Managed Futures Database, Resource & Tools

Program Details

PDFPermalink

Crescent Bay Capital Management, Inc. 

Conservative Growth Index Program

Manager: David Bedford

Address: 3330 Cameron Park Drive #400, Cameron Park, CA, 95682, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 1, 2017
AUM:$3,118,855
QEP:No
Incentive Fee:25%
Annual Mgt Fee:2%
Min Investment:$10,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:26.79%111.31%
Annual ROR:3.53%11.57%
YTD:0.90%6.84%
1 Year:5.91%28.36%
Alpha:0.04
Beta:0.27
Statistics Program S&P 500
Average Monthly Gain:1.30%3.70%
Average Monthly Loss:-4.38%-4.70%
Winning Months:6856
Losing Months:1426
Current DD:0.000.00
Max DD:15.1924.77
Sharpe Ratio (RF 1%):0.28
Annualized Std Dev:9.14

Methodology

Discretionary:25%
Systematic:75%

Strategy

StrategySingle Strategy
DirectionalShort
Holding PeriodShort Term
---------------------------
Option Writing:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20240.240.660.90
20231.151.32-4.031.230.871.841.371.230.120.011.341.017.58
2022-5.890.662.23-3.642.29-4.941.580.28-0.753.761.190.44-3.26
2021-0.842.082.020.291.400.551.151.250.501.27-5.222.356.77
2020-1.09-8.03-6.70-0.071.181.201.000.741.49-2.100.770.97-10.67
20191.471.521.381.260.990.980.531.470.861.300.311.3014.21
20181.56-13.241.741.931.471.561.731.551.14-4.831.771.81-2.98
20171.672.081.202.512.241.431.061.2514.25

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The Conservative Growth Index Program (CGIP) is a targeted return strategy that has been engineered to focus on achieving a goal of 20% net annual return while keeping risk exposure to a minimum. The program sells weekly put options that are considered tail risk with < 1 delta exposure on the standard pit traded S&P 500 futures option contract. Statistically, < 1 delta translates to the option going into the money less than 1 time in 100 expiration periods. In addition, the strategy goal is to keep margin requirements at 30% or less of account value.

Company Info

Crescent Bay Capital Management, Inc., a California corporation, became registered with the Commodity Futures Trading Commission as a Commodity Trading Advisor ("CTA") on August 23rd, 2004. CBCM was previously registered as a Commodity Pool Operator ("CPO") from November 14th, 2006 to October 18th, 2009. CBCM has been a member of the National Futures Association since August 23rd, 2004. David Bedford (the "Principal") is the sole shareholder of CBCM. He was registered as an Associated Person and listed as a Principal of the firm on August 23rd, 2004. The business office of CBCM is located at: 1201 Puerta Del Sol, Ste. 227; San Clemente, CA 92673; telephone: (949) 276-8718; facsimile: (949) 276-8448.

Manager Info

No data loaded