MontLake Crabel Gemini

Investment Objective

The Crabel Gemini UCITS Fund is advised by Crabel Capital Management LLC. The portfolio is deliberately structured to provide low correlation to all asset classes and offers a unique source of returns with over 40 differentiated and stand-alone strategy frameworks composing the Program. Crabel Gemini seeks to control risk by dynamic sizing of new trades relative to market volatility, the use if stops and a balance of volatility broadly diversified across sector and geographic regions. Crabel Gemini has an approximate 10-day average hold timeframe and target a 10% annualised standard deviation.

Reference Index

Soc Gen Trend Index

Latest Meeting Note

Meeting 23 Apr 2020

Crabel is a global alternative investment firm specializing in managed futures trading with a predominant focus on short holding period alpha oriented strategies. The firm currently manages about $4.6 billion across four core strategies:... Read more

Crabel is a global alternative investment firm specializing in managed futures trading with a predominant focus on short holding period alpha oriented strategies. The firm currently manages about $4.6 billion across four core strategies: flagship program ($2b and now closed to new investors, 1 day holding period), trend following program (2014), the Gemini program (2016, $1.6b) and a negative beta program recently launched. The Crabel Gemini UCITS fund launched in 2017 on the Montlake platform and today runs about $500 million. It is a portfolio of systematic strategies designed to target behavioral and structural market inefficiencies across equities, rates, currencies and commodities, with an average holding period of 10 days. The portfolio balances risks between four underlying sub-strategies (each employing multiple models): volatility breakout (40% target allocation), reversal (20%), factor timing and opportunistic. The volatility breakout engine targets opportunities where volatility is believed to expand in a directional way (e.g. after a consolidation phase). Reversal aims to profit from mean-reversion patterns which may materialize after ‘irrational expansions’. Factor timing is an environmental-based strategy that aims to exploit pricing inefficiencies caused by the interplay between market participants (e.g. by tracking money flows the system seeks to predict and profit from deleveraging events). The opportunistic engine take advantages of other opportunities which are largely behevioral in nature. Most strategies are designed to work symmetrically, either long or short across all asset classes (there is a bias towards equity which typically represents 50% of the risk). The program seeks to control risk by dynamic sizing and adjusting positions real time (e.g. cutting ‘stale’ positions based on PNL analysis) based on the level of market volatility, the use of price as well as time-based stops, and other proprietary indicators. Portfolio exposure is dynamically managed to target 10% annualized vol. The fund also targets low correlaion to trend following strategies (max 0.30).

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.7 0.5 0.8 0.3 1.0 0.1 0.1 0.5 0.7 0.1 0.4 0.7 0.3
2018 0.2 0.9 0.8 0.4 0.1 0.2 0.7 0.7 0.2 0.4 0.2 0.7 0.4

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