Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: Oct-2025
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Crabel Capital Management, LLC - Advanced Trend Program
Trading Strategy: Trend Following / Algorithmic / Diversified
| Performance Since January 2020 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.39% | -2.45% | -1.40% | -6.41% | -1.08% | -0.50% | 0.54% | 3.34% | 5.63% | 1.27% | – | – | -1.13% | -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% |
| 2020 | 5.41% | 4.36% | 7.71% | -0.25% | -4.42% | -2.21% | 2.40% | -0.96% | -2.45% | -0.40% | 4.89% | 8.24% | 23.57% | -8.14% |
Program Description: The Advanced Trend Program is designed to capture long-term classic managed futures trend following returns in an efficient manner. While pursuing a high correlation to longer term trend following, this is not a "replication" vehicle. Leveraging low latency algorithmic execution and an on-going research initiative, the program seeks to consistently improve on producing best-thinking in trend capture in liquid markets. An annualized volatility of 12% is targeted for the program. Risk manage- ment is incorporated within the portfolio and strategy designs of the program. All strategies have stop loss provisions. Risk is allocated to four sectors: stock indices, interest rates, foreign currencies and commodities with a top down sector limit of 40%. Within each sector, risk is allocated as evenly as liquidity permits to the North American, European and Asian geographic regions and likewise as equally as possible to the individual markets within those sectors/regions. The opportunity seen in one sector relative to another could weight one sector more highly than another for a portion of time, assuming equal opportunity the sectors pursue an equal risk balance.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -28.49% |
| From Feb 2016 to Jan 2019 | |
| Worst Month (Feb 2018) | -10.68% |
| Current Losing Streak | -19.63% |
| Average Monthly Return | 0.62% |
| Annualized Performance |
|
| Compound ROR (1) | 6.44% |
| Standard Deviation | 15.83% |
| Sharpe Ratio | 0.45 |
| Sterling Ratio | -0.26 |
| Calmar Ratio (3) | -0.24 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
