Crystal Tower Advisors, LLC : Futures Program (Proprietary)

Closed to new investments
Year-to-Date
11.51%
Oct Performance
3.21%
Min Investment
$ 250k
Mgmt. Fee
0.50%
Perf. Fee
25.00%
Annualized Vol
8.39%
Sharpe (RFR=1%)
0.62
CAROR
5.98%
Assets
$ 8.1M
Worst DD
-11.08
S&P Correlation
-0.08

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2013
Futures Program (Proprietary) 3.21 8.03 11.51 13.78 27.40 26.25 - 45.84
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 80.68
+/- S&P 500 1.17 6.11 -9.66 1.77 -14.02 -22.73 - -34.84

Strategy Description

Summary

Crystal Tower Futures is an adaptive, short term futures program designed to produce superior risk-adjusted returns in a wide variety of market environments. The extensive portfolio of short term pattern recognition models works cooperatively to accurately predict the most probable... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
4.00
Management Fee
0.50%
Performance Fee
25.00%
Average Commission
$2.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
9000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
13.00%
Worst Peak-to-Trough
-6.13%
Sector Focus
Diversified 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

Counter-trend
38.00%
Momentum
60.00%
Seasonal/cyclical
2.00%
Strategy Pie Chart

Composition

Stock Indices
25.00%
Currency Futures
20.00%
Interest Rates
20.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

Crystal Tower Futures is an adaptive, short term futures program designed to produce superior risk-adjusted returns in a wide variety of market environments. The extensive portfolio of short term pattern recognition models works cooperatively to accurately predict the most probable path of asset re-pricing cycles. The integrated risk management framework works with participating models to optimally position the portfolio on a risk/reward basis and to keep risk within predefined limits. The program trades a diversified portfolio of liquid futures markets across multiple sectors and geographic regions and exhibits low to negative correlation to broad CTA indices, the S&P 500 and other financial benchmarks. The program’s average holding period is under 2 days and average margin usage is under 10%.

Investment Strategy

CRYSTAL TOWER FUTURES (CTF) is an adaptive, short term futures program designed to produce superior risk-adjusted returns in a wide variety of market environments. The extensive portfolio of short term pattern recognition models works cooperatively to accurately predict the most probable path of asset re-pricing cycles. The integrated risk management framework works with participating models to optimally position the portfolio on a risk/reward basis and to keep risk within predefined limits. The program trades a diversified portfolio of liquid futures markets across multiple sectors and geographic regions and exhibits low to negative correlation to broad CTA indices, the S&P 500 and other financial benchmarks. The program's average holding period is under 2 days and average margin usage is under 10%. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.

   

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
-11.08 10 5 11/1/2014 9/1/2015
-8.90 9 8 5/1/2016 2/1/2017
-6.12 2 3 3/1/2014 5/1/2014
-5.91 2 7 3/1/2018 5/1/2018
-3.54 1 2 10/1/2017 11/1/2017
-2.96 3 1 8/1/2013 11/1/2013
-2.06 1 2 12/1/2018 1/1/2019
-2.05 1 1 6/1/2019 7/1/2019
-1.76 1 1 6/1/2013 7/1/2013
-1.13 1 1 1/1/2018 2/1/2018
-0.39 1 1 8/1/2019 9/1/2019
-0.32 1 1 1/1/2014 2/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
18.92 8 10/1/2015 5/1/2016
17.37 6 6/1/2014 11/1/2014
10.18 5 6/1/2017 10/1/2017
7.59 5 2/1/2019 6/1/2019
5.08 1 8/1/2019 8/1/2019
4.75 2 11/1/2016 12/1/2016
4.18 1 3/1/2014 3/1/2014
4.04 2 12/1/2013 1/1/2014
3.97 2 12/1/2017 1/1/2018
3.82 1 3/1/2018 3/1/2018
3.21 1 10/1/2019 10/1/2019
3.18 3 6/1/2018 8/1/2018
3.15 1 12/1/2018 12/1/2018
2.98 1 10/1/2018 10/1/2018
2.89 1 8/1/2013 8/1/2013
2.30 2 3/1/2017 4/1/2017
2.11 2 2/1/2015 3/1/2015
2.09 1 9/1/2016 9/1/2016
1.99 1 7/1/2016 7/1/2016
1.77 2 5/1/2013 6/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.77 6 4/1/2015 9/1/2015
-6.12 2 4/1/2014 5/1/2014
-5.96 1 8/1/2016 8/1/2016
-5.91 2 4/1/2018 5/1/2018
-4.54 2 1/1/2017 2/1/2017
-3.96 1 6/1/2016 6/1/2016
-3.54 1 11/1/2017 11/1/2017
-3.12 1 10/1/2016 10/1/2016
-2.96 3 9/1/2013 11/1/2013
-2.41 2 12/1/2014 1/1/2015
-2.16 1 5/1/2017 5/1/2017
-2.06 1 1/1/2019 1/1/2019
-2.05 1 7/1/2019 7/1/2019
-1.76 1 7/1/2013 7/1/2013
-1.34 1 9/1/2018 9/1/2018
-1.13 1 2/1/2018 2/1/2018
-1.08 1 11/1/2018 11/1/2018
-0.39 1 9/1/2019 9/1/2019
-0.32 1 2/1/2014 2/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable61.5468.4269.8683.5891.8090.91100.00100.00
Average Period Return0.511.472.825.237.419.1713.6119.19
Average Gain2.133.605.697.188.2010.2313.6119.19
Average Loss-2.08-3.14-3.83-4.69-1.41-1.44
Best Period5.089.7217.3719.0517.8324.1127.4034.63
Worst Period-5.96-7.89-10.77-8.82-3.09-2.692.476.71
Standard Deviation2.424.135.856.094.916.335.596.98
Gain Standard Deviation1.202.774.204.484.305.615.596.98
Loss Standard Deviation1.402.472.982.121.160.88
Sharpe Ratio (1%)0.180.300.400.701.201.131.892.17
Average Gain / Average Loss1.031.151.491.535.827.09
Profit / Loss Ratio1.642.483.457.8065.1570.90
Downside Deviation (10%)1.762.833.864.293.535.155.005.99
Downside Deviation (5%)1.592.342.862.450.891.100.08
Downside Deviation (0%)1.552.232.642.070.500.50
Sortino Ratio (10%)0.060.090.090.05-0.05-0.21-0.43-0.39
Sortino Ratio (5%)0.270.520.811.736.646.51124.62
Sortino Ratio (0%)0.330.661.072.5314.7918.52

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.