Crescent Bay Capital Management : Premium Stock Index Program

Year-to-Date
11.97%
Aug Performance
1.13%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
11.44%
Sharpe (RFR=1%)
0.41
CAROR
5.16%
Assets
$ 23k
Worst DD
-26.46
S&P Correlation
0.12

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
10/2005
Premium Stock Index Program 1.13 5.10 11.97 16.03 18.77 43.06 60.14 101.33
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 139.95
+/- S&P 500 2.94 -1.24 -4.76 15.18 -14.66 -1.53 -123.63 -38.62

Strategy Description

Summary

Uncovered Option Strategy The objective of this strategy is to achieve substantial capital appreciation through the speculative trading of options on futures contracts. This objective can entail a comparatively high level of risk. CBCM currently engages in this strategy of selling... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
25.00%
Average Commission
$20.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
3600 RT/YR/$M
Avg. Margin-to-Equity
60%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary
25.00%
Systematic
75.00%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Uncovered Option Strategy The objective of this strategy is to achieve substantial capital appreciation through the speculative trading of options on futures contracts. This objective can entail a comparatively high level of risk. CBCM currently engages in this strategy of selling or writing put and call options on stock index futures. However in the future, CBCM may trade a broader portfolio of options and futures contracts including agricultural, metals, currencies and financial instruments. Each of CBCM's clients will receive advance notice, before having their account traded in any other type of commodity interests other than the stock index futures and options. CBCM may trade commodity future and option contracts on any United States Exchange. CBCM's option strategy collects premiums by writing (selling) out-of-the-money options. The seller (writer) of the option risks losing the difference between the premiums received for the option and the price of the underlying futures contract. Trades are usually made 45-30 days from expiration. The idea is to hold the option until expiration. This maximizes the return on the option by retaining all the funds received in the account when the option was initially sold. The goal is to be profitable regardless of market direction. What is unique with CBCM's strategy is that historical prices are not used to establish positions. The majority of methods used by advisors is based on the assumption that historical price data can predict future prices. The use of historical price data has shown to be profitable, however, substantial drawdowns and low accuracy is generally the result. CBCM uses the future perceived value in its proprietary algorithms, derived from the current month's option expiration, to determine the strike prices the options are sold. In addition, position sizing methods are employed to optimize returns and reduce risk. The profitability of a trading system consisting of selling uncovered options on an index depends upon the price movement of the index. If CBCM writes calls on an index, and the calls are not bought in before their expiration, the strategy will be profitable if the index is below the strike price of the call when the call expires. If the index is above the strike price of the call when the call expires, the strategy may produce a potentially unlimited loss. If CBCM writes puts on an index, and the puts are not bought in before their expiration, the strategy will be profitable if the index is above the strike price of the puts when the puts expire. If the index is below the strike price of the puts when the puts expire, the strategy may produce an almost unlimited loss. CBCM will occasionally buy back (cover) the option before expiration to avoid or minimize risk of loss. MANAGEMENT David Thomas Bedford attended Pepperdine University in Malibu, California, graduating in 1990 with a Bachelor of Science degree in Sports Medicine. David also took graduate courses at Golden Gate University. During this time his course work focused on quantitative analysis, statistics, and information technology. This coursework combined with his interest in the markets launched the pursuit of researching profitable trading methods. Since, August 1999 he has been an active market participant testing his methods and skills in the futures markets. From January 2003 to Present, he has been President of Crescent Bay Capital Management, Inc. He established this firm to form a business entity for the sole purpose of trading and market research.

   

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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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
-26.46 11 36 8/1/2008 7/1/2009
-22.49 13 38 1/1/2013 2/1/2014
-17.53 7 6 1/1/2007 8/1/2007
-12.39 4 12 10/1/2017 2/1/2018
-3.23 1 1 6/1/2006 7/1/2006
-1.75 1 1 4/1/2006 5/1/2006
-1.17 1 1 9/1/2006 10/1/2006
-0.91 1 1 3/1/2019 4/1/2019
-0.86 3 1 8/1/2012 11/1/2012
-0.85 1 1 4/1/2008 5/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
27.02 7 10/1/2005 4/1/2006
18.33 3 2/1/2008 4/1/2008
17.21 6 12/1/2011 5/1/2012
16.39 4 9/1/2007 12/1/2007
12.85 9 2/1/2016 10/1/2016
12.12 3 11/1/2006 1/1/2007
11.85 6 1/1/2015 6/1/2015
11.04 9 3/1/2018 11/1/2018
9.63 5 6/1/2010 10/1/2010
9.55 4 11/1/2009 2/1/2010
9.51 8 3/1/2017 10/1/2017
7.41 2 5/1/2007 6/1/2007
6.89 4 5/1/2019 8/1/2019
6.89 4 3/1/2011 6/1/2011
5.71 3 1/1/2019 3/1/2019
5.65 2 8/1/2006 9/1/2006
5.26 3 6/1/2008 8/1/2008
5.21 2 8/1/2009 9/1/2009
4.84 1 12/1/2017 12/1/2017
4.16 1 9/1/2011 9/1/2011
4.16 3 4/1/2009 6/1/2009
4.15 4 8/1/2014 11/1/2014
3.97 2 12/1/2010 1/1/2011
3.75 2 7/1/2012 8/1/2012
3.67 2 10/1/2015 11/1/2015
3.33 1 1/1/2017 1/1/2017
2.81 2 12/1/2008 1/1/2009
2.75 1 3/1/2014 3/1/2014
2.46 2 5/1/2014 6/1/2014
2.41 1 6/1/2006 6/1/2006
2.22 2 12/1/2012 1/1/2013
2.06 1 6/1/2013 6/1/2013
2.04 1 8/1/2013 8/1/2013
2.00 2 12/1/2013 1/1/2014
1.10 1 8/1/2015 8/1/2015
0.56 1 4/1/2010 4/1/2010
0.11 1 4/1/2013 4/1/2013
0.04 1 10/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.73 3 9/1/2008 11/1/2008
-14.50 3 2/1/2007 4/1/2007
-13.50 1 5/1/2013 5/1/2013
-10.58 2 7/1/2011 8/1/2011
-10.19 2 7/1/2007 8/1/2007
-10.05 2 1/1/2018 2/1/2018
-8.15 2 2/1/2009 3/1/2009
-7.45 2 12/1/2015 1/1/2016
-7.10 1 11/1/2017 11/1/2017
-5.78 2 11/1/2016 12/1/2016
-5.16 1 2/1/2014 2/1/2014
-4.80 3 9/1/2013 11/1/2013
-4.47 1 7/1/2009 7/1/2009
-4.25 2 10/1/2011 11/1/2011
-3.40 1 7/1/2013 7/1/2013
-3.39 2 2/1/2013 3/1/2013
-3.23 1 7/1/2006 7/1/2006
-3.19 1 3/1/2010 3/1/2010
-2.50 1 1/1/2008 1/1/2008
-2.11 1 4/1/2014 4/1/2014
-1.75 1 5/1/2006 5/1/2006
-1.60 1 5/1/2010 5/1/2010
-1.36 1 2/1/2011 2/1/2011
-1.28 1 11/1/2010 11/1/2010
-1.18 1 12/1/2014 12/1/2014
-1.17 1 10/1/2006 10/1/2006
-0.93 1 10/1/2009 10/1/2009
-0.91 1 4/1/2019 4/1/2019
-0.85 1 5/1/2008 5/1/2008
-0.63 1 6/1/2012 6/1/2012
-0.55 1 9/1/2012 9/1/2012
-0.53 1 9/1/2015 9/1/2015
-0.35 1 11/1/2012 11/1/2012
-0.34 1 7/1/2014 7/1/2014
-0.16 1 12/1/2018 12/1/2018
-0.12 1 2/1/2017 2/1/2017
-0.11 1 7/1/2015 7/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods167.00165.00162.00156.00150.00144.00132.00120.00108.00
Percent Profitable69.4670.3066.0567.9574.6772.2265.9182.5092.59
Average Period Return0.481.372.574.425.507.239.5412.5115.53
Average Gain2.084.407.6410.8111.1513.7017.1415.6917.31
Average Loss-3.18-5.79-7.31-9.14-11.14-9.61-5.15-2.44-6.72
Best Period8.7818.3326.0140.1427.2732.7048.2136.2447.22
Worst Period-13.50-21.73-20.24-25.01-21.45-18.24-14.66-6.07-12.33
Standard Deviation3.306.009.0512.1611.8212.6213.7711.1213.46
Gain Standard Deviation1.563.245.467.926.577.3910.529.5712.30
Loss Standard Deviation3.314.825.967.607.186.053.631.604.30
Sharpe Ratio (1%)0.120.190.230.280.340.410.470.760.77
Average Gain / Average Loss0.650.761.051.181.001.433.336.432.58
Profit / Loss Ratio1.491.802.032.512.953.716.4430.3132.19
Downside Deviation (10%)2.684.636.679.1510.3311.2313.4013.9717.42
Downside Deviation (5%)2.554.195.707.157.306.895.242.913.53
Downside Deviation (0%)2.524.095.476.706.645.963.661.212.13
Sortino Ratio (10%)0.030.030.01-0.06-0.20-0.27-0.46-0.65-0.69
Sortino Ratio (5%)0.150.270.360.480.550.761.242.902.95
Sortino Ratio (0%)0.190.340.470.660.831.212.6010.347.28

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 8.78 3/2008
IASG CTA Index Month 7 8.78 3/2008
Systematic Trader Index Month 8 6.35 1/2007
IASG CTA Index Sharpe 7 2.78 2005 - 2006
Systematic Trader Index Month 9 2.41 6/2006
IASG CTA Index Sharpe 3 5.39 2004 - 2005

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