%)1.352.173.014.555.023.790.58
Sortino Ratio (10%)0.120.130.040.000.100.381.716.89
Sortino Ratio (5%)0.360.580.660.771.202.4917.07
Sortino Ratio (0%)0.430.730.891.101.703.6243.79

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 9 6.45 7/2008

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