Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Jakub Rehor
Strategy: Systematic / Trend Following / Diversified
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Investment Restrictions: 4.7 Exempt - QEPs Only++
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The strategy identifies medium-term trends in futures markets and takes positions to benefit from persistence of these trends. The strategy utilizes only price indicators, eschewing fundamental analysis, and avoids any discretionary overlays, relying instead on purely systematic, back-tested approach. The strategy covers a broad universe of over 100 futures contracts traded on exchanges around the world, including North America (including Canada and Mexico), Europe, Asia, and Australia.
Mr. Rehor has 20 years of experience in investment management. After working as a business analyst at McKinsey & Co., he started his Wall Street career in 1997 as technology sector analyst with Sanford C. Bernstein & Co. From 2000 to 2004 he worked as equity analyst at Putnam Investments on the team managing the International Capital Opportunities Fund (PNVAX). From 2004 until 2013, he was an analyst and portfolio manager at Third Avenue Management where he was a partner and co-manager of the $1 billion+ Third Avenue International Value Fund (TAVIX). Mr. Rehor is the founder of investment company Ubival. He graduated from Yale University with a BA in Economics, summa cum laude. He is a CFA Charterholder and holds the Certificate in Quantitative Finance from CQF Institute in London.
Crystal Bay Ubitrend strategy uses quantitative risk management techniques originally used in equity markets to build the most broadly diversified portfolios. Portfolio construction maximizes diversification of exposures subject to limits on portfolio volatility, value at risk, and tail risk measures. Individual positions are also subject to stop-loss limits. The risk management process aims to generate positively skewed returns, with small losses and large gains, with a volatility above that of the benchmark (SG Trend index). The volatility target can be customized to meet individual clients’ preferences.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -5.02% | 21.70% | 9.87% | 8.87% | -4.81% | -11.82% | -9.37% | 5.18% | -23.93% | |||||
| 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% | -24.73% |
| 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% | -26.83% |
| 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% | -12.15% |
| 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% | -8.2% |
| 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% | -20.26% |
| 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% | -21.83% |
| 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% | -14.41% |
| 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% | -20.37% |
| 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% | -5.5% | -21.48% |
| 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% | -6.66% |
| 2013 | -5.28% | -5.28% | -5.28% | |||||||||||
| Years | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 |
|---|---|---|---|---|---|---|
| ROR | -5.28% | 124.48% | -5.50% | -2.23% | -1.71% | -20.65% |
| Max DD | -5.28% | -6.66% | -21.48% | -20.37% | -14.41% | -21.83% |
| Years | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD |
|---|---|---|---|---|---|---|
| ROR | -4.61% | 30.15% | 13.15% | 3.81% | -23.03% | 5.18% |
| Max DD | -20.26% | -8.20% | -12.15% | -26.83% | -24.73% | -23.93% |
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.
