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Crabel Capital Management, LLC

Buethe-Crabel Trading
Data Source: Composite
Program Start Date: January, 1998
Last Revision Date:

A N N U A L

P E R F O R M A N C E

B R E A K D O W N

Y ea r
Annual Return
VAMI Growth

98
8.7%
1,087

99
4.2%
1,133

00
9.9%
1,245

01
3.4%
1,287

02
6.9%
1,376

03
1.2%
1,393

04
0.6%
1,401

05
0.3%
1,405

A v g.
4.3%

Assets (Mil.)
Profits (Mil)

$6.00
$.44

$8.00
$.24

$5.00
$.46

$107.00
-$.44

$245.00
$12.41

$364.00
$4.24

$332.00
$1.92

$214.00
-$.18

$160.13
$2.38

Max. Runup
Max. Drawdown

8.7%
-4.8%

5.3%
-1.0%

11.9%
-3.3%

4.6%
-2.5%

6.9%
-2.1%

1.4%
-1.1%

3.1%
-1.3%

2.5%
-2.2%

5.5%
-2.3%

T R A D E R
Systematic:
Discr etionar y:
Minimum Acct.:
T akes Notional$:
Min. F unding:

100%
0%
Closed
Yes
10%

S P E C S
T r ade Categor y:
RT s/Mil./Yr .:
Mar gin/Equity:
Mgmt. F ee:
Incentive F ee:

D R A W D O W N
V AM I
L os s
-4.8%
-3.3%
-3.3%
-2.5%
-2.1%

Peak
Da te
Jul-98
Oct-04
F eb-00
Aug-01
Aug-02

V a lle y
Da te
Aug-98
Sep-05
Apr -00
Nov-01
Oct-02

T otal
96
0.4%
1.2%

Diver sified
2500
5%
2%
20%

Stocks:
Int. Rates:
Cur r encies:
Metals:
Inter bank:

R e c ov e r y
M os .
2
N/A
1
4
1

Loser s
34
-0.8%
0.9%

E q u ity
L os s
-4.8%
-3.4%
-3.3%
-2.5%
-2.1%

Jan
1.4%
3.0%
0.4%
-0.1%
-1.3%
-0.3%

F eb
0.1%
-2.0%
0.7%
1.1%
0.8%
0.3%

W I N D O W
Months
Best
Wor st
Avg.
Latest

1
5.1%
-4.8%
0.4%
1.2%

3
7.3%
-3.2%
1.1%
2.5%

Mar
-1.4%
0.3%
0.4%
-0.5%
-0.3%
-1.0%

Apr
-1.9%
2.7%
0.8%
0.4%
1.0%
0.7%

May
5.1%
0.5%
0.5%
-0.2%
0.9%
-0.1%

Jun
1.1%
-0.2%
1.1%
0.3%
0.3%
-0.2%

A N A LY S I S
6
11.1%
-2.3%
2.1%
1.0%

Dec - 0 5
Sep-05
Jun-05
Mar -05
Dec - 0 4
Sep-04
Jun-04
Mar -04
Dec - 0 3
Sep-03
Jun-03
Mar -03
Dec - 0 2
Sep-02

Win/Lose
1.8
1.3
1.0

M O N T H LY
2000
2001
2002
2003
2004
2005

12
16.3%
-2.9%
4.4%
0.3%

24
18.7%
-1.2%
9.0%
0.9%

Ener gy:
Softs:
Gr ains:
Meats:
Options:

R E T U R N

L os s
M il.
-$0.29
-$10.10
-$0.26
-$2.65
-$5.32

S U M M A R Y

Winner s
62
1.0%
0.9%

S E C T O R S

X
X
X

A N A LY S I S

L e n g th
M os .
1
11
2
3
2

M O N T H LY

Number
Aver age
Stan.Dev

T R A D E

S U M M A R Y

3 M os .

6 M os .

1 2 M os .

2 .5 %
-1.5%
0.4%
-1.1%
- 0 .2 %
-0.6%
2.2%
-0.8%
0 .4 %
-0.2%
0.5%
0.5%
2 .6 %
0.3%

1 .0 %

0 .3 %

-0.7%
- 0 .8 %

0 .6 %

1.4%
0 .3 %

1 .2 %

1.0%
2 .8 %

6 .9 %

D A T A
Jul
0.4%
-0.4%
0.5%
-1.1%
-0.7%
-0.4%

Aug
0.4%
0.7%
1.5%
0.1%
0.0%
-0.9%

Sep
1.1%
-0.8%
-1.7%
0.9%
0.2%
-0.2%

Oct
1.1%
-1.0%
-0.5%
-0.2%
0.9%
0.4%

C O R R E L A T I O N
36
29.8%
0.7%
14.7%
2.1%

Nov
0.9%
-0.6%
2.3%
0.4%
-0.3%
0.9%

Dec
1.3%
1.3%
0.8%
0.2%
-0.8%
1.2%

A N A LY S I S

S&P 500

0.21

Lehman Bonds

-0.09

Star k 300
Discr etionar y
Systematic
Diver sified

-0.01
0.01
-0.04
-0.10

Star k F unds
F in. & Metals
F inancial Only
Non-F inancial

-0.07
-0.02
0.12
0.14

STAR 300 Compiled by Daniel B. Stark & Co., Inc. 625 Broadway Street, Suite 725, San Diego, CA 92101, 619.702.1230, fax: 619.702.1225
The Disclosure Statement and the user's guide, found on page one of this report, are integral parts of this document. No part of the document should be
considered apart from the Disclosure Statement and the user's guide. 1989 - 2005 Daniel B. Stark & Co., Inc. Reproduction without permission is strictly forbidden. This report is intended for informational purposes only.

<< Return to Advisor Index

Crabel Capital Management, LLC

P R O G R A M

D E S C R I P T I O N

Buethe-Crabel Trading employs a short-term, quantitative methodology to trade a 21 market portfolio.Ten different techniques are
traded in an identical fashion in each market resulting in an even mix of short-term momentum trades and short-term reversal
rades. The holding period of each trade is 1 to 1.5 days. Approximately 2,500 separate trades are made each year and the average
marginto-equity is 5%. The strategies contain no bullish or bearish bias and have little correlation with the equity markets or other
trading managers.

T E C H N I C A L

R E T U R N

C H A R T

100

1600
1400
1200
1000

50

800
600
400
0

200

Jan-03

Jan-04

Jan-05

Equity

- 200

98

99

00

01

V AMI

02

03

M ov i n g A v er a g e

04

Annual CROR:
Monthly CROR:

05

Jan-06

VAMI

4.3%
0.4%

2 Year Equity:
Alpha Coef.:

0.6%
0.0%

M ome n tu m I n d e x

R I S K

A S S E T S V E R S U S P R O F I T S
( M I L L I O N S )

100

$400. 00
$300. 00

50

$200. 00
$100. 00
$0. 00
Profits

- $100. 00
98

99

00

01

L I N E A R

02

03

04

05

06

Jan-04

Jan-05

Chart Title

Jan-06

Standard Dev.:

1.2%

Semi-Dev.:

0.9%

T arget Dev.:

0.9%

Beta Coef.:

-0.02

RETURN/RISK

R E G R E S S I O N

1600

0
Jan-03

100

1400
1200
1000

50

800
600
400

0
Jan-03

Jan-04

Jan-05

Jan-06

200

Annual Shar pe:

Monthly Shar pe:

98

99

00

01

02

03

04

05

0.67
0.19

Ster ling Ratio:

Star k Ratio:

0.06
0.00

06

STAR 300 Compiled by Daniel B. Stark & Co., Inc. 625 Broadway Street, Suite 725, San Diego, CA 92101, 619.702.1230, fax: 619.702.1225
The Disclosure Statement and the user's guide, found on page one of this report, are integral parts of this document. No part of the document should be
considered apart from the Disclosure Statement and the user's guide. 1989 - 2005 Daniel B. Stark & Co., Inc. Reproduction without permission is strictly forbidden. This report is intended for informational purposes only.