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Manager List » Incline Investment Management »

Incline Investment Management - Crystal Bay Ubitrend

Principal(s): Jakub Rehor
Strategy: Systematic / Trend Following / Diversified
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Investment Restrictions: 4.7 Exempt - QEPs Only++
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Statistics & Program Information

Jul Return -9.37%	Worst Drawdown ⁽²⁾ -48.30%	Minimum Investment $250,000
YTD Return 5.18%	Losing Streak ⁽³⁾ -40.77 %	AUM⁽⁵⁾ $3,700,000
Annualized CROR:¹ 5.71%	Sharpe Ratio ⁽⁴⁾ 0.30	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 100% Systematic	Style Sub-Categories Quantitative	Trading Style 100% Trend Following
Market Sector 20% Stock Indices 21% Currencies 16% Financials 8% Metals 7% Energies 11% Agriculturals 3% Meats 7% Softs 7%	Holding Period 2% Long Term 32% Medium Term 65% Short Term 1% Intraday	Geographic Sector Global Contracts: Futures

Start Date Jan-2013	Currency US Dollar	Margin ⁽⁷⁾ 20-75%
New Money Yes	AUM ⁽⁵⁾ $3,700,000	Management Fee 2.00%
Min Investment $250,000	Annualized CROR ¹ 5.71%	Incentive Fee 20.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -40.77 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -48.30 %	Avg Comm ⁽⁸⁾ $7.6
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.30	Max Comm ⁽⁹⁾
NFA Number 0418078	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 4,100

Starting Date: Jan-2013	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $3,700,000
Open to US Investors: Yes	Annualized CROR: 5.71%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -48.30
Minimum Managed Account: $250,000	Current Losing Streak: -40.77 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.30
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Self-Prepared

Correlations: AG CTA Index: 0.578 AG Systematic CTA Index: 0.631

Trading Description, Risk Strategy & Background

Trading Description

The strategy identifies medium-term trends in futures markets and takes positions to benefit from persistence of these trends. The strategy utilizes only price indicators, eschewing fundamental analysis, and avoids any discretionary overlays, relying instead on purely systematic, back-tested approach. The strategy covers a broad universe of over 100 futures contracts traded on exchanges around the world, including North America (including Canada and Mexico), Europe, Asia, and Australia.

Mr. Rehor has 20 years of experience in investment management. After working as a business analyst at McKinsey & Co., he started his Wall Street career in 1997 as technology sector analyst with Sanford C. Bernstein & Co. From 2000 to 2004 he worked as equity analyst at Putnam Investments on the team managing the International Capital Opportunities Fund (PNVAX). From 2004 until 2013, he was an analyst and portfolio manager at Third Avenue Management where he was a partner and co-manager of the $1 billion+ Third Avenue International Value Fund (TAVIX). Mr. Rehor is the founder of investment company Ubival. He graduated from Yale University with a BA in Economics, summa cum laude. He is a CFA Charterholder and holds the Certificate in Quantitative Finance from CQF Institute in London.

Risk Strategy

Crystal Bay Ubitrend strategy uses quantitative risk management techniques originally used in equity markets to build the most broadly diversified portfolios. Portfolio construction maximizes diversification of exposures subject to limits on portfolio volatility, value at risk, and tail risk measures. Individual positions are also subject to stop-loss limits. The risk management process aims to generate positively skewed returns, with small losses and large gains, with a volatility above that of the benchmark (SG Trend index). The volatility target can be customized to meet individual clientsâ€™ preferences.

Background

Performance

Monthly Performance Since December 2013

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-5.02%	21.70%	9.87%	8.87%	-4.81%	-11.82%	-9.37%						5.18%	-23.93%
2023	-0.15%	-6.88%	-12.18%	8.98%	12.15%	0.95%	-5.64%	-9.61%	2.73%	-1.39%	-12.89%	1.50%	-23.03%	-24.73%
2022	-0.84%	12.57%	12.27%	13.21%	-4.19%	1.24%	-16.74%	1.08%	19.01%	-4.93%	-19.45%	-1.65%	3.81%	-26.83%
2021	-0.36%	12.23%	-2.75%	11.32%	-0.25%	-6.09%	8.77%	-5.24%	-4.60%	11.05%	-12.15%	4.01%	13.15%	-12.15%
2020	-7.70%	1.43%	8.89%	-1.92%	-2.62%	-2.06%	6.44%	6.15%	-8.20%	6.26%	9.96%	12.62%	30.15%	-8.2%
2019	-0.75%	-2.96%	-1.91%	3.10%	0.41%	-6.06%	5.27%	10.46%	-17.59%	-3.24%	2.31%	9.45%	-4.61%	-20.26%
2018	-3.61%	-7.48%	-6.63%	0.55%	-0.47%	-1.54%	0.14%	1.23%	-3.21%	-0.71%	-2.20%	1.51%	-20.65%	-21.83%
2017	-0.69%	0.83%	-0.17%	1.39%	5.15%	-3.17%	1.05%	-3.74%	-9.13%	6.93%	-1.06%	1.85%	-1.71%	-14.41%
2016	5.29%	8.67%	-10.96%	3.78%	-4.80%	11.74%	0.58%	-8.22%	-5.58%	-7.06%	1.23%	6.01%	-2.23%	-20.37%
2015	17.24%	-0.55%	1.85%	-7.78%	-2.03%	-6.30%	-3.46%	4.68%	2.83%	-10.75%	4.61%	-3.11%	-5.5%	-21.48%
2014	13.54%	-6.59%	9.48%	-3.02%	-1.52%	2.77%	9.03%	9.02%	28.96%	-6.66%	15.54%	19.15%	124.48%	-6.66%
2013												-5.28%	-5.28%	-5.28%

Annual Performance

Years	2013	2014	2015	2016	2017	2018
ROR	-5.28%	124.48%	-5.50%	-2.23%	-1.71%	-20.65%
Max DD	-5.28%	-6.66%	-21.48%	-20.37%	-14.41%	-21.83%

Years	2019	2020	2021	2022	2023	2024 YTD
ROR	-4.61%	30.15%	13.15%	3.81%	-23.03%	5.18%
Max DD	-20.26%	-8.20%	-12.15%	-26.83%	-24.73%	-23.93%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.