Crabel Capital Management, LLC

Crabel Advanced Trend Program *QEP*

Monthly Performance (%)

Date Range: 03/14 - 01/23
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2023 -2.59 2.21   -0.44 
2022 2.57 3.18 8.61 6.07 -0.53 4.12 -4.81 5.98 8.38 -1.97 -7.86 -0.60  23.95 
2021 -0.67 3.51 0.51 3.18 2.81 -4.42 -3.15 -0.74 -1.80 8.15 -7.99 1.52  -0.08 
2020 5.41 4.36 7.71 -0.25 -4.42 -2.21 2.40 -0.96 -2.45 -0.40 4.88 8.24  23.57 
2019 -6.81 0.36 6.22 1.21 3.60 -0.03 5.03 8.62 -4.94 -5.97 0.99 -3.69  3.28 
2018 8.86 -10.68 -0.30 0.54 -7.31 -0.23 -1.50 2.98 -1.07 -3.95 -2.15 1.28  -13.90 
2017 -3.01 4.86 -1.53 -3.06 -0.82 -2.99 3.11 1.91 -1.62 5.83 2.30 2.86  7.53 
2016 8.33 2.66 -5.85 -5.16 0.32 6.22 1.67 -4.26 -0.08 -5.44 -6.40 1.21  -7.81 
2015 15.17 -1.24 4.02 -4.91 1.21 -5.79 5.80 -0.93 3.85 -4.24 1.87 -1.01  12.76 
2014 -0.23 1.63 1.26 -3.79 4.90 8.27 8.99 13.59 8.69  50.97 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

Crabel Advanced Trend is a portfolio of systematic trading strategies designed to efficiently capture long-term trend following returns across a diverse set of global futures and foreign exchange instruments. The program aims to generate greater alpha and deliver a more competitive risk-adjusted return than the broader trend following industry. In pursuing this objective, Crabel Advanced Trend employs multiple price-based strategies engineered to identify and profit from continuations in price movement across approximately 200 markets globally. The program seeks to mitigate downside risk by dynamically sizing trades relative to market volatility, actively employing the use of stops on all trades throughout the portfolio, and effectively diversifying overall portfolio volatility across market sectors and geographic regions. Individual positions are generally held for 35-45 days, and the portfolio in aggregate targets an annualized standard deviation of 15% in the 1x (Class H) version.

Performance Statistics

Date Range: 03/14 - 01/23
  Program S&P 500 Coquest 40 
Total Return 123.74% 159.92% 48.66% 
Annualized Return 9.55% 11.31% 4.55% 
Annualized Std. Deviation 16.72% 15.24% 8.37% 
Correlation -0.18 0.84 
Sharpe Ratio (rf=2.5%) 0.42 0.58 0.24 
Worst Month -10.68% -12.35% -6.10% 
Date of Worst Month 02/2018 03/2020 02/2018 
Worst Drawdown -28.48% -23.86% -13.63% 
Date of Worst Drawdown 2/16 - 1/19 12/21 - 9/22 3/15 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 03/14 - 01/23
Year or YTD Program S&P 500 Coquest 40 
2023 -0.44 3.69 -1.11 
2022 23.95 -18.10 17.65 
2021 -0.08 28.72 6.26 
2020 23.57 18.40 0.97 
2019 3.28 31.50 7.53 
2018 -13.90 -4.38 -4.29 
2017 7.53 21.84 1.24 
2016 -7.81 11.98 -3.13 
2015 12.76 1.41 0.09 
2014 50.97 11.68 19.65 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 03/14 - 01/23
Date: 1/31/2023 Perf: $1,508.94 Date: 12/31/2022 Perf: $1,525.87 Date: 11/30/2022 Perf: $1,535.70 Date: 10/31/2022 Perf: $1,621.14 Date: 9/30/2022 Perf: $1,609.71 Date: 8/31/2022 Perf: $1,543.94 Date: 7/31/2022 Perf: $1,501.59 Date: 6/30/2022 Perf: $1,536.94 Date: 5/31/2022 Perf: $1,517.82 Date: 4/30/2022 Perf: $1,524.98 Date: 3/31/2022 Perf: $1,446.17 Date: 2/28/2022 Perf: $1,350.42 Date: 1/31/2022 Perf: $1,321.22 Date: 12/31/2021 Perf: $1,296.97 Date: 11/30/2021 Perf: $1,295.67 Date: 10/31/2021 Perf: $1,328.62 Date: 9/30/2021 Perf: $1,302.70 Date: 8/31/2021 Perf: $1,296.22 Date: 7/31/2021 Perf: $1,295.96 Date: 6/30/2021 Perf: $1,290.28 Date: 5/31/2021 Perf: $1,295.20 Date: 4/30/2021 Perf: $1,276.57 Date: 3/31/2021 Perf: $1,254.49 Date: 2/28/2021 Perf: $1,237.90 Date: 1/31/2021 Perf: $1,209.48 Date: 12/31/2020 Perf: $1,220.58 Date: 11/30/2020 Perf: $1,176.24 Date: 10/31/2020 Perf: $1,165.98 Date: 9/30/2020 Perf: $1,169.72 Date: 8/31/2020 Perf: $1,187.05 Date: 7/31/2020 Perf: $1,200.62 Date: 6/30/2020 Perf: $1,178.12 Date: 5/31/2020 Perf: $1,193.39 Date: 4/30/2020 Perf: $1,207.52 Date: 3/31/2020 Perf: $1,203.55 Date: 2/29/2020 Perf: $1,202.83 Date: 1/31/2020 Perf: $1,221.02 Date: 12/31/2019 Perf: $1,208.81 Date: 11/30/2019 Perf: $1,216.35 Date: 10/31/2019 Perf: $1,204.55 Date: 9/30/2019 Perf: $1,231.77 Date: 8/31/2019 Perf: $1,266.86 Date: 7/31/2019 Perf: $1,222.61 Date: 6/30/2019 Perf: $1,182.29 Date: 5/31/2019 Perf: $1,159.11 Date: 4/30/2019 Perf: $1,182.28 Date: 3/31/2019 Perf: $1,150.64 Date: 2/28/2019 Perf: $1,110.76 Date: 1/31/2019 Perf: $1,103.70 Date: 12/31/2018 Perf: $1,124.16 Date: 11/30/2018 Perf: $1,119.46 Date: 10/31/2018 Perf: $1,133.05 Date: 9/30/2018 Perf: $1,161.75 Date: 8/31/2018 Perf: $1,167.00 Date: 7/31/2018 Perf: $1,137.98 Date: 6/30/2018 Perf: $1,146.58 Date: 5/31/2018 Perf: $1,137.03 Date: 4/30/2018 Perf: $1,151.89 Date: 3/31/2018 Perf: $1,139.58 Date: 2/28/2018 Perf: $1,140.61 Date: 1/31/2018 Perf: $1,214.70 Date: 12/31/2017 Perf: $1,174.53 Date: 11/30/2017 Perf: $1,161.87 Date: 10/31/2017 Perf: $1,160.36 Date: 9/30/2017 Perf: $1,113.70 Date: 8/31/2017 Perf: $1,137.70 Date: 7/31/2017 Perf: $1,119.13 Date: 6/30/2017 Perf: $1,114.78 Date: 5/31/2017 Perf: $1,148.31 Date: 4/30/2017 Perf: $1,146.13 Date: 3/31/2017 Perf: $1,153.05 Date: 2/28/2017 Perf: $1,170.13 Date: 1/31/2017 Perf: $1,145.17 Date: 12/31/2016 Perf: $1,160.13 Date: 11/30/2016 Perf: $1,151.38 Date: 10/31/2016 Perf: $1,164.19 Date: 9/30/2016 Perf: $1,195.02 Date: 8/31/2016 Perf: $1,210.64 Date: 7/31/2016 Perf: $1,244.11 Date: 6/30/2016 Perf: $1,231.54 Date: 5/31/2016 Perf: $1,181.34 Date: 4/30/2016 Perf: $1,202.38 Date: 3/31/2016 Perf: $1,233.34 Date: 2/29/2016 Perf: $1,269.78 Date: 1/31/2016 Perf: $1,239.29 Date: 12/31/2015 Perf: $1,197.61 Date: 11/30/2015 Perf: $1,225.81 Date: 10/31/2015 Perf: $1,185.39 Date: 9/30/2015 Perf: $1,206.38 Date: 8/31/2015 Perf: $1,180.75 Date: 7/31/2015 Perf: $1,201.54 Date: 6/30/2015 Perf: $1,156.33 Date: 5/31/2015 Perf: $1,219.76 Date: 4/30/2015 Perf: $1,228.60 Date: 3/31/2015 Perf: $1,277.93 Date: 2/28/2015 Perf: $1,250.30 Date: 1/31/2015 Perf: $1,252.30 Date: 12/31/2014 Perf: $1,196.54 Date: 11/30/2014 Perf: $1,175.85 Date: 10/31/2014 Perf: $1,109.81 Date: 9/30/2014 Perf: $1,093.74 Date: 8/31/2014 Perf: $1,077.68 Date: 7/31/2014 Perf: $1,033.94 Date: 6/30/2014 Perf: $1,042.28 Date: 5/31/2014 Perf: $1,033.39 Date: 4/30/2014 Perf: $1,007.60 Date: 3/31/2014 Perf: $1,000.00 Date: 2/28/2023 Perf: $2,514.62 Date: 1/31/2023 Perf: $2,577.51 Date: 12/31/2022 Perf: $2,425.21 Date: 11/30/2022 Perf: $2,573.44 Date: 10/31/2022 Perf: $2,437.20 Date: 9/30/2022 Perf: $2,254.58 Date: 8/31/2022 Perf: $2,483.29 Date: 7/31/2022 Perf: $2,588.91 Date: 6/30/2022 Perf: $2,370.37 Date: 5/31/2022 Perf: $2,583.51 Date: 4/30/2022 Perf: $2,578.86 Date: 3/31/2022 Perf: $2,825.22 Date: 2/28/2022 Perf: $2,724.16 Date: 1/31/2022 Perf: $2,808.12 Date: 12/31/2021 Perf: $2,961.21 Date: 11/30/2021 Perf: $2,834.24 Date: 10/31/2021 Perf: $2,853.93 Date: 9/30/2021 Perf: $2,666.98 Date: 8/31/2021 Perf: $2,797.04 Date: 7/31/2021 Perf: $2,714.52 Date: 6/30/2021 Perf: $2,651.41 Date: 5/31/2021 Perf: $2,591.04 Date: 4/30/2021 Perf: $2,573.03 Date: 3/31/2021 Perf: $2,442.60 Date: 2/28/2021 Perf: $2,340.10 Date: 1/31/2021 Perf: $2,277.25 Date: 12/31/2020 Perf: $2,300.48 Date: 11/30/2020 Perf: $2,215.41 Date: 10/31/2020 Perf: $1,996.77 Date: 9/30/2020 Perf: $2,051.33 Date: 8/31/2020 Perf: $2,132.36 Date: 7/31/2020 Perf: $1,989.33 Date: 6/30/2020 Perf: $1,883.12 Date: 5/31/2020 Perf: $1,846.38 Date: 4/30/2020 Perf: $1,762.48 Date: 3/31/2020 Perf: $1,562.21 Date: 2/29/2020 Perf: $1,782.33 Date: 1/31/2020 Perf: $1,942.17 Date: 12/31/2019 Perf: $1,942.94 Date: 11/30/2019 Perf: $1,885.99 Date: 10/31/2019 Perf: $1,819.92 Date: 9/30/2019 Perf: $1,781.27 Date: 8/31/2019 Perf: $1,748.57 Date: 7/31/2019 Perf: $1,776.64 Date: 6/30/2019 Perf: $1,751.42 Date: 5/31/2019 Perf: $1,636.08 Date: 4/30/2019 Perf: $1,747.01 Date: 3/31/2019 Perf: $1,679.01 Date: 2/28/2019 Perf: $1,647.06 Date: 1/31/2019 Perf: $1,595.83 Date: 12/31/2018 Perf: $1,477.49 Date: 11/30/2018 Perf: $1,624.15 Date: 10/31/2018 Perf: $1,591.68 Date: 9/30/2018 Perf: $1,708.54 Date: 8/31/2018 Perf: $1,698.86 Date: 7/31/2018 Perf: $1,645.22 Date: 6/30/2018 Perf: $1,586.22 Date: 5/31/2018 Perf: $1,576.44 Date: 4/30/2018 Perf: $1,539.34 Date: 3/31/2018 Perf: $1,533.52 Date: 2/28/2018 Perf: $1,573.48 Date: 1/31/2018 Perf: $1,633.77 Date: 12/31/2017 Perf: $1,545.23 Date: 11/30/2017 Perf: $1,528.26 Date: 10/31/2017 Perf: $1,482.74 Date: 9/30/2017 Perf: $1,448.98 Date: 8/31/2017 Perf: $1,419.74 Date: 7/31/2017 Perf: $1,415.35 Date: 6/30/2017 Perf: $1,386.78 Date: 5/31/2017 Perf: $1,378.24 Date: 4/30/2017 Perf: $1,359.07 Date: 3/31/2017 Perf: $1,345.22 Date: 2/28/2017 Perf: $1,343.61 Date: 1/31/2017 Perf: $1,292.30 Date: 12/31/2016 Perf: $1,268.21 Date: 11/30/2016 Perf: $1,243.58 Date: 10/31/2016 Perf: $1,199.21 Date: 9/30/2016 Perf: $1,221.44 Date: 8/31/2016 Perf: $1,221.20 Date: 7/31/2016 Perf: $1,219.49 Date: 6/30/2016 Perf: $1,176.09 Date: 5/31/2016 Perf: $1,173.04 Date: 4/30/2016 Perf: $1,152.30 Date: 3/31/2016 Perf: $1,147.82 Date: 2/29/2016 Perf: $1,074.94 Date: 1/31/2016 Perf: $1,076.34 Date: 12/31/2015 Perf: $1,132.52 Date: 11/30/2015 Perf: $1,150.70 Date: 10/31/2015 Perf: $1,147.25 Date: 9/30/2015 Perf: $1,057.96 Date: 8/31/2015 Perf: $1,084.76 Date: 7/31/2015 Perf: $1,154.36 Date: 6/30/2015 Perf: $1,130.62 Date: 5/31/2015 Perf: $1,152.99 Date: 4/30/2015 Perf: $1,138.30 Date: 3/31/2015 Perf: $1,127.48 Date: 2/28/2015 Perf: $1,145.58 Date: 1/31/2015 Perf: $1,083.29 Date: 12/31/2014 Perf: $1,116.80 Date: 11/30/2014 Perf: $1,119.59 Date: 10/31/2014 Perf: $1,090.27 Date: 9/30/2014 Perf: $1,064.30 Date: 8/31/2014 Perf: $1,079.41 Date: 7/31/2014 Perf: $1,037.89 Date: 6/30/2014 Perf: $1,052.42 Date: 5/31/2014 Perf: $1,031.07 Date: 4/30/2014 Perf: $1,007.40 Date: 3/31/2014 Perf: $1,000.00 Date: 2/28/2023 Perf: $2,286.81 Date: 1/31/2023 Perf: $2,237.37 Date: 12/31/2022 Perf: $2,296.86 Date: 11/30/2022 Perf: $2,310.72 Date: 10/31/2022 Perf: $2,507.84 Date: 9/30/2022 Perf: $2,558.23 Date: 8/31/2022 Perf: $2,360.43 Date: 7/31/2022 Perf: $2,227.24 Date: 6/30/2022 Perf: $2,339.78 Date: 5/31/2022 Perf: $2,247.20 Date: 4/30/2022 Perf: $2,259.17 Date: 3/31/2022 Perf: $2,129.89 Date: 2/28/2022 Perf: $1,961.04 Date: 1/31/2022 Perf: $1,900.60 Date: 12/31/2021 Perf: $1,852.98 Date: 11/30/2021 Perf: $1,825.24 Date: 10/31/2021 Perf: $1,983.74 Date: 9/30/2021 Perf: $1,834.25 Date: 8/31/2021 Perf: $1,867.87 Date: 7/31/2021 Perf: $1,881.79 Date: 6/30/2021 Perf: $1,943.00 Date: 5/31/2021 Perf: $2,032.85 Date: 4/30/2021 Perf: $1,977.29 Date: 3/31/2021 Perf: $1,916.35 Date: 2/28/2021 Perf: $1,906.63 Date: 1/31/2021 Perf: $1,841.97 Date: 12/31/2020 Perf: $1,854.40 Date: 11/30/2020 Perf: $1,713.23 Date: 10/31/2020 Perf: $1,633.51 Date: 9/30/2020 Perf: $1,640.07 Date: 8/31/2020 Perf: $1,681.26 Date: 7/31/2020 Perf: $1,697.56 Date: 6/30/2020 Perf: $1,657.77 Date: 5/31/2020 Perf: $1,695.24 Date: 4/30/2020 Perf: $1,773.63 Date: 3/31/2020 Perf: $1,778.08 Date: 2/29/2020 Perf: $1,650.80 Date: 1/31/2020 Perf: $1,581.83 Date: 12/31/2019 Perf: $1,500.65 Date: 11/30/2019 Perf: $1,558.14 Date: 10/31/2019 Perf: $1,542.87 Date: 9/30/2019 Perf: $1,640.83 Date: 8/31/2019 Perf: $1,726.10 Date: 7/31/2019 Perf: $1,589.11 Date: 6/30/2019 Perf: $1,513.01 Date: 5/31/2019 Perf: $1,513.46 Date: 4/30/2019 Perf: $1,460.87 Date: 3/31/2019 Perf: $1,443.41 Date: 2/28/2019 Perf: $1,358.88 Date: 1/31/2019 Perf: $1,354.01 Date: 12/31/2018 Perf: $1,452.96 Date: 11/30/2018 Perf: $1,434.59 Date: 10/31/2018 Perf: $1,466.11 Date: 9/30/2018 Perf: $1,526.41 Date: 8/31/2018 Perf: $1,542.92 Date: 7/31/2018 Perf: $1,498.27 Date: 6/30/2018 Perf: $1,521.08 Date: 5/31/2018 Perf: $1,524.59 Date: 4/30/2018 Perf: $1,644.83 Date: 3/31/2018 Perf: $1,635.99 Date: 2/28/2018 Perf: $1,640.92 Date: 1/31/2018 Perf: $1,837.12 Date: 12/31/2017 Perf: $1,687.60 Date: 11/30/2017 Perf: $1,640.68 Date: 10/31/2017 Perf: $1,603.79 Date: 9/30/2017 Perf: $1,515.44 Date: 8/31/2017 Perf: $1,540.39 Date: 7/31/2017 Perf: $1,511.52 Date: 6/30/2017 Perf: $1,465.93 Date: 5/31/2017 Perf: $1,511.12 Date: 4/30/2017 Perf: $1,523.61 Date: 3/31/2017 Perf: $1,571.70 Date: 2/28/2017 Perf: $1,596.12 Date: 1/31/2017 Perf: $1,522.15 Date: 12/31/2016 Perf: $1,569.39 Date: 11/30/2016 Perf: $1,550.62 Date: 10/31/2016 Perf: $1,656.65 Date: 9/30/2016 Perf: $1,751.96 Date: 8/31/2016 Perf: $1,753.36 Date: 7/31/2016 Perf: $1,831.37 Date: 6/30/2016 Perf: $1,801.29 Date: 5/31/2016 Perf: $1,695.81 Date: 4/30/2016 Perf: $1,690.40 Date: 3/31/2016 Perf: $1,782.37 Date: 2/29/2016 Perf: $1,893.12 Date: 1/31/2016 Perf: $1,844.07 Date: 12/31/2015 Perf: $1,702.27 Date: 11/30/2015 Perf: $1,719.64 Date: 10/31/2015 Perf: $1,688.07 Date: 9/30/2015 Perf: $1,762.82 Date: 8/31/2015 Perf: $1,697.46 Date: 7/31/2015 Perf: $1,713.40 Date: 6/30/2015 Perf: $1,619.47 Date: 5/31/2015 Perf: $1,719.00 Date: 4/30/2015 Perf: $1,698.45 Date: 3/31/2015 Perf: $1,786.15 Date: 2/28/2015 Perf: $1,717.12 Date: 1/31/2015 Perf: $1,738.68 Date: 12/31/2014 Perf: $1,509.66 Date: 11/30/2014 Perf: $1,388.96 Date: 10/31/2014 Perf: $1,222.79 Date: 9/30/2014 Perf: $1,121.92 Date: 8/31/2014 Perf: $1,036.23 Date: 7/31/2014 Perf: $987.83 Date: 6/30/2014 Perf: $1,026.74 Date: 5/31/2014 Perf: $1,013.96 Date: 4/30/2014 Perf: $997.70 Date: 3/31/2014 Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 03/14 - 01/23
Date: 2/28/2023 Return: 2.21 % Date: 1/31/2023 Return: -2.59 % Date: 12/31/2022 Return: -0.60 % Date: 11/30/2022 Return: -7.86 % Date: 10/31/2022 Return: -1.97 % Date: 9/30/2022 Return: 8.38 % Date: 8/31/2022 Return: 5.98 % Date: 7/31/2022 Return: -4.81 % Date: 6/30/2022 Return: 4.12 % Date: 5/31/2022 Return: -0.53 % Date: 4/30/2022 Return: 6.07 % Date: 3/31/2022 Return: 8.61 % Date: 2/28/2022 Return: 3.18 % Date: 1/31/2022 Return: 2.57 % Date: 12/31/2021 Return: 1.52 % Date: 11/30/2021 Return: -7.99 % Date: 10/31/2021 Return: 8.15 % Date: 9/30/2021 Return: -1.80 % Date: 8/31/2021 Return: -0.74 % Date: 7/31/2021 Return: -3.15 % Date: 6/30/2021 Return: -4.42 % Date: 5/31/2021 Return: 2.81 % Date: 4/30/2021 Return: 3.18 % Date: 3/31/2021 Return: 0.51 % Date: 2/28/2021 Return: 3.51 % Date: 1/31/2021 Return: -0.67 % Date: 12/31/2020 Return: 8.24 % Date: 11/30/2020 Return: 4.88 % Date: 10/31/2020 Return: -0.40 % Date: 9/30/2020 Return: -2.45 % Date: 8/31/2020 Return: -0.96 % Date: 7/31/2020 Return: 2.40 % Date: 6/30/2020 Return: -2.21 % Date: 5/31/2020 Return: -4.42 % Date: 4/30/2020 Return: -0.25 % Date: 3/31/2020 Return: 7.71 % Date: 2/29/2020 Return: 4.36 % Date: 1/31/2020 Return: 5.41 % Date: 12/31/2019 Return: -3.69 % Date: 11/30/2019 Return: 0.99 % Date: 10/31/2019 Return: -5.97 % Date: 9/30/2019 Return: -4.94 % Date: 8/31/2019 Return: 8.62 % Date: 7/31/2019 Return: 5.03 % Date: 6/30/2019 Return: -0.03 % Date: 5/31/2019 Return: 3.60 % Date: 4/30/2019 Return: 1.21 % Date: 3/31/2019 Return: 6.22 % Date: 2/28/2019 Return: 0.36 % Date: 1/31/2019 Return: -6.81 % Date: 12/31/2018 Return: 1.28 % Date: 11/30/2018 Return: -2.15 % Date: 10/31/2018 Return: -3.95 % Date: 9/30/2018 Return: -1.07 % Date: 8/31/2018 Return: 2.98 % Date: 7/31/2018 Return: -1.50 % Date: 6/30/2018 Return: -0.23 % Date: 5/31/2018 Return: -7.31 % Date: 4/30/2018 Return: 0.54 % Date: 3/31/2018 Return: -0.30 % Date: 2/28/2018 Return: -10.68 % Date: 1/31/2018 Return: 8.86 % Date: 12/31/2017 Return: 2.86 % Date: 11/30/2017 Return: 2.30 % Date: 10/31/2017 Return: 5.83 % Date: 9/30/2017 Return: -1.62 % Date: 8/31/2017 Return: 1.91 % Date: 7/31/2017 Return: 3.11 % Date: 6/30/2017 Return: -2.99 % Date: 5/31/2017 Return: -0.82 % Date: 4/30/2017 Return: -3.06 % Date: 3/31/2017 Return: -1.53 % Date: 2/28/2017 Return: 4.86 % Date: 1/31/2017 Return: -3.01 % Date: 12/31/2016 Return: 1.21 % Date: 11/30/2016 Return: -6.40 % Date: 10/31/2016 Return: -5.44 % Date: 9/30/2016 Return: -0.08 % Date: 8/31/2016 Return: -4.26 % Date: 7/31/2016 Return: 1.67 % Date: 6/30/2016 Return: 6.22 % Date: 5/31/2016 Return: 0.32 % Date: 4/30/2016 Return: -5.16 % Date: 3/31/2016 Return: -5.85 % Date: 2/29/2016 Return: 2.66 % Date: 1/31/2016 Return: 8.33 % Date: 12/31/2015 Return: -1.01 % Date: 11/30/2015 Return: 1.87 % Date: 10/31/2015 Return: -4.24 % Date: 9/30/2015 Return: 3.85 % Date: 8/31/2015 Return: -0.93 % Date: 7/31/2015 Return: 5.80 % Date: 6/30/2015 Return: -5.79 % Date: 5/31/2015 Return: 1.21 % Date: 4/30/2015 Return: -4.91 % Date: 3/31/2015 Return: 4.02 % Date: 2/28/2015 Return: -1.24 % Date: 1/31/2015 Return: 15.17 % Date: 12/31/2014 Return: 8.69 % Date: 11/30/2014 Return: 13.59 % Date: 10/31/2014 Return: 8.99 % Date: 9/30/2014 Return: 8.27 % Date: 8/31/2014 Return: 4.90 % Date: 7/31/2014 Return: -3.79 % Date: 6/30/2014 Return: 1.26 % Date: 5/31/2014 Return: 1.63 % Date: 4/30/2014 Return: -0.23 % Date: 3/31/2014 Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 03/14 - 01/23
Return: -8.00 % Count: 2 Return: -7.00 % Count: 2 Return: -11.00 % Count: 1 Return: -2.00 % Count: 8 Return: -3.00 % Count: 5 Return: 3.00 % Count: 8 Return: 6.00 % Count: 6 Return: -6.00 % Count: 4 Return: -5.00 % Count: 5 Return: 4.00 % Count: 6 Return: -1.00 % Count: 10 Return: 15.00 % Count: 1 Return: 14.00 % Count: 1 Return: 9.00 % Count: 5 Return: 8.00 % Count: 6 Return: 5.00 % Count: 5 Return: -4.00 % Count: 7 Return: 1.00 % Count: 8 Return: 2.00 % Count: 8 Return: 0.00 % Count: 10

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 03/14 - 01/23
Date: 2/28/2023 Drawdown: -10.61 % Date: 1/31/2023 Drawdown: -12.54 % Date: 12/31/2022 Drawdown: -10.22 % Date: 11/30/2022 Drawdown: -9.68 % Date: 10/31/2022 Drawdown: -1.97 % Date: 9/30/2022 Drawdown: 0.00 % Date: 8/31/2022 Drawdown: 0.00 % Date: 7/31/2022 Drawdown: -4.81 % Date: 6/30/2022 Drawdown: 0.00 % Date: 5/31/2022 Drawdown: -0.53 % Date: 4/30/2022 Drawdown: 0.00 % Date: 3/31/2022 Drawdown: 0.00 % Date: 2/28/2022 Drawdown: -3.53 % Date: 1/31/2022 Drawdown: -6.51 % Date: 12/31/2021 Drawdown: -8.85 % Date: 11/30/2021 Drawdown: -10.21 % Date: 10/31/2021 Drawdown: -2.42 % Date: 9/30/2021 Drawdown: -9.77 % Date: 8/31/2021 Drawdown: -8.12 % Date: 7/31/2021 Drawdown: -7.43 % Date: 6/30/2021 Drawdown: -4.42 % Date: 5/31/2021 Drawdown: 0.00 % Date: 4/30/2021 Drawdown: 0.00 % Date: 3/31/2021 Drawdown: 0.00 % Date: 2/28/2021 Drawdown: 0.00 % Date: 1/31/2021 Drawdown: -2.70 % Date: 12/31/2020 Drawdown: -2.05 % Date: 11/30/2020 Drawdown: -9.50 % Date: 10/31/2020 Drawdown: -13.71 % Date: 9/30/2020 Drawdown: -13.37 % Date: 8/31/2020 Drawdown: -11.19 % Date: 7/31/2020 Drawdown: -10.33 % Date: 6/30/2020 Drawdown: -12.43 % Date: 5/31/2020 Drawdown: -10.45 % Date: 4/30/2020 Drawdown: -6.31 % Date: 3/31/2020 Drawdown: -6.08 % Date: 2/29/2020 Drawdown: -12.80 % Date: 1/31/2020 Drawdown: -16.44 % Date: 12/31/2019 Drawdown: -20.73 % Date: 11/30/2019 Drawdown: -17.69 % Date: 10/31/2019 Drawdown: -18.50 % Date: 9/30/2019 Drawdown: -13.33 % Date: 8/31/2019 Drawdown: -8.82 % Date: 7/31/2019 Drawdown: -16.06 % Date: 6/30/2019 Drawdown: -20.08 % Date: 5/31/2019 Drawdown: -20.05 % Date: 4/30/2019 Drawdown: -22.83 % Date: 3/31/2019 Drawdown: -23.76 % Date: 2/28/2019 Drawdown: -28.22 % Date: 1/31/2019 Drawdown: -28.48 % Date: 12/31/2018 Drawdown: -23.25 % Date: 11/30/2018 Drawdown: -24.22 % Date: 10/31/2018 Drawdown: -22.56 % Date: 9/30/2018 Drawdown: -19.37 % Date: 8/31/2018 Drawdown: -18.50 % Date: 7/31/2018 Drawdown: -20.86 % Date: 6/30/2018 Drawdown: -19.65 % Date: 5/31/2018 Drawdown: -19.47 % Date: 4/30/2018 Drawdown: -13.12 % Date: 3/31/2018 Drawdown: -13.58 % Date: 2/28/2018 Drawdown: -13.32 % Date: 1/31/2018 Drawdown: -2.96 % Date: 12/31/2017 Drawdown: -10.86 % Date: 11/30/2017 Drawdown: -13.33 % Date: 10/31/2017 Drawdown: -15.28 % Date: 9/30/2017 Drawdown: -19.95 % Date: 8/31/2017 Drawdown: -18.63 % Date: 7/31/2017 Drawdown: -20.16 % Date: 6/30/2017 Drawdown: -22.57 % Date: 5/31/2017 Drawdown: -20.18 % Date: 4/30/2017 Drawdown: -19.52 % Date: 3/31/2017 Drawdown: -16.98 % Date: 2/28/2017 Drawdown: -15.69 % Date: 1/31/2017 Drawdown: -19.60 % Date: 12/31/2016 Drawdown: -17.10 % Date: 11/30/2016 Drawdown: -18.09 % Date: 10/31/2016 Drawdown: -12.49 % Date: 9/30/2016 Drawdown: -7.46 % Date: 8/31/2016 Drawdown: -7.38 % Date: 7/31/2016 Drawdown: -3.26 % Date: 6/30/2016 Drawdown: -4.85 % Date: 5/31/2016 Drawdown: -10.42 % Date: 4/30/2016 Drawdown: -10.71 % Date: 3/31/2016 Drawdown: -5.85 % Date: 2/29/2016 Drawdown: 0.00 % Date: 1/31/2016 Drawdown: 0.00 % Date: 12/31/2015 Drawdown: -4.70 % Date: 11/30/2015 Drawdown: -3.72 % Date: 10/31/2015 Drawdown: -5.49 % Date: 9/30/2015 Drawdown: -1.31 % Date: 8/31/2015 Drawdown: -4.97 % Date: 7/31/2015 Drawdown: -4.07 % Date: 6/30/2015 Drawdown: -9.33 % Date: 5/31/2015 Drawdown: -3.76 % Date: 4/30/2015 Drawdown: -4.91 % Date: 3/31/2015 Drawdown: 0.00 % Date: 2/28/2015 Drawdown: -1.24 % Date: 1/31/2015 Drawdown: 0.00 % Date: 12/31/2014 Drawdown: 0.00 % Date: 11/30/2014 Drawdown: 0.00 % Date: 10/31/2014 Drawdown: 0.00 % Date: 9/30/2014 Drawdown: 0.00 % Date: 8/31/2014 Drawdown: 0.00 % Date: 7/31/2014 Drawdown: -3.79 % Date: 6/30/2014 Drawdown: 0.00 % Date: 5/31/2014 Drawdown: 0.00 % Date: 4/30/2014 Drawdown: -0.23 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Crabel Capital Management, LLC
Address: 1999 Avenue of the Stars, Suite 2550
City: Los Angeles
State: CA
Zip: 90067
Country: USA

Key People

Name:  Toby Crabel
Position:  Principal
Biography: 

Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Trend Following Yes 
 Systematic Yes 
 Diversified Yes 
 Instruments Traded
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $10,000,000 
 Margin / Equity Ratio: 24% 
 Managed Account Availability: Open 
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There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill, and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.




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