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Crescent Bay Capital Management, Inc.

Fixed Premium Managed Program

Investment Strategy

The Fixed Premium Managed Program (FPMP) aims for returns independent of the S&P 500 Benchmark. It minimizes risk through fixed profit targets, low multiple stops, laddered entries, and long positioned short-expiration options in rising volatility (VIX) environments. The strategy involves selling far out-of-the-money weekly S&P 500 ES futures put options with premiums set over three months until expiration. This approach benefits from better volatility protection, faster returns, and controlled losses. Laddering spreads risk across various conditions and buying short-expiration options helps reduce drawdowns and preserve capital. New accounts are fully positioned in about six weeks. 

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 DateMay 2023
Minimum Investment25,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone916 205 2762
E-mail[email protected]
Websitewww.crescentbaycapital.com

Statistics

Total Return Cumulative 24.56%
Sharpe Ratio 2.25
Sortino Ratio 4.32
Winning Months (%) 72.22%
Correlation vs. S&P 500 TR 0.67

Monthly Performance

Export Data
  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 -3.81 0.58 1.96 -1.48 7.76
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.
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)

Risk/Return Comparison

Drawdown

Instruments

Data not available
No data filled

Return Statistics

Last Month -1.48%
Year To Date 7.76%
3 Month ROR 1.03%
12 Months ROR 13.74%
36 Month ROR -
Total Return Cumulative 24.56%
Total Return Annualized 15.77%
Best Month 4.10%
Winning Months (%) 72.22%
Gain Deviation 0.99

Risk Statistics

Standard Deviation Annualized 6.66%
Max Drawdown (Monthly) -3.81%
Max Drawdown # of Months 1
Worst Month -3.81%
Losing Months (%) 27.78%
Average Losing Month -1.33%
Loss Deviation 1.31
Correlation vs S&P 500 0.67
Correlation vs DJ/CS MF 0.11

Risk/Reward Statistics

Sharpe Ratio 2.25
Sortino Ratio 4.32
Omega Ratio 1.66
Skewness -1.08
Kurtosis 1.62

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -3.81% 1 0 07/2024 -
2 -0.72% 1 1 04/2024 05/2024
3 -0.66% 2 1 09/2023 11/2023
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.10%-3.81%1.25%1.78%-1.48%72.22%
3 Months 8.53%-1.36%3.84%3.88%1.03%87.50%
6 Months 11.52%3.12%8.07%9.32%3.12%100.00%
1 Year 22.42%12.48%17.11%15.05%13.74%100.00%
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg15.77%56.57%152.57%561.03% - -
% Positive72.22%87.50%100.00%100.00% - -
Avg. Pos. Period2.24%4.51%8.07%17.11% - -
Avg. Neg. Period-1.33%-0.82% - - - -
Sharpe Ratio2.254.889.7715.32 - -
Sortino Ratio4.3238.090.000.00 - -
Standard Deviation1.92%2.73%2.86%3.87% - -
Downside Deviation0.98%0.35%0.00%0.00% - -
No data filled

Fund 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
Phone916 205 2762
E-mail[email protected]
License NumberNFA 345919
LocationSacramento, United States
Performance Compiled by -

Monthly Performance

Export Data
  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 -3.81 0.58 1.96 -1.48 7.76
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

The Fixed Premium Managed Program (FPMP) aims for returns independent of the S&P 500 Benchmark. It minimizes risk through fixed profit targets, low multiple stops, laddered entries, and long positioned short-expiration options in rising volatility (VIX) environments. The strategy involves selling far out-of-the-money weekly S&P 500 ES futures put options with premiums set over three months until expiration. This approach benefits from better volatility protection, faster returns, and controlled losses. Laddering spreads risk across various conditions and buying short-expiration options helps reduce drawdowns and preserve capital. New accounts are fully positioned in about six weeks. 

Return Statistics

Last Month -1.48%
Year To Date 7.76%
3 Month ROR 1.03%
12 Months ROR 13.74%
36 Month ROR -
Total Return Cumulative 24.56%
Total Return Annualized 15.77%
Best Month 4.10%
Winning Months (%) 72.22%
Gain Deviation 0.99

Risk Statistics

Standard Deviation Annualized 6.66%
Max Drawdown (Monthly) -3.81%
Max Drawdown # of Months 1
Worst Month -3.81%
Losing Months (%) 27.78%
Average Losing Month -1.33%
Loss Deviation 1.31
Correlation vs S&P 500 0.67
Correlation vs DJ/CS MF 0.11

Risk/Reward Statistics

Sharpe Ratio 2.25
Sortino Ratio 4.32
Omega Ratio 1.66
Skewness -1.08
Kurtosis 1.62

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 -3.81% 1 0 07/2024 -
2 -0.72% 1 1 04/2024 05/2024
3 -0.66% 2 1 09/2023 11/2023
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.10%-3.81%1.25%1.78%-1.48%72.22%
3 Months 8.53%-1.36%3.84%3.88%1.03%87.50%
6 Months 11.52%3.12%8.07%9.32%3.12%100.00%
1 Year 22.42%12.48%17.11%15.05%13.74%100.00%
2 Years ------
3 Years ------
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg15.77%56.57%152.57%561.03% - -
% Positive72.22%87.50%100.00%100.00% - -
Avg. Pos. Period2.24%4.51%8.07%17.11% - -
Avg. Neg. Period-1.33%-0.82% - - - -
Sharpe Ratio2.254.889.7715.32 - -
Sortino Ratio4.3238.090.000.00 - -
Standard Deviation1.92%2.73%2.86%3.87% - -
Downside Deviation0.98%0.35%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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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.