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Crescent Bay Capital Management, Inc.

Premium Alpha Managed Program

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 DateJan 2024
Minimum Investment100,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone916 205 2762
E-mail[email protected]
Websitewww.crescentbaycapital.com

Statistics

Total Return Cumulative 7.49%
Sharpe Ratio 2.15
Sortino Ratio 4.54
Winning Months (%) 75.00%
Correlation vs. S&P 500 TR 0.05

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 -1.77 0.15 7.49
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 0.15%
Year To Date 7.49%
3 Month ROR 0.33%
12 Months ROR -
36 Month ROR -
Total Return Cumulative 7.49%
Total Return Annualized 11.44%
Best Month 2.57%
Winning Months (%) 75.00%
Gain Deviation 0.90

Risk Statistics

Standard Deviation Annualized 5.13%
Max Drawdown (Monthly) -1.77%
Max Drawdown # of Months 1
Worst Month -1.77%
Losing Months (%) 25.00%
Average Losing Month -1.30%
Loss Deviation 0.47
Correlation vs S&P 500 0.05
Correlation vs DJ/CS MF 0.26

Risk/Reward Statistics

Sharpe Ratio 2.15
Sortino Ratio 4.54
Omega Ratio 1.12
Skewness -0.93
Kurtosis 0.48

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 0 07/2024 -
2 -0.83% 1 1 01/2024 02/2024
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 2.57%-1.77%0.92%1.42%0.15%75.00%
3 Months 6.38%0.33%3.84%4.11%0.33%100.00%
6 Months 9.26%5.86%7.78%8.22%5.86%100.00%
1 Year ------
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg11.44%56.68%145.47% - - -
% Positive75.00%100.00%100.00% - - -
Avg. Pos. Period1.66%3.84%7.78% - - -
Avg. Neg. Period-1.30% - - - - -
Sharpe Ratio2.155.7218.92 - - -
Sortino Ratio4.540.000.00 - - -
Standard Deviation1.48%2.33%1.42% - - -
Downside Deviation0.69%0.00%0.00% - - -
No data filled

Fund 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
Phone916 205 2762
E-mail[email protected]
License NumberNFA 345919
LocationSacramento, 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 -1.77 0.15 7.49
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 0.15%
Year To Date 7.49%
3 Month ROR 0.33%
12 Months ROR -
36 Month ROR -
Total Return Cumulative 7.49%
Total Return Annualized 11.44%
Best Month 2.57%
Winning Months (%) 75.00%
Gain Deviation 0.90

Risk Statistics

Standard Deviation Annualized 5.13%
Max Drawdown (Monthly) -1.77%
Max Drawdown # of Months 1
Worst Month -1.77%
Losing Months (%) 25.00%
Average Losing Month -1.30%
Loss Deviation 0.47
Correlation vs S&P 500 0.05
Correlation vs DJ/CS MF 0.26

Risk/Reward Statistics

Sharpe Ratio 2.15
Sortino Ratio 4.54
Omega Ratio 1.12
Skewness -0.93
Kurtosis 0.48

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 0 07/2024 -
2 -0.83% 1 1 01/2024 02/2024
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 2.57%-1.77%0.92%1.42%0.15%75.00%
3 Months 6.38%0.33%3.84%4.11%0.33%100.00%
6 Months 9.26%5.86%7.78%8.22%5.86%100.00%
1 Year ------
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg11.44%56.68%145.47% - - -
% Positive75.00%100.00%100.00% - - -
Avg. Pos. Period1.66%3.84%7.78% - - -
Avg. Neg. Period-1.30% - - - - -
Sharpe Ratio2.155.7218.92 - - -
Sortino Ratio4.540.000.00 - - -
Standard Deviation1.48%2.33%1.42% - - -
Downside Deviation0.69%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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No data filled
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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.