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Crabel Capital Management, LLC

Multi-Product program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-3.80%-2.20%0.92%-1.03%        -6.03%
20162.96%3.51%0.91%1.77%0.26%2.47%0.23%-3.95%-0.97%-2.70%-1.41%1.96%4.85%
2015-0.05%-0.22%1.56%-0.75%1.17%-3.45%1.03%-5.45%2.15%0.19%2.88%0.31%-0.93%
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%
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%
20121.98%-1.05%2.14%-0.28%1.85%0.62%3.37%-1.89%0.11%2.06%3.80%1.63%15.14%
20111.80%0.39%-1.46%-1.31%2.40%0.75%0.25%-2.50%2.79%-0.14%-4.58%0.40%-1.45%
2010-0.34%1.33%-0.50%1.48%1.18%-0.51%1.76%3.15%0.79%-1.08%-1.50%3.50%9.51%
20092.74%-0.15%-0.02%1.06%2.02%0.53%-2.96%1.34%-0.66%-1.08%-1.59%-1.42%-0.33%
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%
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%
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%
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%
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%6.26%
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%
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%
200111.08%-1.37%4.25%6.64%5.27%-0.02%1.63%-0.73%-9.81%-2.58%-1.80%2.02%13.84%
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%
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%
1998  1.97%0.22%-0.24%-1.87%-6.65%-8.37%39.36%3.36%-4.45%-1.03%16.57%

Performance statistics — Mar 1998 to Apr 2017

Cumulative total return 450.43%
Annualized compound return 9.31%
Annualized standard deviation 14.14%
Monthly correlation to S&P 500 TRI 0.05
Annualized sharpe ratio (0%) 0.56
Monthly maximum loss (Sep 2001) -9.81%
Maximum drawdown (May 1998 - Aug 1998) -16.27%

Annual performance (%) — Mar 1998 to Apr 2017

Year or YTD Crabel Capital Management S&P 500 TRIBTOP50 Index
2017-6.037.16-2.34
20164.8511.96-4.44
2015-0.931.38-0.92
20149.4113.6912.33
20132.1032.390.74
201215.1416.00-1.83
2011-1.452.11-4.25
20109.5115.066.38
2009-0.3326.46-4.77
2008-0.95-37.0013.58
200732.915.497.57
20068.4115.795.61
20056.624.912.76
20046.2610.880.86
20031.8428.6815.55
200227.36-22.1013.68
200113.84-11.893.83
200027.40-9.106.60
199914.9621.041.64
199816.57--

Performance comparison: Growth of $10,000 invested since inception — Mar 1998 to Apr 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — May 2007 to Apr 2017

Distribution of monthly returns — Mar 1998 to Apr 2017

Underwater curve — Mar 1998 to Apr 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Crabel Capital Management, LLC is a Wisconsin, U.S.A. limited liability company formed in 1997 by William Harrison (Toby) Crabel. CCM is a global alternative investment firm specializing in futures and foreign currency trading and currently has over $1 billion in assets under management. Pioneers of short-term, systematic trading, the firm has evolved over the last two decades to offer broadly diversified, unique products that are valuable complements to sophisticated portfolio design. CCM invests on behalf of qualified institutions, funds of funds, family offices and high net worth individuals. CCM’s primary investment objective is to achieve competitive risk-adjusted returns, while maintaining a low correlation to all other investment strategies. The Trading Advisor has been registered as a commodity trading advisor with the CFTC under the CEA since March 9, 1987 and as a commodity pool operator with the CFTC under the CEA since January 7, 1999, and has been a member of the NFA since March 9, 1987.

Investment goal

Seeks to achieve a low correlation with other strategies while seeking risk-adjusted returns.

Markets traded

Trades across multiple liquid global futures, currency and individual equity markets.

Strategy

The Crabel Multi-Product Program consists of a highly diversified portfolio of uncorrelated and predominantly short-term, systematic strategies traded across multiple liquid, global futures and currency markets. The majority of the price-driven strategies in the portfolio can be classified as short-term momentum or mean-reversion trades and a small portion of the portfolio is allocated to longer holding period strategies.

Key personnel

Toby Crabel, President & CEO — Prior to founding Crabel Capital in 1992, Toby Crabel was employed at Niederhoffer Investments as a researcher and trader.  In 1989, he published the book Day Trading with Short Term Price Patterns and Opening Range Breakouts, which remains a classic text of short-term futures trading.  Toby also published an advisory newsletter entitled The Active Trader. The subscription based letter explained Toby’s observations of price behavior that he gathered while working for Chicago-based RB&H Financial Services, a brokerage firm on the Chicago Mercantile Exchange.

Toby’s early philosophy was that strategies should capture enduring and explainable market participant behavior, which he found particularly evident in short-term market patterns in the futures and foreign currency markets. Crabel Capital's unique edge continues through the use of scientific, evidence-based research to capture patterns in market behavior.  As CEO of Crabel Capital, Toby spends his time leading the research effort, guiding the management team, and mentoring the talented researchers employed with the firm.

 

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656