Crabel Capital Management is able to achieve low correlation with other strategies for investment and provide highest possible Sharpe ratio. It has a diverse portfolio of short term and systematic strategies that are uncorrelated and spans across different markets.
Strategies of Crabel Capital Management for the portfolio are short term or mean reversion trades. For long holding period strategies, only a small portion of the allocation is allocated. There is no bias to short or long side and trades are meant to work symmetrically.
This program has exposure to a variety of liquid futures and currency markets around the globe. Stop loss, time exits and diversification are used to control risk for both sectors and locations.
Crabel Capital Management uses a systematic and short-term trend following program. It was founded on March 1998. As of December 31, 2014, the firm’s AUM is $1.77 billion, including notational equity. It is located in Los Angeles, CA. Principal is Toby Crabel.
Crabel Capital Management Company Background
In 1997, Crabel was founded as a limited liability company by William Harrison “Tony” Crabel. It is an investment firm that has expertise on futures and foreign currency. To date, it manages over $1 billion in assets. Starting as short-term and systematic traders, Crabel Capital Management transformed itself from its past 20 years of service. It now offers a wide range of products that augments its already complex portfolio.
It manages for institutions, funds of funds, family corporations and individuals with high net worth. In 1987, it was registered as a CTA with the CFTC and as a CPA in 1999.Since 1987; it has been a member of the NFA.
Goals in Investment
The goal of Crabel Capital Management is to gain competitive returns that are adjusted in terms of risk and at the same time have low correlation to other strategies.
Liquid global futures, currencies and equity markets are being traded.
The Multi-Product Program of Crabel Capital Management manages a diverse portfolio through short term and uncorrelated systematic strategies. Most of the strategies are driven by price and further classified into short term momentum or mean reversion trades. Only a small portion of the portfolio is dedicated for long holding period strategies.
Toby Crabel is the President and CEO of Crabel Capital Management. He was employed as a researcher and trader at Niederhoffer Investments. He is the author of Day Trading with Short Term Price Patterns and Opening Range Breakouts, published in 1989. It is one of the most widely used references for short term futures trading. He is also the author of The Active Trader, a newsletter that shares his observations of price behavior. The basis of his observations is from his experience in RB&H Financial Services, a brokerage in Chicago.
His trading philosophy is that strategies must be able to identify and explain the behavior of the market. He found this to be very possible for markets in futures and currencies. Crabel Capital Management is unique because it uses hard evidence, backed by scientific research, in its strategies. Toby continues to helm the firm by acting as the leader in research, the guide to the management team and the mentor to the employees of the firm.
The Crabel Multi-Product Program is offered for a 3.5% management fee and a 20% incentive fee.
1988 to 2014 Crabel Capital Management Performance Statistics
Crabel Capital Management has a cumulative total return of 463.90%. Annualized compound return is at 10.82%. Annualized standard deviation is at 14.76%. Monthly correlation to S&P 500 TRI is at 0.05. Annualized sharpe ratio (0%) is at 0.77. On September 2001, monthly maximum loss is at -9.81%. From April 1998 to August 1998, there is a maximum drawdown of -16.27%.
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