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Subject:
Crescent Bay Capital Management, Inc. - Fixed Premium Managed Program
Crescent Bay Capital Management, Inc.
Fixed Premium Managed Program
Overview
Charts
Stats & Ratios
Show All
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.Â
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).
Â
Fund Information
Inception Date
May 2023
Minimum Investment
25,000 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
26.43%
Sharpe Ratio
2.62
Sortino Ratio
5.08
Winning Months (%)
76.47%
Correlation vs. S&P 500 TR
0.66
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
9.38
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
1.96%
Year To Date
9.38%
3 Month ROR
-1.36%
12 Months ROR
15.05%
36 Month ROR
-
Total Return Cumulative
26.43%
Total Return Annualized
18.01%
Best Month
4.10%
Winning Months (%)
76.47%
Gain Deviation
0.99
Risk Statistics
Standard Deviation Annualized
6.43%
Max Drawdown (Monthly)
-3.81%
Max Drawdown # of Months
1
Worst Month
-3.81%
Losing Months (%)
23.53%
Average Losing Month
-1.30%
Loss Deviation
1.46
Correlation vs S&P 500
0.66
Correlation vs DJ/CS MF
0.03
Risk/Reward Statistics
Sharpe Ratio
2.62
Sortino Ratio
5.08
Omega Ratio
2.09
Skewness
-1.37
Kurtosis
2.98
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
Best
Worst
Average
Median
Last
Winning %
1 Month
4.10%
-3.81%
1.41%
1.96%
1.96%
76.47%
3 Months
8.53%
-1.36%
4.03%
3.92%
-1.36%
86.67%
6 Months
11.52%
3.55%
8.48%
9.42%
3.92%
100.00%
1 Year
22.42%
12.48%
17.67%
17.92%
15.05%
100.00%
2 Years
-
-
-
-
-
-
3 Years
-
-
-
-
-
-
5 Years
-
-
-
-
-
-
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
18.01%
60.00%
164.58%
600.03%
-
-
% Positive
76.47%
86.67%
100.00%
100.00%
-
-
Avg. Pos. Period
2.24%
4.78%
8.48%
17.67%
-
-
Avg. Neg. Period
-1.30%
-0.82%
-
-
-
-
Sharpe Ratio
2.62
5.14
11.38
15.67
-
-
Sortino Ratio
5.08
38.70
0.00
0.00
-
-
Standard Deviation
1.86%
2.72%
2.58%
3.91%
-
-
Downside Deviation
0.95%
0.36%
0.00%
0.00%
-
-
No data filled
Fund Information
Minimum Investment
25,000 USD
AUM
-
Management Fee
2.00%
Performance Fee
20.00%
Highwater Mark
Yes
RT per Million
-
Margin to Equity
-
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
0.91
2.66
1.60
-0.72
2.95
3.07
-3.81
0.58
1.96
9.38
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.Â
Return Statistics
Last Month
1.96%
Year To Date
9.38%
3 Month ROR
-1.36%
12 Months ROR
15.05%
36 Month ROR
-
Total Return Cumulative
26.43%
Total Return Annualized
18.01%
Best Month
4.10%
Winning Months (%)
76.47%
Gain Deviation
0.99
Risk Statistics
Standard Deviation Annualized
6.43%
Max Drawdown (Monthly)
-3.81%
Max Drawdown # of Months
1
Worst Month
-3.81%
Losing Months (%)
23.53%
Average Losing Month
-1.30%
Loss Deviation
1.46
Correlation vs S&P 500
0.66
Correlation vs DJ/CS MF
0.03
Risk/Reward Statistics
Sharpe Ratio
2.62
Sortino Ratio
5.08
Omega Ratio
2.09
Skewness
-1.37
Kurtosis
2.98
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).
Â
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
Best
Worst
Average
Median
Last
Winning %
1 Month
4.10%
-3.81%
1.41%
1.96%
1.96%
76.47%
3 Months
8.53%
-1.36%
4.03%
3.92%
-1.36%
86.67%
6 Months
11.52%
3.55%
8.48%
9.42%
3.92%
100.00%
1 Year
22.42%
12.48%
17.67%
17.92%
15.05%
100.00%
2 Years
-
-
-
-
-
-
3 Years
-
-
-
-
-
-
5 Years
-
-
-
-
-
-
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
18.01%
60.00%
164.58%
600.03%
-
-
% Positive
76.47%
86.67%
100.00%
100.00%
-
-
Avg. Pos. Period
2.24%
4.78%
8.48%
17.67%
-
-
Avg. Neg. Period
-1.30%
-0.82%
-
-
-
-
Sharpe Ratio
2.62
5.14
11.38
15.67
-
-
Sortino Ratio
5.08
38.70
0.00
0.00
-
-
Standard Deviation
1.86%
2.72%
2.58%
3.91%
-
-
Downside Deviation
0.95%
0.36%
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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