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Subject:
Crescent Bay Capital Management, Inc. - Premium Alpha Managed Program
Crescent Bay Capital Management, Inc.
Premium Alpha Managed Program
Overview
Charts
Stats & Ratios
Show All
Investment Strategy
The Premium Alpha Managed Program (PAMP) strategy aims to generate alpha using options, option spreads, trend analysis, and hedging overlays. It focuses on extracting value from options, primarily trading ES (e-mini SP) futures contract options. The program staggers positions over weeks for diversification and robustness, with older positions serving as hedges. It manages risk through staggered entries, hard stops, and proprietary hedge ratio software. PAMP seeks superior risk-adjusted returns with low correlation to the S&P 500 and incorporates buying short-expiration options during rising volatility (VIX) to reduce drawdowns and preserve capital.
Performance (VAMI)
Monthly Returns
Fund Manager
Crescent Bay Capital Management has over 20 years of expertise in researching and developing investment strategies. We have successfully managed more than 500 accounts for both individuals and institutions. We are registered with the NFA & CFTC as a Commodity Trading Advisor (CTA).
Fund Information
Inception Date
Jan 2024
Minimum Investment
100,000 USD
Management Fee
2.00%
Performance Fee
20.00%
Highwater Mark
Yes
Phone
916 205 2762
E-mail
[email protected]
Website
www.crescentbaycapital.com
Statistics
Total Return Cumulative
8.22%
Sharpe Ratio
1.87
Sortino Ratio
3.90
Winning Months (%)
70.00%
Correlation vs. S&P 500 TR
0.19
Monthly Performance
Export Data
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
-1.77
0.15
1.77
-1.07
8.22
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.
No data filled
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
No data filled
Return Statistics
Last Month
-
Year To Date
8.22%
3 Month ROR
0.83%
12 Months ROR
-
36 Month ROR
-
Total Return Cumulative
8.22%
Total Return Annualized
9.94%
Best Month
2.57%
Winning Months (%)
70.00%
Gain Deviation
0.82
Risk Statistics
Standard Deviation Annualized
5.15%
Max Drawdown (Monthly)
-1.77%
Max Drawdown # of Months
3
Worst Month
-1.77%
Losing Months (%)
30.00%
Average Losing Month
-1.22%
Loss Deviation
0.40
Correlation vs S&P 500
0.19
Correlation vs DJ/CS MF
0.41
Risk/Reward Statistics
Sharpe Ratio
1.87
Sortino Ratio
3.90
Omega Ratio
0.95
Skewness
-0.65
Kurtosis
-0.63
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-1.77%
-
1
-
2
-
07/2024
-
09/2024
-
2
-1.07%
-
1
-
0
-
10/2024
-
-
-
3
-0.83%
-
1
-
1
-
01/2024
-
02/2024
-
4
-
-
-
-
-
-
-
-
-
-
5
-
-
-
-
-
-
-
-
-
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
2.57%
-1.77%
0.80%
1.42%
-1.07%
70.00%
3 Months
6.38%
0.12%
3.00%
2.29%
0.83%
100.00%
6 Months
9.26%
2.73%
6.51%
6.51%
2.73%
100.00%
1 Year
-
-
-
-
-
-
2 Years
-
-
-
-
-
-
3 Years
-
-
-
-
-
-
5 Years
-
-
-
-
-
-
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
9.94%
42.04%
112.68%
-
-
-
% Positive
70.00%
100.00%
100.00%
-
-
-
Avg. Pos. Period
1.67%
3.00%
6.51%
-
-
-
Avg. Neg. Period
-1.22%
-
-
-
-
-
Sharpe Ratio
1.87
4.17
10.04
-
-
-
Sortino Ratio
3.90
0.00
0.00
-
-
-
Standard Deviation
1.49%
2.49%
2.25%
-
-
-
Downside Deviation
0.70%
0.00%
0.00%
-
-
-
No data filled
Fund Information
Minimum Investment
100,000 USD (notional funding: 50.00%)
AUM
100,000 USD
Management Fee
2.00%
Performance Fee
20.00%
Highwater Mark
Yes
RT per Million
7000
Margin to Equity
30.00%
Legal Structure
Managed Account
Investment Restriction
None
Company Information
Company
Crescent Bay Capital Management, Inc.
Principal
David Bedford
Phone
916 205 2762
E-mail
[email protected]
License Number
NFA 345919
Location
Sacramento, United States
Performance Compiled by
-
Monthly Performance
Export Data
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
-1.77
0.15
1.77
-1.07
8.22
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 aims to generate alpha using options, option spreads, trend analysis, and hedging overlays. It focuses on extracting value from options, primarily trading ES (e-mini SP) futures contract options. The program staggers positions over weeks for diversification and robustness, with older positions serving as hedges. It manages risk through staggered entries, hard stops, and proprietary hedge ratio software. PAMP seeks superior risk-adjusted returns with low correlation to the S&P 500 and incorporates buying short-expiration options during rising volatility (VIX) to reduce drawdowns and preserve capital.
Return Statistics
Last Month
-
Year To Date
8.22%
3 Month ROR
0.83%
12 Months ROR
-
36 Month ROR
-
Total Return Cumulative
8.22%
Total Return Annualized
9.94%
Best Month
2.57%
Winning Months (%)
70.00%
Gain Deviation
0.82
Risk Statistics
Standard Deviation Annualized
5.15%
Max Drawdown (Monthly)
-1.77%
Max Drawdown # of Months
3
Worst Month
-1.77%
Losing Months (%)
30.00%
Average Losing Month
-1.22%
Loss Deviation
0.40
Correlation vs S&P 500
0.19
Correlation vs DJ/CS MF
0.41
Risk/Reward Statistics
Sharpe Ratio
1.87
Sortino Ratio
3.90
Omega Ratio
0.95
Skewness
-0.65
Kurtosis
-0.63
Monthly Returns
Performance (VAMI)
Fund Manager
Crescent Bay Capital Management has over 20 years of expertise in researching and developing investment strategies. We have successfully managed more than 500 accounts for both individuals and institutions. We are registered with the NFA & CFTC as a Commodity Trading Advisor (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
-1.77%
-
1
-
2
-
07/2024
-
09/2024
-
2
-1.07%
-
1
-
0
-
10/2024
-
-
-
3
-0.83%
-
1
-
1
-
01/2024
-
02/2024
-
4
-
-
-
-
-
-
-
-
-
-
5
-
-
-
-
-
-
-
-
-
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
2.57%
-1.77%
0.80%
1.42%
-1.07%
70.00%
3 Months
6.38%
0.12%
3.00%
2.29%
0.83%
100.00%
6 Months
9.26%
2.73%
6.51%
6.51%
2.73%
100.00%
1 Year
-
-
-
-
-
-
2 Years
-
-
-
-
-
-
3 Years
-
-
-
-
-
-
5 Years
-
-
-
-
-
-
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
9.94%
42.04%
112.68%
-
-
-
% Positive
70.00%
100.00%
100.00%
-
-
-
Avg. Pos. Period
1.67%
3.00%
6.51%
-
-
-
Avg. Neg. Period
-1.22%
-
-
-
-
-
Sharpe Ratio
1.87
4.17
10.04
-
-
-
Sortino Ratio
3.90
0.00
0.00
-
-
-
Standard Deviation
1.49%
2.49%
2.25%
-
-
-
Downside Deviation
0.70%
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
For the latest performance, please scan the image above with a QR Reader.
No data filled