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Crescent Bay Capital Management, Inc. - The Cipher Program

Principal(s): David Bedford
Strategy: Intraday Options Trading / E-mini S&P
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Statistics & Program Information

Nov 2025 Return 0.58%	Worst Drawdown ⁽²⁾ -8.05%	Minimum Investment 50,000
YTD Return: 1.22%	Losing Streak ⁽³⁾: -5.14%	AUM ⁽⁵⁾: 977,312
Annualized CROR⁽¹⁾ N/A	Sharpe Ratio 4% RF ROR⁽⁴⁾: -0.25	Calmar Ratio ⁽⁶⁾: N/A
2) Annualized ACROR is based on compounding. Please see Footnotes for more information.

Trading Methodology 90% Systematic 10% Discretionary	Style Sub-Categories Discretionary Option Writer Option Spread Other Option Strategy Volatility Quantitative Trend Anticipatory Spread Algorithmic Absolute Return	Trading Style 30% Trend Following 30% Spread Trading 40% Option Trading
Market Sector 100% Stock Indices	Holding Period 100% Intraday	Geographic Sector US Contracts: Options

Start Date Feb-2025	Currency US Dollar	Management Fee 0.02
Accepting New Accounts Yes	Min Investment 50,000	Incentive Fee 0.20
NFA Member Yes	Fund Minimum 0	Other Fees None
NFA Number 0345919	Margin ⁽⁷⁾ 0%	Avg Comm ⁽⁸⁾ $1/side
Notional Funds Yes	Round Turns Per Million ⁽¹⁰⁾ 50	Max Comm ⁽⁹⁾ $2/side

Starting Date: Feb-2025	Currency: US Dollar
Open to New Investors: Yes	Current Assets: 977,312
Open to US Investors: Yes	Annualized CROR: 1.25%
Minimum Fund Investment: 0
Minimum Managed Account: 50,000	Current Losing Streak: -5.14 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 4% RF ROR -0.25
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 0.00%	Auditor: Not Listed
Incentive Fee: 0.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Correlations:

Growth of $1,000 VAMI and Monthly Returns

Trading Description, Risk Strategy & Background

Trading Description

The Cipher Managed Program is a proprietary intraday options trading strategy designed to generate consistent, positive absolute returns through a disciplined, systematic approach. By targeting short-dated options in the E-mini S&P 500 futures market, the program capitalizes on time decay and directional trend signals, all while maintaining zero overnight exposure to reduce gap risk and enhance overall risk management.

Risk Strategy

By targeting short-dated options in the E-mini S&P 500 futures market, the program capitalizes on time decay and directional trend signals, all while maintaining zero overnight exposure to reduce gap risk and enhance overall risk management.

Background

David is the Founder and Chief Investment Officer of Crescent Bay Capital Management, with over two decades of experience in managed futures and options trading. With a background in biomaterials research at UCSF and a B.S. from Pepperdine, he applies scientific rigor to systematic trading. A registered member of the NFA and CFTC since 2004, David has managed over 500 accounts for individuals and institutions and is known for his adaptable, investor-focused strategies.

Performance

Monthly Performance Since Mar 2025

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025			3.07%	-0.11%	3.35%	-4.44%	-3.78%	1.06%	0.96%	0.53%	0.58%		0.94%	-8.05%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

Footnotes

1. The Annualized Compounded ROR ("Rate of Return") is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % the time-period. 3. Sharpe Ratio uses a 4% Risk Free ROR (Rate of Return) 4. Calmar Ratio Uses last 36 months of Data 5. The hypothetical growth of $1,000

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.