Crabel Capital Management, LLC

Crabel Gemini Program *QEP*


Monthly Performance (%)

Date Range: 06/16 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 0.09 1.19 2.01 0.87 -1.30 1.57 -0.01 -2.11 -0.61 -2.34 1.29   0.54 
2019 -1.34 -1.13 4.51 0.84 -2.04 4.86 -0.03 2.95 -1.09 -0.01 1.43 -1.26  7.65 
2018 6.41 -2.20 2.37 0.01 -0.05 -1.99 -0.05 1.74 0.92 -0.64 1.58 3.12  11.48 
2017 0.66 -0.87 2.27 -0.72 0.48 -1.30 -0.95 -3.38 -0.07 2.56 -1.53 -1.09  -4.01 
2016 1.61 -0.44 -3.00 -2.36 -0.75 1.06  -3.90 

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

The Gemini Program is a fully systematic approach targeting structural market inefficiencies with an average hold duration of 10-days. The Gemini Program reflects Crabel Capital Management’s best thinking across time-frames that are deliberately in-between the firm’s flagship Multi-Product and Advanced Trend. The strategies utilized by Gemini, in many cases, have been traded live for multiple years. The Program is constantly researched while remaining steadfast in strategic thesis while Crabel’s focus on execution excellence provides a further advantage. The Gemini Program coalesces our best thinking in the “middle frequency” time-frame. Over 40 differentiated and stand-alone strategy concepts compose the Program. The Gemini Program is deliberately structured to provide low correlation to both our flagship Multi-Product and our trend offering, Advanced Trend. On-going Crabel research continually improves the offering while staying true to its core philosophy.

Performance Statistics

Date Range: 06/16 - 10/20
  Program S&P 500 Coquest 40 
Total Return 9.88% 70.22% -1.30% 
Annualized Return 2.20% 12.80% -0.30% 
Annualized Std. Deviation 6.90% 14.82% 7.24% 
Correlation 0.05 0.49 
Sharpe Ratio (rf=2.5%) -0.04 0.69 -0.39 
Worst Month -3.38% -12.35% -6.10% 
Date of Worst Month 08/2017 03/2020 02/2018 
Worst Drawdown -9.22% -19.60% -11.29% 
Date of Worst Drawdown 7/16 - 12/17 12/19 - 3/20 7/16 - 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: 06/16 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 0.54 2.77 -3.54 
2019 7.65 31.50 7.53 
2018 11.48 -4.38 -4.29 
2017 -4.01 21.84 1.24 
2016 -3.90 7.83 -5.80 

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: 06/16 - 10/20
Date: 10/31/2020
Perf: $946.76 Date: 9/30/2020
Perf: $949.80 Date: 8/31/2020
Perf: $963.87 Date: 7/31/2020
Perf: $974.89 Date: 6/30/2020
Perf: $956.62 Date: 5/31/2020
Perf: $969.02 Date: 4/30/2020
Perf: $980.49 Date: 3/31/2020
Perf: $977.27 Date: 2/29/2020
Perf: $976.68 Date: 1/31/2020
Perf: $991.46 Date: 12/31/2019
Perf: $981.54 Date: 11/30/2019
Perf: $987.67 Date: 10/31/2019
Perf: $978.08 Date: 9/30/2019
Perf: $1,000.19 Date: 8/31/2019
Perf: $1,028.68 Date: 7/31/2019
Perf: $992.74 Date: 6/30/2019
Perf: $960.01 Date: 5/31/2019
Perf: $941.18 Date: 4/30/2019
Perf: $960.00 Date: 3/31/2019
Perf: $934.30 Date: 2/28/2019
Perf: $901.93 Date: 1/31/2019
Perf: $896.19 Date: 12/31/2018
Perf: $912.80 Date: 11/30/2018
Perf: $908.99 Date: 10/31/2018
Perf: $920.03 Date: 9/30/2018
Perf: $943.33 Date: 8/31/2018
Perf: $947.59 Date: 7/31/2018
Perf: $924.03 Date: 6/30/2018
Perf: $931.01 Date: 5/31/2018
Perf: $923.25 Date: 4/30/2018
Perf: $935.32 Date: 3/31/2018
Perf: $925.33 Date: 2/28/2018
Perf: $926.16 Date: 1/31/2018
Perf: $986.33 Date: 12/31/2017
Perf: $953.71 Date: 11/30/2017
Perf: $943.43 Date: 10/31/2017
Perf: $942.20 Date: 9/30/2017
Perf: $904.31 Date: 8/31/2017
Perf: $923.80 Date: 7/31/2017
Perf: $908.72 Date: 6/30/2017
Perf: $905.19 Date: 5/31/2017
Perf: $932.41 Date: 4/30/2017
Perf: $930.65 Date: 3/31/2017
Perf: $936.26 Date: 2/28/2017
Perf: $950.14 Date: 1/31/2017
Perf: $929.86 Date: 12/31/2016
Perf: $942.02 Date: 11/30/2016
Perf: $934.91 Date: 10/31/2016
Perf: $945.31 Date: 9/30/2016
Perf: $970.34 Date: 8/31/2016
Perf: $983.03 Date: 7/31/2016
Perf: $1,010.20 Date: 6/30/2016
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,697.80 Date: 9/30/2020
Perf: $1,744.19 Date: 8/31/2020
Perf: $1,813.09 Date: 7/31/2020
Perf: $1,691.47 Date: 6/30/2020
Perf: $1,601.17 Date: 5/31/2020
Perf: $1,569.93 Date: 4/30/2020
Perf: $1,498.59 Date: 3/31/2020
Perf: $1,328.30 Date: 2/29/2020
Perf: $1,515.46 Date: 1/31/2020
Perf: $1,651.37 Date: 12/31/2019
Perf: $1,652.03 Date: 11/30/2019
Perf: $1,603.60 Date: 10/31/2019
Perf: $1,547.43 Date: 9/30/2019
Perf: $1,514.57 Date: 8/31/2019
Perf: $1,486.76 Date: 7/31/2019
Perf: $1,510.63 Date: 6/30/2019
Perf: $1,489.19 Date: 5/31/2019
Perf: $1,391.11 Date: 4/30/2019
Perf: $1,485.44 Date: 3/31/2019
Perf: $1,427.62 Date: 2/28/2019
Perf: $1,400.45 Date: 1/31/2019
Perf: $1,356.90 Date: 12/31/2018
Perf: $1,256.27 Date: 11/30/2018
Perf: $1,380.97 Date: 10/31/2018
Perf: $1,353.36 Date: 9/30/2018
Perf: $1,452.73 Date: 8/31/2018
Perf: $1,444.49 Date: 7/31/2018
Perf: $1,398.89 Date: 6/30/2018
Perf: $1,348.72 Date: 5/31/2018
Perf: $1,340.41 Date: 4/30/2018
Perf: $1,308.86 Date: 3/31/2018
Perf: $1,303.91 Date: 2/28/2018
Perf: $1,337.89 Date: 1/31/2018
Perf: $1,389.15 Date: 12/31/2017
Perf: $1,313.87 Date: 11/30/2017
Perf: $1,299.44 Date: 10/31/2017
Perf: $1,260.74 Date: 9/30/2017
Perf: $1,232.03 Date: 8/31/2017
Perf: $1,207.16 Date: 7/31/2017
Perf: $1,203.43 Date: 6/30/2017
Perf: $1,179.14 Date: 5/31/2017
Perf: $1,171.88 Date: 4/30/2017
Perf: $1,155.58 Date: 3/31/2017
Perf: $1,143.80 Date: 2/28/2017
Perf: $1,142.43 Date: 1/31/2017
Perf: $1,098.81 Date: 12/31/2016
Perf: $1,078.32 Date: 11/30/2016
Perf: $1,057.38 Date: 10/31/2016
Perf: $1,019.66 Date: 9/30/2016
Perf: $1,038.56 Date: 8/31/2016
Perf: $1,038.35 Date: 7/31/2016
Perf: $1,036.90 Date: 6/30/2016
Perf: $1,000.00 Date: 11/30/2020
Perf: $1,112.98 Date: 10/31/2020
Perf: $1,098.81 Date: 9/30/2020
Perf: $1,125.14 Date: 8/31/2020
Perf: $1,132.04 Date: 7/31/2020
Perf: $1,156.44 Date: 6/30/2020
Perf: $1,156.56 Date: 5/31/2020
Perf: $1,138.68 Date: 4/30/2020
Perf: $1,153.68 Date: 3/31/2020
Perf: $1,143.73 Date: 2/29/2020
Perf: $1,121.19 Date: 1/31/2020
Perf: $1,108.01 Date: 12/31/2019
Perf: $1,107.01 Date: 11/30/2019
Perf: $1,121.14 Date: 10/31/2019
Perf: $1,105.33 Date: 9/30/2019
Perf: $1,105.44 Date: 8/31/2019
Perf: $1,117.62 Date: 7/31/2019
Perf: $1,085.60 Date: 6/30/2019
Perf: $1,085.92 Date: 5/31/2019
Perf: $1,035.59 Date: 4/30/2019
Perf: $1,057.16 Date: 3/31/2019
Perf: $1,048.35 Date: 2/28/2019
Perf: $1,003.11 Date: 1/31/2019
Perf: $1,014.58 Date: 12/31/2018
Perf: $1,028.36 Date: 11/30/2018
Perf: $997.24 Date: 10/31/2018
Perf: $981.73 Date: 9/30/2018
Perf: $988.06 Date: 8/31/2018
Perf: $979.05 Date: 7/31/2018
Perf: $962.30 Date: 6/30/2018
Perf: $962.79 Date: 5/31/2018
Perf: $982.33 Date: 4/30/2018
Perf: $982.83 Date: 3/31/2018
Perf: $982.73 Date: 2/28/2018
Perf: $959.98 Date: 1/31/2018
Perf: $981.57 Date: 12/31/2017
Perf: $922.44 Date: 11/30/2017
Perf: $932.61 Date: 10/31/2017
Perf: $947.10 Date: 9/30/2017
Perf: $923.46 Date: 8/31/2017
Perf: $924.10 Date: 7/31/2017
Perf: $956.43 Date: 6/30/2017
Perf: $965.61 Date: 5/31/2017
Perf: $978.32 Date: 4/30/2017
Perf: $973.65 Date: 3/31/2017
Perf: $980.71 Date: 2/28/2017
Perf: $958.94 Date: 1/31/2017
Perf: $967.36 Date: 12/31/2016
Perf: $961.02 Date: 11/30/2016
Perf: $950.94 Date: 10/31/2016
Perf: $958.12 Date: 9/30/2016
Perf: $981.28 Date: 8/31/2016
Perf: $1,011.63 Date: 7/31/2016
Perf: $1,016.10 Date: 6/30/2016
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: 06/16 - 10/20
Date: 11/30/2020
Return: 1.29 % Date: 10/31/2020
Return: -2.34 % Date: 9/30/2020
Return: -0.61 % Date: 8/31/2020
Return: -2.11 % Date: 7/31/2020
Return: -0.01 % Date: 6/30/2020
Return: 1.57 % Date: 5/31/2020
Return: -1.30 % Date: 4/30/2020
Return: 0.87 % Date: 3/31/2020
Return: 2.01 % Date: 2/29/2020
Return: 1.19 % Date: 1/31/2020
Return: 0.09 % Date: 12/31/2019
Return: -1.26 % Date: 11/30/2019
Return: 1.43 % Date: 10/31/2019
Return: -0.01 % Date: 9/30/2019
Return: -1.09 % Date: 8/31/2019
Return: 2.95 % Date: 7/31/2019
Return: -0.03 % Date: 6/30/2019
Return: 4.86 % Date: 5/31/2019
Return: -2.04 % Date: 4/30/2019
Return: 0.84 % Date: 3/31/2019
Return: 4.51 % Date: 2/28/2019
Return: -1.13 % Date: 1/31/2019
Return: -1.34 % Date: 12/31/2018
Return: 3.12 % Date: 11/30/2018
Return: 1.58 % Date: 10/31/2018
Return: -0.64 % Date: 9/30/2018
Return: 0.92 % Date: 8/31/2018
Return: 1.74 % Date: 7/31/2018
Return: -0.05 % Date: 6/30/2018
Return: -1.99 % Date: 5/31/2018
Return: -0.05 % Date: 4/30/2018
Return: 0.01 % Date: 3/31/2018
Return: 2.37 % Date: 2/28/2018
Return: -2.20 % Date: 1/31/2018
Return: 6.41 % Date: 12/31/2017
Return: -1.09 % Date: 11/30/2017
Return: -1.53 % Date: 10/31/2017
Return: 2.56 % Date: 9/30/2017
Return: -0.07 % Date: 8/31/2017
Return: -3.38 % Date: 7/31/2017
Return: -0.95 % Date: 6/30/2017
Return: -1.30 % Date: 5/31/2017
Return: 0.48 % Date: 4/30/2017
Return: -0.72 % Date: 3/31/2017
Return: 2.27 % Date: 2/28/2017
Return: -0.87 % Date: 1/31/2017
Return: 0.66 % Date: 12/31/2016
Return: 1.06 % Date: 11/30/2016
Return: -0.75 % Date: 10/31/2016
Return: -2.36 % Date: 9/30/2016
Return: -3.00 % Date: 8/31/2016
Return: -0.44 % Date: 7/31/2016
Return: 1.61 % Date: 6/30/2016
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: 06/16 - 10/20
Return: 5.00 %
Count: 2 Return: 6.00 %
Count: 1 Return: 3.00 %
Count: 3 Return: 1.00 %
Count: 8 Return: -1.00 %
Count: 13 Return: -2.00 %
Count: 7 Return: -3.00 %
Count: 2 Return: 2.00 %
Count: 7 Return: 0.00 %
Count: 11

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: 06/16 - 10/20
Date: 11/30/2020
Drawdown: -3.77 % Date: 10/31/2020
Drawdown: -4.99 % Date: 9/30/2020
Drawdown: -2.72 % Date: 8/31/2020
Drawdown: -2.12 % Date: 7/31/2020
Drawdown: -0.01 % Date: 6/30/2020
Drawdown: 0.00 % Date: 5/31/2020
Drawdown: -1.30 % Date: 4/30/2020
Drawdown: 0.00 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: 0.00 % Date: 1/31/2020
Drawdown: -1.17 % Date: 12/31/2019
Drawdown: -1.26 % Date: 11/30/2019
Drawdown: 0.00 % Date: 10/31/2019
Drawdown: -1.10 % Date: 9/30/2019
Drawdown: -1.09 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: -0.03 % Date: 6/30/2019
Drawdown: 0.00 % Date: 5/31/2019
Drawdown: -2.04 % Date: 4/30/2019
Drawdown: 0.00 % Date: 3/31/2019
Drawdown: 0.00 % Date: 2/28/2019
Drawdown: -2.45 % Date: 1/31/2019
Drawdown: -1.34 % Date: 12/31/2018
Drawdown: 0.00 % Date: 11/30/2018
Drawdown: -1.86 % Date: 10/31/2018
Drawdown: -3.38 % Date: 9/30/2018
Drawdown: -2.76 % Date: 8/31/2018
Drawdown: -3.65 % Date: 7/31/2018
Drawdown: -5.29 % Date: 6/30/2018
Drawdown: -5.25 % Date: 5/31/2018
Drawdown: -3.32 % Date: 4/30/2018
Drawdown: -3.27 % Date: 3/31/2018
Drawdown: -3.28 % Date: 2/28/2018
Drawdown: -5.52 % Date: 1/31/2018
Drawdown: -3.40 % Date: 12/31/2017
Drawdown: -9.22 % Date: 11/30/2017
Drawdown: -8.22 % Date: 10/31/2017
Drawdown: -6.79 % Date: 9/30/2017
Drawdown: -9.12 % Date: 8/31/2017
Drawdown: -9.05 % Date: 7/31/2017
Drawdown: -5.87 % Date: 6/30/2017
Drawdown: -4.97 % Date: 5/31/2017
Drawdown: -3.72 % Date: 4/30/2017
Drawdown: -4.18 % Date: 3/31/2017
Drawdown: -3.48 % Date: 2/28/2017
Drawdown: -5.63 % Date: 1/31/2017
Drawdown: -4.80 % Date: 12/31/2016
Drawdown: -5.42 % Date: 11/30/2016
Drawdown: -6.41 % Date: 10/31/2016
Drawdown: -5.71 % Date: 9/30/2016
Drawdown: -3.43 % Date: 8/31/2016
Drawdown: -0.44 % Date: 7/31/2016
Drawdown: 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.

Manager Information

Manager Name:  Crabel Capital Management, LLC
Address: 10250 Constellation Blvd, Suite 2650
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 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Mean-reversion Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $10,000,000 
 Margin / Equity Ratio: 12% 
 Managed Account Availability: Open 
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