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Crescent Bay Capital Management, Inc. - Conservative Growth Index Program

Principal(s): David Bedford
Strategy: Option Seller / Index Options
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Statistics & Program Information

Mar 2025 Return 2.27%	Worst Drawdown ⁽²⁾ -15.19%	Minimum Investment $10,000
YTD Return: 11.48%	Losing Streak ⁽³⁾: 0%	AUM ⁽⁵⁾: $0
Annualized CROR⁽¹⁾ 5.03%	Sharpe Ratio 4% RF ROR⁽⁴⁾: 0.11	Calmar Ratio ⁽⁶⁾: N/A
2) Annualized ACROR is based on compounding. Please see Footnotes for more information.

Trading Methodology 75% Systematic 25% Discretionary	Style Sub-Categories Option Writer Quantitative	Trading Style 100% Option Trading
Market Sector 100% Stock Indices	Holding Period 100% Short Term	Geographic Sector US Contracts: Options

Start Date May-2017	Currency US Dollar	Management Fee 2.00%
Accepting New Accounts Yes	Min Investment $10,000	Incentive Fee 0.00
NFA Member Yes	Fund Minimum $10,000	Other Fees None
NFA Number 0345919	Margin ⁽⁷⁾ 30-50%	Avg Comm ⁽⁸⁾ 15
Notional Funds Yes	Round Turns Per Million ⁽¹⁰⁾ 10,000	Max Comm ⁽⁹⁾

Starting Date: May-2017	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $0
Open to US Investors: Yes	Annualized CROR: 4.55%
Minimum Fund Investment: $10,000
Minimum Managed Account: $10,000	Current Losing Streak: 0 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 4% RF ROR 0.11
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: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	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 Conservative Growth Index Program (CGIP) is a targeted return strategy that has been engineered to focus on achieving a goal of 20% net annual return while keeping risk exposure to a minimum. The program sells weekly put options that are considered tail risk with < 1 delta exposure on the standard pit traded S&P 500 futures option contract. Statistically, < 1 delta translates to the option going into the money less than 1 time in 100 expiration periods. In addition, the strategy goal is to keep margin requirements at 30% or less of account value.

Risk Strategy

N/A

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

Proprietary Performance from May - June 2017 pro forma adjusted to account for maximum management and incentive fees. Client Performance from July 2017.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	5.03%	4.18%	2.27%										11.90%	0.00%
2024	0.24%	0.66%	0.88%	1.12%	1.23%	1.14%	0.63%	-3.46%	-1.83%	-0.21%	2.33%	-1.96%	0.62%	-5.43%
2023	1.15%	1.32%	-4.03%	1.23%	0.87%	1.84%	1.37%	1.23%	0.12%	0.01%	1.34%	1.01%	7.58%	-4.03%
2022	-5.89%	0.66%	2.23%	-3.64%	2.29%	-4.94%	1.58%	0.28%	-0.75%	3.76%	1.19%	0.44%	-3.26%	-9.26%
2021	-0.84%	2.08%	2.03%	0.27%	1.40%	0.54%	1.21%	1.25%	0.50%	1.27%	-5.22%	2.71%	7.19%	-5.22%
2020	-1.09%	-8.03%	-6.70%	-0.07%	1.18%	1.20%	1.00%	0.76%	1.50%	-2.10%	0.77%	0.97%	-10.64%	-15.19%
2019	1.47%	1.52%	1.48%	1.26%	0.99%	0.98%	0.53%	1.47%	0.86%	1.30%	0.31%	1.30%	14.32%	0.00%
2018	1.56%	-13.24%	1.74%	1.93%	1.47%	1.56%	1.73%	1.55%	1.14%	-4.83%	1.77%	1.81%	-2.98%	-13.24%
2017					1.67%	2.08%	1.20%	2.51%	2.24%	1.43%	1.06%	1.25%	14.25%	0.00%

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.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS