Crabel Capital Management
About the Manager:
Crabel Capital Management is a global alternative investment firm specializing in systematic, automated trading of worldwide futures and foreign exchange. Our Los Angeles based firm was founded by short-term trading pioneer Toby Crabel and has delivered over 25 years of uncorrelated returns for its institutional clients. The firm has developed a diverse array of trading strategies designed to systematically capture market anomalies implemented through a technologically advanced, low latency infrastructure. Global co-location facilities and proprietary execution algorithms allow the firm to efficiently trade in approximately 200 futures and foreign exchange markets.
Our Flagship Offering (SOFT CLOSED):
The Crabel Multi-Product is a highly diversified portfolio of uncorrelated and predominantly short-term systematic trading concepts designed to achieve low correlation with traditional market and strategy indices. The majority of the price-driven strategies can be classified as short-term momentum or mean-reversion trades. A small portion of the portfolio is allocated to longer holding period strategies. Most trades are designed to work symmetrically, either long or short. The portfolio is well diversified across approximately 200 markets with a broad goal of achieving balance across the four major market sectors: equities, fixed income, commodities, and foreign exchange. Portfolio risk is controlled by employing stops and predetermined time exits for all trades. Individual markets are capped and overall exposure is dynamically managed to target an 8-10% annualized standard deviation.
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%.
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 deliberately structured to provide low correlation to all traditional and alternative asset classes and to offer a unique source of returns with over 40 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. 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.
Crabel Contra is a diversified portfolio of short-term, systematic trading strategies designed to exhibit negative correlation to global equity markets. The program combines machine learning concepts with persistent short-term alpha drivers to arrive at a portfolio of unique strategies engineered to take advantage of negative equity beta relationships across a broad set of markets. Contra aims to deliver positive returns in all environments while remaining opportunistically geared towards volatile, equity bear market environments. The program targets a 10% annualized standard deviation with an average holding period of approximately seven days. Downside risk is mitigated by dynamically sizing trades relative to market volatility and actively employing stops on all trades. Execution excellence provides an advantage in efficiently accessing unique exposures in over 120 futures and foreign exchange markets.