Crescent Bay Capital Management : Conservative Growth Index Program

archived programs
Year-to-Date
14.19%
May Performance
1.18%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
9.64%
Sharpe (RFR=1%)
0.84
CAROR
8.99%
Assets
$ 1.0M
Worst DD
-15.19
S&P Correlation
0.51

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
5/2017
Conservative Growth Index Program 1.18 - -14.19 -13.07 -3.63 - - 8.74
S&P 500 4.53 - -5.77 10.62 24.94 - - 34.20
+/- S&P 500 -3.35 - -8.41 -23.69 -28.57 - - -25.46

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:
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Risk
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-15.19 4 - 12/1/2019 4/1/2020
-13.24 1 14 1/1/2018 2/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
18.45 14 11/1/2018 12/1/2019
16.03 9 5/1/2017 1/1/2018
11.66 7 3/1/2018 9/1/2018
1.18 1 5/1/2020 5/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.19 4 1/1/2020 4/1/2020
-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 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable83.7871.4368.7573.0890.00100.00
Average Period Return0.280.702.065.148.4411.11
Average Gain1.434.176.769.019.6211.11
Average Loss-5.66-7.97-8.27-5.37-2.22
Best Period2.516.3011.6516.5721.2517.33
Worst Period-13.24-15.13-13.82-8.40-4.322.66
Standard Deviation3.236.237.757.817.424.80
Gain Standard Deviation0.461.323.134.896.804.80
Loss Standard Deviation4.845.003.422.472.97
Sharpe Ratio (1%)0.060.070.200.530.931.89
Average Gain / Average Loss0.250.520.821.684.34
Profit / Loss Ratio1.311.311.804.5639.03
Downside Deviation (10%)3.025.536.275.623.963.20
Downside Deviation (5%)2.925.075.233.511.37
Downside Deviation (0%)2.894.964.973.030.97
Sortino Ratio (10%)-0.04-0.10-0.060.030.210.27
Sortino Ratio (5%)0.070.090.301.185.06
Sortino Ratio (0%)0.100.140.421.708.73

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.