Program Details
Crystal Bay Ubitrend
Manager: Jakub Rehor
Address: 920 Incline Way, Suite 2D, Incline Village, NV, 89451, U.S.A.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
Overview
| Program Type: | CTA |
| Inception Date: | Dec 2, 2013 |
| AUM: | $4,100,000 |
| QEP: | Yes |
| Incentive Fee: | 20% |
| Annual Mgt Fee: | 2% |
| Min Investment: | $250,000 |
| Disclosure Doc: | View |
| Performance |
Program |
S&P 500 |
| Total ROR: | 118.43% | 190.97% |
| Annual ROR: | 7.85% | 10.89% |
| YTD: | 27.00% | 10.16% |
| 1 Year: | 19.71% | 27.86% |
| Alpha: | 1.31 | |
| Beta: | -0.37 | |
| Statistics |
Program |
S&P 500 |
| Average Monthly Gain: | 7.28% | 3.27% |
| Average Monthly Loss: | -5.17% | -3.72% |
| Winning Months: | 61 | 83 |
| Losing Months: | 63 | 41 |
| Current DD: | 28.48 | 0.00 |
| Max DD: | 48.30 | 24.77 |
| Sharpe Ratio (RF 1%): | 0.24 | |
| Annualized Std Dev: | 28.33 | |
Methodology
| Discretionary: | 0% |
| Systematic: | 100% |
Strategy
| Strategy | Single Strategy |
| Directional | Long / Short |
| Holding Period | Long & Short Term |
| --------------------- | ------ |
| Momentum: | 10% |
| Quantitative: | 10% |
| Technical Analysis: | 10% |
| Trend Following: | 70% |
Monthly Returns as Percentage by Year
| Jan | Feb | Mar | Apr | May | Jun | Jul |
Aug | Sep | Oct | Nov | Dec | YTD |
|---|
| 2024 | -5.02 | 21.70 | 9.87 | | | | | | | | | | 27.00 |
| 2023 | -0.15 | -6.88 | -12.18 | 8.98 | 12.15 | 0.95 | -5.64 | -9.61 | 2.73 | -1.39 | -12.89 | 1.50 | -23.03 |
| 2022 | -0.84 | 12.57 | 12.27 | 13.21 | -4.19 | 1.24 | -16.74 | 1.08 | 19.01 | -4.93 | -19.45 | -1.65 | 3.81 |
| 2021 | -0.36 | 12.23 | -2.75 | 11.32 | -0.25 | -6.09 | 8.77 | -5.24 | -4.60 | 11.05 | -12.15 | 4.01 | 13.15 |
| 2020 | -7.70 | 1.43 | 8.89 | -1.92 | -2.62 | -2.06 | 6.44 | 6.15 | -8.20 | 6.26 | 9.96 | 12.62 | 30.15 |
| 2019 | -0.75 | -2.96 | -1.91 | 3.10 | 0.41 | -6.06 | 5.27 | 10.46 | -17.59 | -3.24 | 2.31 | 9.45 | -4.61 |
| 2018 | -3.61 | -7.48 | -6.63 | 0.55 | -0.47 | -1.54 | 0.14 | 1.23 | -3.21 | -0.71 | -2.20 | 1.51 | -20.65 |
| 2017 | -0.69 | 0.83 | -0.17 | 1.39 | 5.15 | -3.17 | 1.05 | -3.74 | -9.13 | 6.93 | -1.06 | 1.85 | -1.71 |
| 2016 | 5.29 | 8.67 | -10.96 | 3.78 | -4.80 | 11.74 | 0.58 | -8.22 | -5.58 | -7.06 | 1.23 | 6.01 | -2.23 |
| 2015 | 17.24 | -0.55 | 1.85 | -7.78 | -2.03 | -6.30 | -3.46 | 4.68 | 2.83 | -10.75 | 4.61 | -3.11 | -5.50 |
| 2014 | 13.54 | -6.59 | 9.48 | -3.02 | -1.52 | 2.77 | 9.03 | 9.02 | 28.96 | -6.66 | 15.54 | 19.15 | 124.48 |
| 2013 | | | | | | | | | | | | -5.28 | -5.28 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
Program Info
The Crystal Bay Ubitrend (CBU) tracks over 100+ global futures contracts and invests long or short when trends develop. The CBU is an absolute return strategy that pursues extreme diversification. It offers non-correlation to US equity markets without sacrificing returns.
New contracts are added to the CBU's investable universe based on market liquidity requirements and correlations to contracts already included in the portfolio. If a new futures contract does not meet the CBU's criteria it is left out of the portfolio's consideration.
On average the portfolio consists of 20-25 positions, taken long or short in markets with developed or developing trends. Unlike most trend-following programs, the CBU stays fully invested allocating all available capital to active trades.
Company Info
The strategy utilizes a proven systematic methodology to trade both equities and futures. The systematic models codify Incline Investment Management, LLC's (IIM) core trading approach while integrating our long-term thematic philosophy and view that markets cannot be predicted over the long run. The strategy provides investors with a unique opportunity to capture trading opportunities that most models do not capture. IIM's methodology incorporates systematic, opportunistic, and hedging strategies across multiple time frames. The goal of IIM's strategy is capital appreciation through the use of our proprietary blend of systematic models.
The strategy is a sysematic hybrid of managed futures and long/short equity.
Manager Info
Mr. Rehor has over 25 years of experience. He started his career at McKinsey & Co. before joining Sanford C. Bernstein & would later join Putnam Investments. From 2004 until 2013, he was a portfolio manager at Third Avenue Management co-managing the $1 billion+ Third Avenue International Value Fund (TAVIX). He graduated from Yale University with a BA in Economics, summa cum laude. He is a CFA Charterholderand holds the Certificate in Quantitative Finance from the CQF Institute in London. Mr. Rehor also speaks seven languages, Czech, English, French German, Japanese, Russian and Spanish. He has passed the series 3 FINRA Exam.
