Crabel Capital Management Case Study

Crabel Capital Management is a global alternative investment firm who specializes in stock index, foreign currency, and interest rate futures trading. Their program consists of a highly diversified portfolio of uncorrelated and predominantly short-term, systematic strategies traded across a large number of markets. With management fees of 2% and performance fee of 30%, it is safe to say that investing in managed futures is not cheap, but the rewards are, in the case of CCM worth it. With cumulated returns of over 490% and lower riskiness than the SPX since their beginning, Crabel has been able to outperform other investment funds and appears as a strong alternative investment. Their strategy of low correlation with all other investment strategies while providing the highest possible Sharpe ratio appears to be working. The purpose of this paper is to analyze and interpret CCM results since their inception, and give an explanation to their impressive results. Starting in 1998, we see that Crabel

We gave the S&P 500 and Crabel fund different weights to see how this would change Returns, Skewness, Standard Deviation, and Sharpe Ratio. According to the model, as you put more weight on Crabel’s fund and less on SPX it would result in higher returns, more positive skewness, and higher Sharpe Ratio up until the point where SPX is weighted at 30%. At this point Sharpe Ratio is maximized and volatility is minimized. As we can see from the graph in (Exhibit #3) Crabel Management Fund (Blue line) greatly overperformed S&P 500 (Orange line) Index since 1998. Also, while SPX had a drawdown in 2008, Crabel fund spiked in the opposite direction. Hence,if put together negative volatility of a portfolio would be decreased. We can see positive skewness of .53 in Crabel’s graph since it’s spiking up followed by further increase in