Crescent Bay Capital Management : Balance Volatility Program

archived programs
Year-to-Date
N / A
Nov Performance
0.00%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
17.64%
Sharpe (RFR=1%)
0.11
CAROR
1.31%
Assets
$ 43k
Worst DD
-39.34
S&P Correlation
-0.09

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
8/2007
Balance Volatility Program 0.00 - - - -18.64 -18.41 -27.01 15.87
S&P 500 1.79 - - - 31.33 51.31 204.81 143.16
+/- S&P 500 -1.79 - - - -49.98 -69.72 -231.83 -127.29

Strategy Description

Summary

The trading method and strategy applied by CBCM is both proprietary and confidential. As a result, the following discussion is of necessity general in nature, and not intended to by exhaustive. The Advisor relies on proprietary systematic trading models that its Principal has developed... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $25.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 7200 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 36.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days 50.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The trading method and strategy applied by CBCM is both proprietary and confidential. As a result, the following discussion is of necessity general in nature, and not intended to by exhaustive. The Advisor relies on proprietary systematic trading models that its Principal has developed and traded in-house. These models operate systematically. The trading strategy is non-directional. The BVP trading strategy blends various short and long Put options to create an overall position that is buffered from increases in volatility. Furthermore, positions are strategically placed across different calendar months using a “diagonal spread method” providing an overall net long volatility position. Each new position is “delta neutral” which provides additional insulation from market volatility. These core elements result in a balanced strategy.

Investment Strategy

In May 2010, CBCM developed a proprietary option pricing model. The Advisor believes this “Straight Line Time” option pricing model to be more useful than Black-Scholes in determining the true time decay value of options. It is the opinion of CBCM that the Straight Line Time (“SLT”) model identifies the optimal exit points at which open trade positions should be closed. In December 2011, CBCM put in place a trailing profit stop policy. This enhanced risk parameter has increased the frequency with which the BVP program trades. CBCM believes this adjustment has led to smaller drawdowns and increased per trade profitability, in a market environment that would typically be a challenge for the profit (steadily up-trending without pullbacks). Trade positions are placed (using proprietary strike level and ratio algorithms) to achieve a strategy that can be profitable in flat or volatile market conditions. Profit is made through the expansion of the spread’s “Theta Differential.” This creates a position that can make profit from time decay and underlying market moves. The primary risk controls for the BVP are stop limits (which are derived as a function of account value) and real-time monitoring of positions. Furthermore, the BVP only participates in high liquidity markets (currently the S&P 500 futures Put option contracts).

Risk Management

It is the opinion of CBCM that returns alone should never be used to evaluate the merits of an investment. This is particularly true when considering a managed futures program because of the high degree of leverage that is possible with futures. In fact, returns alone reveal nothing about the risks to which an account may have been exposed in pursuit of those returns. By their nature, futures are risky instruments. With respect to trading options on futures contracts, CBCM has imposed certain restrictions and procedures upon the Program, in light of their inherent risk.

   

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
-39.34 33 - 5/1/2011 2/1/2014
-32.69 18 10 4/1/2008 10/1/2009
-8.37 5 4 8/1/2010 1/1/2011
-7.84 2 1 11/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
40.34 4 8/1/2007 11/1/2007
37.08 4 5/1/2010 8/1/2010
22.81 3 2/1/2008 4/1/2008
20.61 3 7/1/2015 9/1/2015
15.33 11 7/1/2016 5/1/2017
10.96 2 11/1/2009 12/1/2009
10.21 4 2/1/2011 5/1/2011
9.68 3 8/1/2014 10/1/2014
9.23 5 4/1/2012 8/1/2012
8.85 2 12/1/2014 1/1/2015
7.93 3 3/1/2014 5/1/2014
6.56 2 2/1/2010 3/1/2010
6.47 4 11/1/2011 2/1/2012
5.28 1 12/1/2017 12/1/2017
4.89 2 12/1/2008 1/1/2009
4.85 1 9/1/2011 9/1/2011
4.65 2 12/1/2012 1/1/2013
3.86 3 3/1/2015 5/1/2015
3.61 3 4/1/2018 6/1/2018
2.79 1 5/1/2016 5/1/2016
2.54 1 4/1/2013 4/1/2013
2.39 1 9/1/2009 9/1/2009
2.20 2 6/1/2013 7/1/2013
2.13 3 4/1/2009 6/1/2009
2.01 3 11/1/2015 1/1/2016
1.86 1 12/1/2013 12/1/2013
1.27 2 7/1/2008 8/1/2008
1.03 1 8/1/2018 8/1/2018
0.96 2 9/1/2017 10/1/2017
0.89 2 10/1/2010 11/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.52 1 5/1/2013 5/1/2013
-25.80 3 1/1/2018 3/1/2018
-22.96 3 9/1/2008 11/1/2008
-11.67 2 2/1/2009 3/1/2009
-9.63 3 6/1/2011 8/1/2011
-8.93 2 2/1/2013 3/1/2013
-7.84 2 12/1/2007 1/1/2008
-7.72 1 11/1/2017 11/1/2017
-7.71 3 9/1/2012 11/1/2012
-7.24 2 1/1/2014 2/1/2014
-7.21 1 10/1/2011 10/1/2011
-6.61 2 6/1/2014 7/1/2014
-6.61 3 2/1/2016 4/1/2016
-5.79 2 7/1/2009 8/1/2009
-5.10 2 12/1/2010 1/1/2011
-4.40 1 1/1/2010 1/1/2010
-4.30 1 9/1/2010 9/1/2010
-4.14 4 8/1/2013 11/1/2013
-3.45 1 10/1/2009 10/1/2009
-3.30 1 3/1/2012 3/1/2012
-3.19 1 11/1/2014 11/1/2014
-2.52 1 10/1/2015 10/1/2015
-2.09 2 5/1/2008 6/1/2008
-1.99 1 6/1/2016 6/1/2016
-1.90 3 6/1/2017 8/1/2017
-1.46 1 6/1/2015 6/1/2015
-0.75 1 4/1/2010 4/1/2010
-0.42 3 9/1/2018 11/1/2018
-0.30 1 2/1/2015 2/1/2015
-0.08 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods136.00134.00131.00125.00119.00113.00101.0089.0077.00
Percent Profitable59.5655.2251.9152.0057.1453.9854.4649.4425.97
Average Period Return0.240.680.931.222.353.976.792.55-4.02
Average Gain2.966.5711.2617.0219.5024.4729.4119.6714.11
Average Loss-3.90-6.57-10.21-15.90-20.50-20.08-20.26-14.19-10.38
Best Period16.8834.9541.6556.0050.0845.5458.1057.7458.75
Worst Period-26.52-27.16-29.87-32.72-38.65-36.46-36.98-36.56-30.36
Standard Deviation5.099.6514.4321.0623.5825.0227.9821.4415.67
Gain Standard Deviation3.367.2410.1514.3313.9512.1914.5715.5818.45
Loss Standard Deviation4.586.949.0611.6810.9110.3910.5910.107.69
Sharpe Ratio (1%)0.030.050.030.010.040.080.13-0.07-0.58
Average Gain / Average Loss0.761.001.101.070.951.221.451.391.36
Profit / Loss Ratio1.161.231.191.161.271.431.741.350.48
Downside Deviation (10%)3.916.9610.7916.5919.7821.8025.5227.5634.87
Downside Deviation (5%)3.776.489.7014.1916.0516.5317.2414.8114.88
Downside Deviation (0%)3.746.379.4413.6315.1715.3115.3912.3411.08
Sortino Ratio (10%)-0.04-0.08-0.14-0.23-0.26-0.29-0.35-0.69-0.91
Sortino Ratio (5%)0.040.070.040.020.050.120.22-0.10-0.61
Sortino Ratio (0%)0.060.110.100.090.160.260.440.21-0.36

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.