Crescent Bay Capital Management, Inc.

Fixed Premium Managed Program

Investment Strategy

Fixed Premium Managed Program (FPMP) is designed to target net annual returns that exceed the S&P 500 Benchmark while providing non-correlation. In addition, risk is minimized through the use of fixed profit targets, low multiple stops, and laddered entries. Alpha is achieved by selling far out of the money weekly S&P 500 ES (e-mini SP) futures put options. This is executed through selling premium more than 3 months until expiration. CBCM’s research has shown that option expirations more than 3 months have a better volatility buffer than shorter term expirations. The use of a predefined fixed profit target allows for an accelerated rate of return compared to the premium decay of the entire term. In addition, CBCM has determined that low multiple stops are beneficial due to the non-linear nature of options during a volatility load. Low multiple stops may decrease the win rate; however, losses are more controlled. Lastly, the laddering entry method disperses risk over multiple volatility environments providing a more robust portfolio during increased volatility. Due to laddering positions, new accounts are fully positioned after approximately 6 weeks.

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 2023
Minimum Investment25,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone9162052762
E-mail[email protected]
Websitewww.crescentbaycapital.com

Statistics

Total Return Cumulative 28.17%
Sharpe Ratio 4.39
Sortino Ratio 27.02
Winning Months (%) 78.57%
Correlation vs. S&P 500 TR 0.89

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.91 2.66 1.60 -0.72 2.95 3.07 10.88
2023 1.58 4.10 2.21 2.00 -0.32 -0.34 3.44 2.04 15.60
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 3.07%
Year To Date 10.88%
3 Month ROR 5.35%
12 Months ROR 21.21%
36 Month ROR -
Total Return Cumulative 28.17%
Total Return Annualized 23.71%
Best Month 4.10%
Winning Months (%) 78.57%
Gain Deviation 0.93

Risk Statistics

Standard Deviation Annualized 4.92%
Max Drawdown (Monthly) -0.72%
Max Drawdown Length 2
Worst Month -0.72%
Losing Months (%) 21.43%
Average Losing Month -0.46%
Loss Deviation 0.18
Correlation vs S&P 500 0.89
Correlation vs DJ/CS MF -0.19

Risk/Reward Statistics

Sharpe Ratio 4.39
Sortino Ratio 27.02
Omega Ratio 4.44
Skewness -0.47
Kurtosis -0.16

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -0.72% 1 1 04/2024 05/2024
2 -0.66% 2 1 09/2023 11/2023
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.10%-0.72%1.80%2.02%3.07%78.57%
3 Months 8.53%1.33%5.00%5.22%5.35%100.00%
6 Months 11.52%7.93%9.84%9.77%10.88%100.00%
1 Year 22.42%20.79%21.47%21.21%21.21%100.00%
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg23.71%79.23%208.24%931.92% - -
% Positive78.57%100.00%100.00%100.00% - -
Avg. Pos. Period2.41%5.00%9.84%21.47% - -
Avg. Neg. Period-0.46% - - - - -
Sharpe Ratio4.398.6631.69107.67 - -
Sortino Ratio27.020.000.000.00 - -
Standard Deviation1.42%2.00%1.08%0.69% - -
Downside Deviation0.23%0.00%0.00%0.00% - -
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Company Information

Minimum Investment25,000 USD
AUM -
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
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 0.91 2.66 1.60 -0.72 2.95 3.07 10.88
2023 1.58 4.10 2.21 2.00 -0.32 -0.34 3.44 2.04 15.60
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

Fixed Premium Managed Program (FPMP) is designed to target net annual returns that exceed the S&P 500 Benchmark while providing non-correlation. In addition, risk is minimized through the use of fixed profit targets, low multiple stops, and laddered entries. Alpha is achieved by selling far out of the money weekly S&P 500 ES (e-mini SP) futures put options. This is executed through selling premium more than 3 months until expiration. CBCM’s research has shown that option expirations more than 3 months have a better volatility buffer than shorter term expirations. The use of a predefined fixed profit target allows for an accelerated rate of return compared to the premium decay of the entire term. In addition, CBCM has determined that low multiple stops are beneficial due to the non-linear nature of options during a volatility load. Low multiple stops may decrease the win rate; however, losses are more controlled. Lastly, the laddering entry method disperses risk over multiple volatility environments providing a more robust portfolio during increased volatility. Due to laddering positions, new accounts are fully positioned after approximately 6 weeks.

Return Statistics

Last Month 3.07%
Year To Date 10.88%
3 Month ROR 5.35%
12 Months ROR 21.21%
36 Month ROR -
Total Return Cumulative 28.17%
Total Return Annualized 23.71%
Best Month 4.10%
Winning Months (%) 78.57%
Gain Deviation 0.93

Risk Statistics

Standard Deviation Annualized 4.92%
Max Drawdown (Monthly) -0.72%
Max Drawdown Length 2
Worst Month -0.72%
Losing Months (%) 21.43%
Average Losing Month -0.46%
Loss Deviation 0.18
Correlation vs S&P 500 0.89
Correlation vs DJ/CS MF -0.19

Risk/Reward Statistics

Sharpe Ratio 4.39
Sortino Ratio 27.02
Omega Ratio 4.44
Skewness -0.47
Kurtosis -0.16

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 -0.72% 1 1 04/2024 05/2024
2 -0.66% 2 1 09/2023 11/2023
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.10%-0.72%1.80%2.02%3.07%78.57%
3 Months 8.53%1.33%5.00%5.22%5.35%100.00%
6 Months 11.52%7.93%9.84%9.77%10.88%100.00%
1 Year 22.42%20.79%21.47%21.21%21.21%100.00%
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg23.71%79.23%208.24%931.92% - -
% Positive78.57%100.00%100.00%100.00% - -
Avg. Pos. Period2.41%5.00%9.84%21.47% - -
Avg. Neg. Period-0.46% - - - - -
Sharpe Ratio4.398.6631.69107.67 - -
Sortino Ratio27.020.000.000.00 - -
Standard Deviation1.42%2.00%1.08%0.69% - -
Downside Deviation0.23%0.00%0.00%0.00% - -

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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