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Program Details

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Crescent Bay Capital Management, Inc. 

Premium Stock Index Program

Manager: David Bedford

Address: 1201 Puerta Del Sol, Ste. 227, San Clemente, CA, 92673, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Oct 21, 2005
AUM:$23,000
QEP:No
Incentive Fee:25%
Annual Mgt Fee:2%
Min Investment:$25,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:82.65%104.12%
Annual ROR:5.18%6.17%
YTD:11.55%12.03%
1 Year:6.94%15.68%
Alpha:
Beta:
Statistics Program S&P 500
Average Monthly Gain:2.19%3440.63%
Average Monthly Loss:-3.13%-2.60%
Winning Months:97110
Losing Months:4632
Current DD:0.000.00
Max DD:26.4652.56
Sharpe Ratio (RF 1%):0.36
Annualized Std Dev:11.72

Methodology

Discretionary:25%
Systematic:75%

Strategy

DirectionalLong / Short
Holding PeriodLong Term
---------------------------

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20173.33-0.122.571.231.780.431.070.7611.55
2016-5.370.381.311.161.061.872.241.600.811.75-0.10-5.690.61
20153.682.821.191.241.121.23-0.111.10-0.532.331.31-2.2013.86
20140.86-5.162.75-2.111.451.00-0.341.340.541.980.24-1.181.12
20130.02-3.01-0.390.11-13.502.06-3.402.04-1.81-0.64-2.421.13-18.95
20124.392.811.522.031.03-0.631.442.28-0.550.04-0.352.2017.32
20112.10-1.360.831.673.001.23-2.92-7.894.16-2.58-1.714.360.19
20100.623.64-3.190.56-1.602.063.193.010.800.25-1.281.8310.09
20092.04-0.88-7.331.581.311.21-4.472.153.00-0.933.251.742.12
2008-2.506.888.781.78-0.852.220.981.97-11.44-9.73-2.090.75-5.05
20076.35-3.22-9.18-2.736.770.60-10.10-0.104.702.505.502.802.09
20065.571.503.154.14-1.752.41-3.233.821.76-1.173.112.2523.37
20054.700.934.4310.36

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The general strategy of the program is to sell "out-of-the-money" options, both puts and calls, on the S&P stock index futures contract and collect the premiums. Trades are usually made 30-45 days before expiration, but rarely held to expiration. Short positions are covered when profit targets or stop-loss limits are triggered.

Proprietary algorithms are used to determine strike prices of options sold, resulting in a high probability for trades to achieve profit objectives. The goal is to be profitable regardless of market direction. In addition, a short-term trend identifying system is used to reduce the risk of selling into a strong market trend.

Company Info

Crescent Bay Capital Management, Inc., a California corporation, became registered with the Commodity Futures Trading Commission as a Commodity Trading Advisor ("CTA") on August 23rd, 2004. CBCM was previously registered as a Commodity Pool Operator ("CPO") from November 14th, 2006 to October 18th, 2009. CBCM has been a member of the National Futures Association since August 23rd, 2004. David Bedford (the "Principal") is the sole shareholder of CBCM. He was registered as an Associated Person and listed as a Principal of the firm on August 23rd, 2004. The business office of CBCM is located at: 1201 Puerta Del Sol, Ste. 227; San Clemente, CA 92673; telephone: (949) 276-8718; facsimile: (949) 276-8448.

Manager Info

Mr. Bedford graduated in April 1990 from Pepperdine University in Malibu, California with a Bachelor of Science degree in Sports Medicine. In May 1990, he became a Partner of Bedford Hardwood (a wood flooring sales and contracting company). In June 1991, he co-founded Sand Vac Systems (a manufacturer of dust retrieval systems for the construction industry). Mr. Bedford served as Manager of Business Operations for both Bedford Hardwood and Sand Vac Systems through April 1996.

From May 1996 - December 1997, as a Biomaterials Research Associate at University of California at San Francisco, Mr. Bedford managed projects using statistical and quantitative testing methods (a prelude to his future career in trading systems research). From January 1998 - February 2007 he was employed as a District Sales Manager by GC America, an International dental products manufacturer.

While remaining gainfully employed with GC America, Mr. Bedford began graduate coursework in quantitative analysis, statistics, and information technology at Golden Gate University in August 1998. These studies, combined with his interest in the markets, launched the pursuit of profitable trading methods and research. Mr. Bedford has been an active trader since August 1999, testing his methods and skills in the stock, futures, and options markets.

Mr. Bedford serves as President of Crescent Bay Capital Management, Inc. (CBCM) which was formed January 20th, 2003 for the purpose of trading and market research. CBCM has been registered with the National Futures Association (NFA) and the Commodity Futures Trading Commission (CFTC) as a CTA since August 23rd, 2004; and as a Commodity Pool Operator ("CPO") since November 14th, 2006.

Mr. Bedford continues to research multiple trading strategies and alternative markets in addition to constant management and refinement of CBCM's currently offered managed account programs - the Premium Stock Index Program (PSIP) and the Balanced Volatility Program (BVP).