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CTA Spotlight: Crescent Bay Capital

November 15, 2019

Foremost highlighted many CTAs and their strategies over the years. Crescent Bay Capital stands out among them because we’ve known the principal for so long. David Bedford started Crescent Bay Capital in 2004 with an emphasis on option strategies. And as of Spring 2018, we’ve had the pleasure of David simultaneously being a broker on the Foremost team as well.

Crescent Bay Capital – Conservative Growth Index

The Conservative Growth Index Program began selling put options on S&P 500 futures in May 2017. All things considered, that isn’t a long time, however, the markets have seen their fair share of volatility since then. Those volatility events, particularly in 2018, are a good test of how an option seller handles risk. In our opinion, Crescent Bay does a good job handling the potentially large risk that comes with selling put options.

CGIP targets 20% annual returns while keeping risk exposure to a minimum. The program sells weekly S&P 500 futures put options 21-28 days from expiration with less than 1 delta exposure. Statistically, less than 1 delta exposure translates to the option going into the money less than 1 time in 100 expiration periods.

While you can never eliminate risk, their strategy manages risk picking strike prices many standard deviations away from the current market price. Additionally, they buy back the put options before expiration to efficiently use time decay. Finally, they have stop orders resting should the S&P fall dramatically and quickly.

The low minimum investment sets Crescent Bay apart from competitors. At a $10,000 minimum, and unit size of $5000 thereafter, this strategy is very accommodating and accessible for smaller investors. It also represents an excellent “add-on” to existing CTA portfolios.

Crescent Bay Capital – Conservative Growth Index 

  • Minimum Investment: $10,000
  • Program Inception: May 2017
  • Margin: 40-60%
  • Compound ROR: 9.23%
  • Worst Peak-to-Valley Drawdown (Feb 18): -13.24%
  • YTD: 12.51%

 

The risk of loss in futures and options trading can be substantial no matter who is managing money. There is unlimited risk of loss in selling optionsPast performance is not necessarily indicative of future results. 

Call us about implementing Crescent Bay’s strategy for your funds today!

Past performance is not necessarily indicative of future results.  View this CTA and hundreds more in our database.

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