Crabel Capital Management, LLC

Crabel Gemini Program *QEP*


Monthly Performance (%)

Date Range: 06/16 - 06/22
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2022 -1.00 -0.24 3.46 1.21 0.07 1.45 1.20   6.25 
2021 -1.57 1.81 0.41 0.77 -0.10 1.05 -1.20 0.66 -1.74 2.79 0.66 0.87  4.40 
2020 0.09 1.19 2.01 0.87 -1.30 1.57 -0.01 -2.11 -0.61 -2.34 1.29 1.23  1.78 
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

Crabel Gemini is a systematic portfolio of predominantly short holding period strategies designed to target behavioral and structural market inefficiencies across a broadly diversified set of global futures and foreign exchange instruments. The portfolio is structured to provide low correlation to all traditional and alternative asset classes and to offer a unique source of returns with over 50 differentiated and stand-alone strategy frameworks composing the program. Crabel’s focus on execution excellence provides a further advantage in efficiently accessing unique exposures in approximately 200 markets. Strategies are generally driven by price or derivatives of price such as volatility, correlation, and term structure. Most strategies are designed to work symmetrically, either long or short. The program has an approximate 10-day average hold timeframe (with a range of two days to several months) and targets a 10% annualized standard deviation in the 1x (Class M) version. The program utilizes a multi-tiered approach to risk control that includes: dynamic sizing of new trades relative to market volatility, the use of price as well as time-based stops, and a real-time VaR-based position sizing mechanism that seeks to constrain overall portfolio risk.

Performance Statistics

Date Range: 06/16 - 06/22
  Program S&P 500 Coquest 40 
Total Return 23.49% 102.07% 30.10% 
Annualized Return 3.58% 12.26% 4.42% 
Annualized Std. Deviation 6.36% 15.43% 7.59% 
Correlation 0.12 0.49 
Sharpe Ratio (rf=2.5%) 0.17 0.63 0.25 
Worst Month -3.38% -12.35% -6.10% 
Date of Worst Month 08/2017 03/2020 02/2018 
Worst Drawdown -9.22% -19.95% -11.29% 
Date of Worst Drawdown 7/16 - 12/17 12/21 - 6/22 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 - 06/22
Year or YTD Program S&P 500 Coquest 40 
2022 6.25 -19.95 18.50 
2021 4.40 28.72 6.26 
2020 1.78 18.40 0.97 
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 - 06/22
Date: 6/30/2022
Perf: $1,247.98 Date: 5/31/2022
Perf: $1,232.45 Date: 4/30/2022
Perf: $1,238.27 Date: 3/31/2022
Perf: $1,174.27 Date: 2/28/2022
Perf: $1,096.53 Date: 1/31/2022
Perf: $1,072.82 Date: 12/31/2021
Perf: $1,053.13 Date: 11/30/2021
Perf: $1,052.07 Date: 10/31/2021
Perf: $1,078.83 Date: 9/30/2021
Perf: $1,057.78 Date: 8/31/2021
Perf: $1,052.52 Date: 7/31/2021
Perf: $1,052.31 Date: 6/30/2021
Perf: $1,047.70 Date: 5/31/2021
Perf: $1,051.69 Date: 4/30/2021
Perf: $1,036.56 Date: 3/31/2021
Perf: $1,018.63 Date: 2/28/2021
Perf: $1,005.16 Date: 1/31/2021
Perf: $982.08 Date: 12/31/2020
Perf: $991.10 Date: 11/30/2020
Perf: $955.09 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: 6/30/2022
Perf: $2,015.46 Date: 5/31/2022
Perf: $2,196.69 Date: 4/30/2022
Perf: $2,192.74 Date: 3/31/2022
Perf: $2,402.21 Date: 2/28/2022
Perf: $2,316.28 Date: 1/31/2022
Perf: $2,387.67 Date: 12/31/2021
Perf: $2,517.84 Date: 11/30/2021
Perf: $2,409.88 Date: 10/31/2021
Perf: $2,426.62 Date: 9/30/2021
Perf: $2,267.66 Date: 8/31/2021
Perf: $2,378.25 Date: 7/31/2021
Perf: $2,308.08 Date: 6/30/2021
Perf: $2,254.43 Date: 5/31/2021
Perf: $2,203.10 Date: 4/30/2021
Perf: $2,187.78 Date: 3/31/2021
Perf: $2,076.88 Date: 2/28/2021
Perf: $1,989.73 Date: 1/31/2021
Perf: $1,936.28 Date: 12/31/2020
Perf: $1,956.04 Date: 11/30/2020
Perf: $1,883.71 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: 7/31/2022
Perf: $1,249.71 Date: 6/30/2022
Perf: $1,234.89 Date: 5/31/2022
Perf: $1,217.24 Date: 4/30/2022
Perf: $1,216.39 Date: 3/31/2022
Perf: $1,201.85 Date: 2/28/2022
Perf: $1,161.66 Date: 1/31/2022
Perf: $1,164.45 Date: 12/31/2021
Perf: $1,176.21 Date: 11/30/2021
Perf: $1,166.07 Date: 10/31/2021
Perf: $1,158.42 Date: 9/30/2021
Perf: $1,126.98 Date: 8/31/2021
Perf: $1,146.94 Date: 7/31/2021
Perf: $1,139.42 Date: 6/30/2021
Perf: $1,153.25 Date: 5/31/2021
Perf: $1,141.27 Date: 4/30/2021
Perf: $1,142.41 Date: 3/31/2021
Perf: $1,133.68 Date: 2/28/2021
Perf: $1,129.06 Date: 1/31/2021
Perf: $1,108.98 Date: 12/31/2020
Perf: $1,126.67 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 - 06/22
Date: 7/31/2022
Return: 1.20 % Date: 6/30/2022
Return: 1.45 % Date: 5/31/2022
Return: 0.07 % Date: 4/30/2022
Return: 1.21 % Date: 3/31/2022
Return: 3.46 % Date: 2/28/2022
Return: -0.24 % Date: 1/31/2022
Return: -1.00 % Date: 12/31/2021
Return: 0.87 % Date: 11/30/2021
Return: 0.66 % Date: 10/31/2021
Return: 2.79 % Date: 9/30/2021
Return: -1.74 % Date: 8/31/2021
Return: 0.66 % Date: 7/31/2021
Return: -1.20 % Date: 6/30/2021
Return: 1.05 % Date: 5/31/2021
Return: -0.10 % Date: 4/30/2021
Return: 0.77 % Date: 3/31/2021
Return: 0.41 % Date: 2/28/2021
Return: 1.81 % Date: 1/31/2021
Return: -1.57 % Date: 12/31/2020
Return: 1.23 % 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 - 06/22
Return: 5.00 %
Count: 2 Return: 6.00 %
Count: 1 Return: 3.00 %
Count: 5 Return: 1.00 %
Count: 17 Return: -1.00 %
Count: 15 Return: -2.00 %
Count: 9 Return: -3.00 %
Count: 2 Return: 2.00 %
Count: 8 Return: 0.00 %
Count: 15

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 - 06/22
Date: 7/31/2022
Drawdown: 0.00 % Date: 6/30/2022
Drawdown: 0.00 % Date: 5/31/2022
Drawdown: 0.00 % Date: 4/30/2022
Drawdown: 0.00 % Date: 3/31/2022
Drawdown: 0.00 % Date: 2/28/2022
Drawdown: -1.24 % Date: 1/31/2022
Drawdown: -1.00 % Date: 12/31/2021
Drawdown: 0.00 % Date: 11/30/2021
Drawdown: 0.00 % Date: 10/31/2021
Drawdown: 0.00 % Date: 9/30/2021
Drawdown: -2.56 % Date: 8/31/2021
Drawdown: -0.83 % Date: 7/31/2021
Drawdown: -1.48 % Date: 6/30/2021
Drawdown: -0.29 % Date: 5/31/2021
Drawdown: -1.32 % Date: 4/30/2021
Drawdown: -1.22 % Date: 3/31/2021
Drawdown: -1.98 % Date: 2/28/2021
Drawdown: -2.38 % Date: 1/31/2021
Drawdown: -4.11 % Date: 12/31/2020
Drawdown: -2.58 % 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: 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 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Mean-reversion Yes 
 Quantitative Analysis 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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