Loading...

Report Start Date Report End Date


Trading Strategy: Short-Term Systematic Trader
4.7 Exempt - Qualified Eligible Persons Only

FOR INDUSTRY PROFESSIONALS ONLY - DO NOT DISTRIBUTE

Program Description: The Crabel Multi-Product is a highly diversified portfolio of uncorrelated and predominantly short-term systematic trading concepts designed to achieve low correlation with traditional market and strategy indices. The majority of the price-driven strategies can be classified as short-term momentum or mean-reversion trades. A small portion of the portfolio is allocated to longer holding period strategies. Most trades are designed to work symmetrically, either long or short. The portfolio is well diversified across approximately 200 markets with a broad goal of achieving balance across the four major market sectors: stock indices, fixed income, commodities and foreign exchange. Portfolio risk is controlled by employing position-level stops and predetermined time exits for all trades. Individual markets are capped and overall exposure is dynamically managed to target an 8-10% annualized standard deviation.

Investment Information

Loading chart...


Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-0.74% -5.54% 4.36% -0.71% -3.03% 0.86% 1.00% 1.03% 2.77% 2.24% 2.67% 2.51%
2020 1.20% 2.83% -4.42% -0.65% 1.97% -1.95% 2.37% -2.71% 1.39% -0.07% 0.46% 1.66%
2021 1.73% -3.02% 1.68% -8.47% 0.26% 1.37% 0.37% -0.35% -1.10% -3.03% 0.64% 1.86%
2022 -0.51% -1.01% -4.78% -0.24% 0.87% -0.21% 1.51% -0.86% -0.99% 0.61% 4.45% -0.78%
2023 0.34% -2.10% -1.24% -0.35% -0.39% -0.38% -2.13% 0.41% -0.42% 1.72% 0.73% 1.48%
2024 -2.19%  

 201920202021202220232024 YTD
ROR7.24%1.82%-8.24%-2.17%-2.39%-2.19%
Max DD-6.24%-5.44%-12.01%-6.45%-6.44%-2.19%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 1.02
Peak-to-Valley Drawdown (1) (Feb 2020 - Sep 2023) -17.54%
Worst Monthly Return (Apr 2021) -8.47%
Current Losing Streak -16.14%
Average Monthly Return -0.08%
Monthly Std. Deviation 2.30%
# Months with Positive Performance 31
# Months with Negative Performance 30
Gain to Loss Ratio 0.88
Annualized Statistics
Compound ROR (2) -1.30%
Standard Deviation 7.98%
Downside Deviation (3) 7.08%
Sharpe Ratio (4) -0.25
Sortino Ratio (5) -0.87
Calmar Ratio (6) -0.32
Sterling Ratio (7) -0.31
Profit Loss Ratio 0.91

            Current Losing Streak = -16.14%

Loading chart...
Loading chart...

Select an index or program to add as a benchmark:

Comparisons ProgramSP 500 TR
Remove
Annualized Compound ROR (2) -1.30%15.79%
Cumulative Return -6.41%110.71%
Cumulative VAMI(8) 9362107
Largest Monthly Gain 4.45%12.82%
Largest Monthly Loss -8.47%-12.35%
Profit Loss Ratio 0.911.87
Correlation —0.095
Last Month -2.19%1.68%
Last 12 Months -4.85%20.82%
Last 36 Months -15.75%36.73%
Loading chart...


An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is Mar 1998

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-01-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.