Crabel Capital Management, LLC
Multi-Product 1X (Class A)
Report Start Date: Mar-1998 | End Date: Oct-2025
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Current Return: +1.85%
YTD Return: -3.77%
Annualized Return: +7.59%
AUM: $ 1,439,000,000
Trading Strategy

Short-Term Systematic Trader

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.

Program Statistics
Peak-to-Valley Drawdown (2) -16.26%
    From Apr 1998 to Aug 1998
Worst Month (Sep 2001) -9.81%
Current Losing Streak -5.31%
Average Monthly Return 0.67%
Monthly Std. Deviation 3.55%
Gain Deviation (203 months) 3.4%
Loss Deviation (129 months) 1.86%
Gain to Loss Ratio 1.21
Omega Ratio (5% Threshold) 1.27
Annualized Performance
Compound ROR (1) 7.59%
Standard Deviation12.31%
Downside Deviation5.74%
Sharpe Ratio (3) 2% RF ROR 0.62
Sortino Ratio (4) 5% MAR 1.27
Calmar Ratio (5)0.18
Sterling Ratio (6) 0.08
Gain Deviation11.79%
Loss Deviation6.44%
Profit Loss Ratio1.91
Investment Information
Program Start Date Mar-1998
Percent Systematic 100%
Currency Denomination - US Dollars
Minimum Investment $100,000,000
Minimum Fund Investment $1,000,000
Management Fee 2.00%
Incentive Fee 0.00
Margin 12%
Round Turns per Million 14,300
NFA No: #0196351
4.7 Exempt - Qualified Eligible Persons Only
Performance Since March 1998 | Track Record Compiled By: N/A
JanFebMarAprMayJunJulAugSepOctNovDecROR Max DD
2025-0.65%1.66%0.50%0.12%-1.83%-4.64%0.94%-1.05%-0.57%1.85%––-3.77%-7.03%
2024-3.13%2.84%1.13%0.46%2.52%-0.29%0.52%2.64%2.16%-1.65%0.93%-0.48%7.72%-3.13%
20232.96%-2.14%0.10%-0.58%0.10%0.89%-0.64%-1.69%-0.17%-1.85%2.30%2.65%1.78%-5.87%
2022-0.55%0.07%4.78%1.52%0.00%1.53%0.09%-0.64%-1.72%2.59%-1.67%0.02%5.99%-2.35%
2021-0.24%1.95%-0.67%0.62%-0.12%-0.24%0.21%-1.28%0.12%1.06%-1.90%0.69%0.15%-2.21%
20202.08%-0.98%0.66%-0.04%-0.06%0.45%0.14%-4.01%0.02%-0.70%1.13%1.16%-0.28%-4.66%
2019-0.83%-2.44%3.46%-0.83%-1.72%3.91%0.29%3.73%-0.98%2.88%0.83%0.05%8.37%-3.25%
20188.98%-2.31%0.24%1.33%0.57%-0.39%-0.80%1.22%-0.25%1.97%-0.43%-0.75%9.34%-2.31%
2017-3.80%-2.20%0.92%-1.03%-0.07%0.98%1.28%-0.32%1.40%1.94%-1.81%0.52%-2.32%-6.09%
20162.96%3.51%0.91%1.77%0.26%2.47%0.23%-3.95%-0.97%-2.70%-1.41%1.96%4.83%-8.77%
2015-0.05%-0.23%1.56%-0.75%1.17%-3.45%1.03%-5.45%2.15%0.19%2.88%0.31%-0.94%-7.77%
20146.74%-3.49%0.79%-2.14%1.53%0.86%0.48%1.17%1.45%-0.48%1.79%0.65%9.41%-4.81%
20136.62%3.53%1.81%1.59%-3.65%-1.77%-2.89%0.46%-7.13%0.70%1.50%2.04%2.10%-14.25%
20121.98%-1.05%2.14%-0.28%1.85%0.61%3.37%-1.89%0.11%2.06%3.80%1.64%15.16%-1.89%
20111.79%0.39%-1.46%-1.31%2.40%0.75%0.25%-2.50%2.79%-0.14%-4.58%0.40%-1.43%-4.71%
2010-0.34%1.33%-0.50%1.48%1.18%-0.52%1.76%3.15%0.79%-1.08%-1.50%3.50%9.50%-2.56%
20092.74%-0.15%-0.02%1.06%2.02%0.53%-2.96%1.34%-0.66%-1.08%-1.59%-1.42%-0.34%-6.25%
20082.72%0.52%2.95%-0.93%0.56%0.64%1.54%-3.71%4.75%-3.48%-2.57%-3.51%-0.95%-9.26%
20072.91%3.04%-0.45%-1.34%-2.70%4.33%6.47%3.58%2.13%3.16%3.98%4.06%32.91%-4.44%
20062.04%2.59%2.72%0.60%2.70%0.55%0.54%-4.43%-2.58%2.65%1.73%-0.72%8.41%-6.90%
2005-0.55%1.40%0.79%3.25%1.96%-1.05%-2.97%1.72%0.61%-2.21%3.06%0.60%6.62%-3.99%
2004-0.92%2.01%-1.89%2.25%1.29%-1.38%0.54%0.23%0.16%1.73%1.35%0.81%6.25%-1.89%
2003-1.50%1.66%-4.05%1.87%1.41%2.75%-0.86%1.48%1.79%-1.30%0.21%-1.40%1.84%-4.05%
20021.25%-2.36%3.01%2.90%-0.14%7.14%9.98%1.60%1.07%-3.89%4.34%0.30%27.36%-3.89%
200111.08%-1.37%4.25%6.64%5.27%-0.02%1.62%-0.73%-9.81%-2.58%-1.80%2.02%13.84%-14.35%
20002.02%5.99%1.55%7.50%5.14%3.39%0.21%4.08%4.78%-8.44%-6.12%5.69%27.40%-14.04%
1999-1.59%-6.80%-0.70%0.59%0.51%-2.44%18.18%8.00%-1.52%2.55%-3.13%2.47%14.96%-10.17%
1998––1.97%0.22%-0.24%-1.87%-6.65%-8.37%39.36%3.36%-4.45%-1.03%16.57%-16.26%
   Monthly Return and $1,000 VAMI

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.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Crabel Capital Management, LLC
Multi-Product 1X (Class A)
Report Start Date: Mar-1998 | End Date: Oct-2025
Print to PDF
Time Window Analysis
Length Best Average Worst
1 mo 39.4% 0.7% -9.8%
3 mo 37.6% 2% -16.1%
6 mo 35.5% 4.1% -14.4%
12 mo 64.2% 8.3% -11.6%
18 mo 77% 12.8% -9.1%
24 mo 109.6% 17.2% -6.7%
36 mo 158% 25.7% -0.5%
Drawdowns and Recoveries
Start End Drawdown Recovery
May-98Sep-98-16.26%1 mo
Nov-98Jul-99-15.05%1 mo
Aug-01Jul-02-14.35%8 mo
May-13Feb-16-14.25%29 mo
Oct-00Jan-01-14.04%2 mo
Aug-16Oct-18-12.64%17 mo
Drawdown Periods Since Mar 1998
Distribution of Monthly Returns
Statistical Comparisons Crabel Capital Mgt, LLC
Multi-Product 1X (Class A)		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)7.59%7.14%8.97%
Cumulative Return656.97%573.98%977.94%
Cumulative VAMI(7)7,5706,74010,779
Best Monthly Return39.36%9.06%12.82%
Worst Monthly Return-9.81%-5.53%-16.80%
Annual Standard Deviation12.31%6.25%15.40%
Profit Loss Ratio1.912.581.60
Correlation—0.160.06
Last Month1.85%1.14%2.34%
Last 12 Months-3.34%3.46%21.46%
Last 36 Months3.76%9.73%84.63%
Growth of $1,000 VAMI Comparison

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.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Crabel Capital Management, LLC
Multi-Product 1X (Class A)
Report Start Date: Mar-1998 | End Date: Oct-2025
Print to PDF
Other Fees

N/A

An Important Note on the Start Date and End Date 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. Performance Results reported or amended subsequent to Monday December 8, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries

The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Qualified Eligible Persons

THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:

    1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
    2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC 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 CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.

Statistical Footnotes
1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between Mar-1998 and Oct-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

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 was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

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.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
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