Incline Investment Management, LLC : Crystal Bay Ubitrend

Year-to-Date
17.01%
Sep Performance
-17.59%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
26.34%
Sharpe (RFR=1%)
0.34
CAROR
6.81%
Assets
$ 488k
Worst DD
-42.31
S&P Correlation
-0.26

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
12/2013
Crystal Bay Ubitrend -17.59 -7.87 -17.01 -18.39 -27.31 -11.97 - 46.84
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 59.41
+/- S&P 500 -19.31 -9.06 -35.74 -20.54 -63.20 -61.36 - -12.57

Strategy Description

Summary

Crystal Bay Ubitrend strategy is a systematic, quantitative trend-following strategy trading listed futures, aiming to provide high returns uncorrelated with traditional asset classes and thus to complement standard portfolio exposures to equities and fixed income.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.60
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
4100 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
30.00%
Worst Peak-to-Trough
-28.88%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
2.00%
1-3 Months
32.00%
1-30 Days
65.00%
Intraday
1.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
21.00%
Stock Indices
20.00%
Interest Rates
16.00%
Grains
11.00%
Energy
7.00%
Softs
7.00%
Industrial Metals
5.00%
Other
5.00%
Precious Metals
3.00%
Livestock
3.00%
VIX
2.00%
Composition Pie Chart

Summary

Crystal Bay Ubitrend strategy is a systematic, quantitative trend-following strategy trading listed futures, aiming to provide high returns uncorrelated with traditional asset classes and thus to complement standard portfolio exposures to equities and fixed income.

Investment Strategy

The strategy identifies medium-term trends in futures markets and takes positions to benefit from persistence of these trends. The strategy utilizes only price indicators, eschewing fundamental analysis, and avoids any discretionary overlays, relying instead on purely systematic, back-tested approach. The strategy covers a broad universe of over 100 futures contracts traded on exchanges around the world, including North America (including Canada and Mexico), Europe, Asia, and Australia.

Risk Management

Crystal Bay Ubitrend strategy uses quantitative risk management techniques originally used in equity markets to build the most broadly diversified portfolios. Portfolio construction maximizes diversification of exposures subject to limits on portfolio volatility, value at risk, and tail risk measures. Individual positions are also subject to stop-loss limits. The risk management process aims to generate positively skewed returns, with small losses and large gains, with a volatility above that of the benchmark (SG Trend index). The volatility target can be customized to meet individual clients’ preferences.

   

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
-42.31 54 - 3/1/2015 9/1/2019
-6.66 1 1 9/1/2014 10/1/2014
-6.41 1 1 1/1/2014 2/1/2014
-4.49 2 2 3/1/2014 5/1/2014
-4.37 1 1 1/1/0001 12/1/2013
-0.55 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
61.40 3 11/1/2014 1/1/2015
57.53 4 6/1/2014 9/1/2014
14.97 4 2/1/2017 5/1/2017
14.42 2 1/1/2016 2/1/2016
13.34 1 1/1/2014 1/1/2014
12.39 2 6/1/2016 7/1/2016
11.79 2 7/1/2019 8/1/2019
9.73 2 11/1/2016 12/1/2016
9.29 1 3/1/2014 3/1/2014
7.86 1 10/1/2017 10/1/2017
7.64 2 8/1/2015 9/1/2015
4.61 1 11/1/2015 11/1/2015
3.78 1 4/1/2016 4/1/2016
3.52 2 4/1/2019 5/1/2019
2.34 1 12/1/2018 12/1/2018
2.26 2 7/1/2018 8/1/2018
2.14 1 12/1/2017 12/1/2017
1.85 1 3/1/2015 3/1/2015
1.58 1 7/1/2017 7/1/2017
0.55 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.27 4 4/1/2015 7/1/2015
-17.59 1 9/1/2019 9/1/2019
-17.08 3 8/1/2016 10/1/2016
-15.76 3 1/1/2018 3/1/2018
-12.55 2 8/1/2017 9/1/2017
-10.96 1 3/1/2016 3/1/2016
-10.75 1 10/1/2015 10/1/2015
-8.46 3 9/1/2018 11/1/2018
-7.37 3 1/1/2019 3/1/2019
-6.66 1 10/1/2014 10/1/2014
-6.41 1 2/1/2014 2/1/2014
-6.06 1 6/1/2019 6/1/2019
-4.80 1 5/1/2016 5/1/2016
-4.49 2 4/1/2014 5/1/2014
-4.37 1 12/1/2013 12/1/2013
-4.19 1 6/1/2017 6/1/2017
-3.11 1 12/1/2015 12/1/2015
-1.96 2 5/1/2018 6/1/2018
-0.75 1 11/1/2017 11/1/2017
-0.55 1 2/1/2015 2/1/2015
-0.31 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable50.0047.0641.5445.7641.5144.6840.0052.17
Average Period Return0.823.046.9914.5213.0514.2520.7125.47
Average Gain6.4013.8328.7646.7451.5452.0780.7671.80
Average Loss-4.76-6.56-8.47-12.67-14.27-16.30-19.33-25.06
Best Period28.9661.40111.80146.35129.96128.47125.70132.55
Worst Period-17.59-17.08-17.22-21.53-28.33-30.44-30.04-35.61
Standard Deviation7.6015.0727.6645.8844.7446.9856.1256.50
Gain Standard Deviation6.3515.5431.9051.6346.7747.6941.3837.56
Loss Standard Deviation3.594.434.115.948.978.365.919.31
Sharpe Ratio (1%)0.100.180.230.290.260.260.310.38
Average Gain / Average Loss1.352.113.393.693.613.194.182.86
Profit / Loss Ratio1.351.872.413.112.562.582.793.13
Downside Deviation (10%)4.436.508.9313.7518.0920.7927.6232.97
Downside Deviation (5%)4.245.897.5310.9513.8214.9217.8821.06
Downside Deviation (0%)4.195.747.1810.2812.8313.5715.6218.39
Sortino Ratio (10%)0.090.280.510.690.300.190.180.12
Sortino Ratio (5%)0.170.470.861.230.840.820.991.02
Sortino Ratio (0%)0.200.530.971.411.021.051.331.39

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.