Crescent Bay Capital Management : Conservative Growth Index Program

Year-to-Date
10.12%
Aug Performance
1.47%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
10.47%
Sharpe (RFR=1%)
0.78
CAROR
8.92%
Assets
$ 825k
Worst DD
-13.24
S&P Correlation
0.36

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
5/2017
Conservative Growth Index Program 1.47 3.01 10.12 9.82 - - - 22.06
S&P 500 -1.81 6.34 16.73 0.85 - - - 20.10
+/- S&P 500 3.28 -3.33 -6.61 8.97 - - - 1.95

Strategy Description

Investment Strategy

The Conservative Growth Index Program (CGIP) is a targeted return strategy that has been engineered to focus on achieving a goal of 20% net annual return while keeping risk exposure to a minimum. The program sells weekly put options that are considered tail risk with ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10k
Trading Level Incremental Increase
$ 5k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
25.00%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
15-30 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
40%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The Conservative Growth Index Program (CGIP) is a targeted return strategy that has been engineered to focus on achieving a goal of 20% net annual return while keeping risk exposure to a minimum. The program sells weekly put options that are considered tail risk with < 1 delta exposure on the standard pit traded S&P 500 futures option contract. Statistically, < 1 delta translates to the option going into the money less than 1 time in 100 expiration periods. In addition, the strategy goal is to keep margin requirements at 30% or less of account value.

   

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
-13.24 1 14 1/1/2018 2/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
16.03 9 5/1/2017 1/1/2018
14.09 10 11/1/2018 8/1/2019
11.66 7 3/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.24 1 2/1/2018 2/1/2018
-4.83 1 10/1/2018 10/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable92.8676.9273.9176.47100.00
Average Period Return0.762.113.615.287.18
Average Gain1.524.597.097.967.18
Average Loss-9.04-6.14-6.27-3.44
Best Period2.516.3011.6513.4221.25
Worst Period-13.24-10.79-6.96-4.193.67
Standard Deviation3.025.136.706.254.80
Gain Standard Deviation0.420.993.494.344.80
Loss Standard Deviation5.954.670.480.55
Sharpe Ratio (1%)0.220.360.460.691.18
Average Gain / Average Loss0.170.751.132.32
Profit / Loss Ratio2.182.493.217.53
Downside Deviation (10%)2.764.094.474.202.04
Downside Deviation (5%)2.683.693.462.16
Downside Deviation (0%)2.663.593.211.68
Sortino Ratio (10%)0.130.220.250.07-0.20
Sortino Ratio (5%)0.250.500.901.98
Sortino Ratio (0%)0.290.591.123.14

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.