Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
Crabel Advanced Trend is a portfolio of systematic trading strategies designed to efficiently capture long-term trend following returns predominately across a diverse set of global futures and foreign exchange instruments. The program aims to generate greater alpha and deliver a more competitive risk-adjusted return than the broader trend following industry. In pursuing this objective, Crabel Advanced Trend employs multiple price-based strategies engineered to identify and profit from continuations in price movement across approximately 250 markets globally. The program seeks to mitigate downside risk by dynamically sizing trades relative to market volatility, actively employing the use of stops on all trades throughout the portfolio, and effectively diversifying overall portfolio volatility across market sectors and geographic regions. Individual positions are generally held for 35-45 days, and the portfolio in aggregate targets an annualized standard deviation of 15%.
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Crabel Capital Management is a global alternative investment firm specializing in systematic, automated trading of worldwide futures and foreign exchange. Our Los Angeles based firm was founded by short- term trading pioneer Toby Crabel and has delivered over 30 years of uncorrelated returns for its institutional clients. The firm has developed a diverse array of trading strategies designed to systematically capture market anomalies implemented through a technologically advanced, low latency infrastructure. Global co-location facilities and proprietary execution algorithms allow the firm to efficiently trade in approximately 250 futures and foreign exchange markets.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 9.94% | 6.38% | -3.65% | 6.06% | 19.51% | -3.65% | ||||||||
| 2025 | 0.39% | -2.45% | -1.40% | -6.41% | -1.08% | -0.50% | 0.54% | 3.34% | 5.63% | 1.26% | 2.51% | 5.11% | 6.53% | -11.39% |
| 2024 | 0.80% | 5.75% | 5.88% | 0.96% | -0.66% | -3.44% | -3.40% | -7.10% | 2.05% | -6.12% | 1.15% | 0.27% | -4.69% | -17.53% |
| 2023 | -2.59% | 2.21% | -5.48% | 2.15% | 2.46% | 3.05% | -0.24% | -0.83% | 2.73% | 0.74% | -5.13% | -3.66% | -5.00% | -8.60% |
| 2022 | 2.57% | 3.18% | 8.61% | 6.07% | -0.53% | 4.12% | -4.81% | 5.99% | 8.38% | -1.97% | -7.86% | -0.60% | 23.97% | -10.22% |
| 2021 | -0.67% | 3.51% | 0.51% | 3.18% | 2.81% | -4.41% | -3.15% | -0.74% | -1.81% | 8.15% | -7.99% | 1.52% | -0.08% | -10.21% |
Annual Performance Summary
| Year | Yearly Return | Max Drawdown | Year-End AUM |
|---|---|---|---|
| 2026 | 19.51% | -3.65% | $2,216,000,000 |
| 2025 | 6.53% | -11.39% | $2,148,000,000 |
| 2024 | -4.69% | -17.53% | $1,945,000,000 |
| 2023 | -5.00% | -8.60% | $1,732,000,000 |
| 2022 | 23.97% | -10.22% | $1,902,000,000 |
| Year | Yearly Return | Max DD |
|---|---|---|
| 2026 | 19.51% | -3.65% |
| 2025 | 6.53% | -11.39% |
| 2024 | -4.69% | -17.53% |
Risk Disclosure
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.