Crescent Bay Capital Management, Inc.

Conservative Growth Index Program

Investment Strategy

The Conservative Growth Index Program (CGIP) is designed to show consistent positive annual returns while minimizing risk. It achieves this by selling weekly S&P 500 futures put options with less than 1 delta exposure, aiming to exit positions before expiration at a predetermined profit target. The strategy depends on the index's price movement; profitability relies on the index being above the put option's strike price upon expiration. To manage risk, CBCM may buy back options before expiration if stop loss levels are exceeded. The program only engages in high liquidity markets, focusing on S&P 500 e-mini futures option contracts.

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 DateMay 2017
Minimum Investment10,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone9162052762
E-mail[email protected]
Websitewww.crescentbaycapital.com

Statistics

Total Return Cumulative 33.11%
Sharpe Ratio 0.50
Sortino Ratio 0.52
Winning Months (%) 83.72%
Correlation vs. S&P 500 TR 0.50

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.24 0.66 0.88 1.12 1.23 1.14 5.38
2023 1.15 1.32 -4.03 1.23 0.87 1.84 1.37 1.23 0.12 0.01 1.34 1.01 7.58
2022 -5.89 0.66 2.23 -3.64 2.29 -4.94 1.58 0.28 -0.75 3.76 1.19 0.44 -3.26
2021 -0.84 2.08 2.03 0.27 1.40 0.54 1.21 1.25 0.50 1.27 -5.22 2.71 7.19
2020 -1.09 -8.03 -6.70 -0.07 1.18 1.20 1.00 0.76 1.50 -2.10 0.77 0.97 -10.64
2019 1.47 1.52 1.48 1.26 0.99 0.98 0.53 1.47 0.86 1.30 0.31 1.30 14.32
2018 1.56 -13.24 1.74 1.93 1.47 1.56 1.73 1.55 1.14 -4.83 1.77 1.81 -2.98
2017 1.67 2.08 1.20 2.51 2.24 1.43 1.06 1.25 14.25
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)

Risk/Return Comparison

Drawdown

Instruments

Data not available
No data filled

Return Statistics

Last Month 1.14%
Year To Date 5.38%
3 Month ROR 3.53%
12 Months ROR 10.84%
36 Month ROR 11.35%
Total Return Cumulative 33.11%
Total Return Annualized 4.07%
Best Month 3.76%
Winning Months (%) 83.72%
Gain Deviation 0.64

Risk Statistics

Standard Deviation Annualized 8.90%
Max Drawdown (Monthly) -15.19%
Max Drawdown Length 50
Worst Month -13.24%
Losing Months (%) 16.28%
Average Losing Month -4.38%
Loss Deviation 3.40
Correlation vs S&P 500 0.50
Correlation vs DJ/CS MF 0.32

Risk/Reward Statistics

Sharpe Ratio 0.50
Sortino Ratio 0.52
Omega Ratio 0.48
Skewness -2.98
Kurtosis 10.44

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -15.19% 4 46 01/2020 02/2024
2 -13.24% 1 14 02/2018 04/2019
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 3.76%-13.24%0.37%1.19%1.14%83.72%
3 Months 6.30%-15.13%1.03%2.77%3.53%72.62%
6 Months 11.65%-13.82%1.79%3.08%5.38%71.60%
1 Year 16.57%-10.76%3.03%4.20%10.84%65.33%
2 Years 20.87%-8.87%4.53%2.66%20.87%79.37%
3 Years 16.54%-9.56%5.16%8.44%11.35%72.55%
5 Years 19.54%1.15%9.96%11.23%11.25%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.07%11.62%20.89%38.16%66.66%77.70%
% Positive83.72%72.62%71.60%65.33%79.37%72.55%
Avg. Pos. Period1.29%3.32%5.21%8.00%6.20%9.00%
Avg. Neg. Period-4.38%-5.05%-6.83%-6.33%-1.90%-4.99%
Sharpe Ratio0.500.781.001.352.552.51
Sortino Ratio0.520.911.332.2710.305.56
Standard Deviation2.57%4.54%6.23%7.77%6.16%7.13%
Downside Deviation2.24%3.49%4.16%4.16%1.46%3.06%
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Company Information

Minimum Investment10,000 USD (notional funding: 50.00%)
AUM3,118,855 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
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 0.24 0.66 0.88 1.12 1.23 1.14 5.38
2023 1.15 1.32 -4.03 1.23 0.87 1.84 1.37 1.23 0.12 0.01 1.34 1.01 7.58
2022 -5.89 0.66 2.23 -3.64 2.29 -4.94 1.58 0.28 -0.75 3.76 1.19 0.44 -3.26
2021 -0.84 2.08 2.03 0.27 1.40 0.54 1.21 1.25 0.50 1.27 -5.22 2.71 7.19
2020 -1.09 -8.03 -6.70 -0.07 1.18 1.20 1.00 0.76 1.50 -2.10 0.77 0.97 -10.64
2019 1.47 1.52 1.48 1.26 0.99 0.98 0.53 1.47 0.86 1.30 0.31 1.30 14.32
2018 1.56 -13.24 1.74 1.93 1.47 1.56 1.73 1.55 1.14 -4.83 1.77 1.81 -2.98
2017 1.67 2.08 1.20 2.51 2.24 1.43 1.06 1.25 14.25
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 Conservative Growth Index Program (CGIP) is designed to show consistent positive annual returns while minimizing risk. It achieves this by selling weekly S&P 500 futures put options with less than 1 delta exposure, aiming to exit positions before expiration at a predetermined profit target. The strategy depends on the index's price movement; profitability relies on the index being above the put option's strike price upon expiration. To manage risk, CBCM may buy back options before expiration if stop loss levels are exceeded. The program only engages in high liquidity markets, focusing on S&P 500 e-mini futures option contracts.

Return Statistics

Last Month 1.14%
Year To Date 5.38%
3 Month ROR 3.53%
12 Months ROR 10.84%
36 Month ROR 11.35%
Total Return Cumulative 33.11%
Total Return Annualized 4.07%
Best Month 3.76%
Winning Months (%) 83.72%
Gain Deviation 0.64

Risk Statistics

Standard Deviation Annualized 8.90%
Max Drawdown (Monthly) -15.19%
Max Drawdown Length 50
Worst Month -13.24%
Losing Months (%) 16.28%
Average Losing Month -4.38%
Loss Deviation 3.40
Correlation vs S&P 500 0.50
Correlation vs DJ/CS MF 0.32

Risk/Reward Statistics

Sharpe Ratio 0.50
Sortino Ratio 0.52
Omega Ratio 0.48
Skewness -2.98
Kurtosis 10.44

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 -15.19% 4 46 01/2020 02/2024
2 -13.24% 1 14 02/2018 04/2019
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 3.76%-13.24%0.37%1.19%1.14%83.72%
3 Months 6.30%-15.13%1.03%2.77%3.53%72.62%
6 Months 11.65%-13.82%1.79%3.08%5.38%71.60%
1 Year 16.57%-10.76%3.03%4.20%10.84%65.33%
2 Years 20.87%-8.87%4.53%2.66%20.87%79.37%
3 Years 16.54%-9.56%5.16%8.44%11.35%72.55%
5 Years 19.54%1.15%9.96%11.23%11.25%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.07%11.62%20.89%38.16%66.66%77.70%
% Positive83.72%72.62%71.60%65.33%79.37%72.55%
Avg. Pos. Period1.29%3.32%5.21%8.00%6.20%9.00%
Avg. Neg. Period-4.38%-5.05%-6.83%-6.33%-1.90%-4.99%
Sharpe Ratio0.500.781.001.352.552.51
Sortino Ratio0.520.911.332.2710.305.56
Standard Deviation2.57%4.54%6.23%7.77%6.16%7.13%
Downside Deviation2.24%3.49%4.16%4.16%1.46%3.06%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

Data not available

AUM

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