CRG Partners : Investment Program

archived programs
Year-to-Date
N / A
Mar Performance
-0.06%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
15.83%
Sharpe (RFR=1%)
0.77
CAROR
12.73%
Assets
$ 354.9M
Worst DD
-17.24
S&P Correlation
0.03

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/1995
Investment Program -0.06 - - - - - - 389.11
S&P 500 -0.60 - - - - - - 636.43
+/- S&P 500 0.54 - - - - - - -247.32

Strategy Description

Summary

-CRG Partners is a focused Global Macro fund that trades Foreign Exchange, US Treasuries, Equity Indices and Energy. These markets provide high liquidity, low transaction costs and 24-hour access. CRG Partners is managed by an investment philosophy that is based on capital preservation,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-CRG Partners is a focused Global Macro fund that trades Foreign Exchange, US Treasuries, Equity Indices and Energy. These markets provide high liquidity, low transaction costs and 24-hour access. CRG Partners is managed by an investment philosophy that is based on capital preservation, consistent absolute returns and the capturing of maximum alpha. CRG Partners trades these markets using a combined strategy of discretionary trading, quantitative models and risk management. Chuck Gruye, Chief Investment Officer, is the primary discretionary trader and he trades based upon his 25+ years of experience using technical and fundamental analysis. Discretionary traders typically trade short-term positions around a core position. The CRG Partners research team has developed 14 proprietary quantitative models, using intraday and daily price data that trade in 9 markets. These models embody Mr. Gruye's trading philosophy and risk principles of capital preservation, absolute returns, liquidity, and strict stop losses. All of CRG Partners trading is overlaid with a dynamic risk allocation model that adjusts capital allocations according to a system based on current performance versus expected returns.

   

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
-17.24 2 8 5/1/1995 7/1/1995
-16.50 12 7 7/1/1997 7/1/1998
-14.37 6 12 6/1/2006 12/1/2006
-13.99 12 13 4/1/2004 4/1/2005
-11.40 3 2 6/1/1999 9/1/1999
-11.33 5 3 12/1/2000 5/1/2001
-10.44 2 3 1/1/2002 3/1/2002
-8.57 3 - 12/1/2007 3/1/2008
-7.30 4 2 6/1/2000 10/1/2000
-5.48 3 2 2/1/1997 5/1/1997
-4.42 1 4 7/1/2002 8/1/2002
-3.98 1 1 5/1/2003 6/1/2003
-3.41 1 1 2/1/2000 3/1/2000
-2.18 1 1 1/1/2004 2/1/2004
-1.41 1 1 6/1/1996 7/1/1996
-0.81 2 1 1/1/2003 3/1/2003
-0.55 1 1 9/1/2003 10/1/2003
-0.32 1 1 4/1/2000 5/1/2000
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Consecutive Gains

Run-up Length (Mos.) Start End
43.77 5 1/1/1995 5/1/1995
37.49 5 2/1/1996 6/1/1996
30.85 7 8/1/1996 2/1/1997
19.47 8 6/1/2001 1/1/2002
18.93 4 4/1/2002 7/1/2002
18.44 5 10/1/1999 2/1/2000
16.75 3 8/1/1998 10/1/1998
16.21 3 4/1/2006 6/1/2006
15.85 7 4/1/2007 10/1/2007
14.91 6 1/1/1999 6/1/1999
14.12 2 11/1/2000 12/1/2000
13.83 2 8/1/1995 9/1/1995
13.48 2 4/1/2003 5/1/2003
13.16 5 5/1/2005 9/1/2005
12.97 3 7/1/2003 9/1/2003
12.62 2 6/1/1997 7/1/1997
11.26 2 12/1/2002 1/1/2003
9.44 3 11/1/2003 1/1/2004
8.97 1 4/1/2000 4/1/2000
6.63 2 10/1/2004 11/1/2004
6.23 1 3/1/1998 3/1/1998
4.88 1 11/1/1995 11/1/1995
4.23 1 6/1/2000 6/1/2000
3.25 2 3/1/2004 4/1/2004
2.82 1 6/1/1998 6/1/1998
2.25 1 7/1/2004 7/1/2004
2.00 2 8/1/2000 9/1/2000
1.93 2 1/1/2006 2/1/2006
1.54 1 12/1/2007 12/1/2007
1.36 1 9/1/2002 9/1/2002
1.11 2 1/1/2007 2/1/2007
0.75 2 11/1/1997 12/1/1997
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.24 2 6/1/1995 7/1/1995
-14.37 6 7/1/2006 12/1/2006
-11.40 3 7/1/1999 9/1/1999
-11.34 2 12/1/1995 1/1/1996
-11.33 5 1/1/2001 5/1/2001
-10.44 2 2/1/2002 3/1/2002
-10.12 3 8/1/1997 10/1/1997
-8.76 2 8/1/2004 9/1/2004
-8.67 5 12/1/2004 4/1/2005
-8.57 3 1/1/2008 3/1/2008
-7.47 2 1/1/1998 2/1/1998
-6.91 1 10/1/2000 10/1/2000
-5.75 1 7/1/1998 7/1/1998
-5.48 3 3/1/1997 5/1/1997
-5.32 2 5/1/2004 6/1/2004
-4.89 3 10/1/2005 12/1/2005
-4.67 1 3/1/2006 3/1/2006
-4.42 1 8/1/2002 8/1/2002
-3.98 1 6/1/2003 6/1/2003
-3.41 1 3/1/2000 3/1/2000
-3.19 2 4/1/1998 5/1/1998
-2.37 1 7/1/2000 7/1/2000
-2.18 1 2/1/2004 2/1/2004
-2.01 2 11/1/1998 12/1/1998
-1.41 1 7/1/1996 7/1/1996
-1.00 1 3/1/2007 3/1/2007
-0.99 1 10/1/1995 10/1/1995
-0.81 2 2/1/2003 3/1/2003
-0.80 1 11/1/2007 11/1/2007
-0.55 1 10/1/2003 10/1/2003
-0.32 1 5/1/2000 5/1/2000
-0.08 2 10/1/2002 11/1/2002
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods159.00157.00154.00148.00142.00136.00124.00112.00100.00
Percent Profitable59.1263.6968.8378.3884.5195.5994.3597.32100.00
Average Period Return1.103.296.1812.7419.4626.1138.9556.8477.92
Average Gain3.837.9611.3117.7023.7827.5241.6958.4877.92
Average Loss-2.84-4.90-5.16-5.25-4.15-4.53-6.82-2.64
Best Period17.4737.2635.5567.2588.80103.78113.17124.87160.64
Worst Period-10.63-15.60-14.37-16.50-7.95-9.82-10.17-4.1628.51
Standard Deviation4.578.5210.0115.2119.7522.3222.6326.5729.81
Gain Standard Deviation3.676.947.4013.2518.4421.8020.2124.9929.81
Loss Standard Deviation2.293.183.594.401.722.943.461.46
Sharpe Ratio (1%)0.220.360.570.770.911.081.591.992.44
Average Gain / Average Loss1.351.622.193.375.746.086.1122.16
Profit / Loss Ratio1.952.854.8412.2131.30131.71102.18805.04
Downside Deviation (10%)2.544.154.725.245.014.106.064.60
Downside Deviation (5%)2.373.633.733.542.331.492.481.11
Downside Deviation (0%)2.333.513.503.161.761.111.790.47
Sortino Ratio (10%)0.270.500.791.482.373.873.837.67
Sortino Ratio (5%)0.430.841.523.327.7116.1514.5147.39
Sortino Ratio (0%)0.470.941.774.0311.0523.6221.76119.90

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.