Crescent Bay Capital Management, Inc.

Premium Alpha Managed Program

Investment Strategy

The Premium Alpha Managed Program (PAMP) strategy focuses on earning alpha by using options, option spreads, trend analysis, and hedging overlays. It emphasizes extracting value from options over time and mainly trades ES (e-mini SP) futures contract options. Positions are staggered over weeks for diversification and robustness, with older positions acting as hedges. Risk is managed through staggered position entry, hard stops, and proprietary hedge ratio software. The goal is to achieve superior risk-adjusted returns while being non-correlated to the S&P 500.

Performance (VAMI)

Monthly Returns

Fund Manager

Crescent Bay Capital Management has over 20 years of experience researching and developing investment strategies. We have managed over 500 accounts for individuals and institutions. Crescent Bay Capital Manamgment registered with the NFA as a CTA.

General Information

Inception DateJan 2024
Minimum Investment100,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone9162052762
E-mail[email protected]
Websitewww.crescentbaycapital.com

Statistics

Total Return Cumulative 9.26%
Sharpe Ratio 4.55
Sortino Ratio 15.20
Winning Months (%) 83.33%
Correlation vs. S&P 500 TR -0.09

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.83 2.39 1.15 2.57 1.70 1.98 9.26
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
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Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Chart not applicable - performance history is less than 12 months

Risk/Return Comparison

Drawdown

Instruments

Data not available
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Return Statistics

Last Month 1.98%
Year To Date 9.26%
3 Month ROR 6.38%
12 Months ROR -
36 Month ROR -
Total Return Cumulative 9.26%
Total Return Annualized 19.38%
Best Month 2.57%
Winning Months (%) 83.33%
Gain Deviation 0.57

Risk Statistics

Standard Deviation Annualized 3.94%
Max Drawdown (Monthly) -0.83%
Max Drawdown Length 2
Worst Month -0.83%
Losing Months (%) 16.67%
Average Losing Month -0.83%
Loss Deviation 0.00
Correlation vs S&P 500 -0.09
Correlation vs DJ/CS MF 0.07

Risk/Reward Statistics

Sharpe Ratio 4.55
Sortino Ratio 15.20
Omega Ratio 3.35
Skewness -2.14
Kurtosis 6.81

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -0.83% 1 1 01/2024 02/2024
2 - - - - -
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 2.57%-0.83%1.49%1.84%1.98%83.33%
3 Months 6.38%2.71%5.21%5.87%6.38%100.00%
6 Months 9.26%9.26%9.26%9.26%9.26%100.00%
1 Year ------
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg19.38%83.67%189.41% - - -
% Positive83.33%100.00%100.00% - - -
Avg. Pos. Period1.96%5.21%9.26% - - -
Avg. Neg. Period-0.83% - - - - -
Sharpe Ratio4.5512.190.00 - - -
Sortino Ratio15.200.000.00 - - -
Standard Deviation1.14%1.48%0.00% - - -
Downside Deviation0.34%0.00%0.00% - - -
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Company Information

Minimum Investment100,000 USD (notional funding: 50.00%)
AUM100,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million7000
Margin to Equity30.00%
Legal StructureManaged Account
Investment RestrictionNone

Company Information

CompanyCrescent Bay Capital Management, Inc.
PrincipalDavid Bedford
Phone9162052762
E-mail[email protected]
License NumberNFA 345919
LocationCameron Park, United States
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.83 2.39 1.15 2.57 1.70 1.98 9.26
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

The Premium Alpha Managed Program (PAMP) strategy focuses on earning alpha by using options, option spreads, trend analysis, and hedging overlays. It emphasizes extracting value from options over time and mainly trades ES (e-mini SP) futures contract options. Positions are staggered over weeks for diversification and robustness, with older positions acting as hedges. Risk is managed through staggered position entry, hard stops, and proprietary hedge ratio software. The goal is to achieve superior risk-adjusted returns while being non-correlated to the S&P 500.

Return Statistics

Last Month 1.98%
Year To Date 9.26%
3 Month ROR 6.38%
12 Months ROR -
36 Month ROR -
Total Return Cumulative 9.26%
Total Return Annualized 19.38%
Best Month 2.57%
Winning Months (%) 83.33%
Gain Deviation 0.57

Risk Statistics

Standard Deviation Annualized 3.94%
Max Drawdown (Monthly) -0.83%
Max Drawdown Length 2
Worst Month -0.83%
Losing Months (%) 16.67%
Average Losing Month -0.83%
Loss Deviation 0.00
Correlation vs S&P 500 -0.09
Correlation vs DJ/CS MF 0.07

Risk/Reward Statistics

Sharpe Ratio 4.55
Sortino Ratio 15.20
Omega Ratio 3.35
Skewness -2.14
Kurtosis 6.81

Monthly Returns

Performance (VAMI)

Fund Manager

Crescent Bay Capital Management has over 20 years of experience researching and developing investment strategies. We have managed over 500 accounts for individuals and institutions. Crescent Bay Capital Manamgment registered with the NFA as a CTA.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -0.83% 1 1 01/2024 02/2024
2 - - - - -
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 2.57%-0.83%1.49%1.84%1.98%83.33%
3 Months 6.38%2.71%5.21%5.87%6.38%100.00%
6 Months 9.26%9.26%9.26%9.26%9.26%100.00%
1 Year ------
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg19.38%83.67%189.41% - - -
% Positive83.33%100.00%100.00% - - -
Avg. Pos. Period1.96%5.21%9.26% - - -
Avg. Neg. Period-0.83% - - - - -
Sharpe Ratio4.5512.190.00 - - -
Sortino Ratio15.200.000.00 - - -
Standard Deviation1.14%1.48%0.00% - - -
Downside Deviation0.34%0.00%0.00% - - -

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Chart not applicable - performance history is less than 12 months

Instruments

Data not available

AUM

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