Crescent Bay Capital Management, Inc. Balanced Volatility Program

The objective of the Balanced Volatility Program (BVP) is to achieve substantial capital appreciation through the speculative trading of options on futures contracts using “Non-Directional” proprietary strategies. A secondary objective of the Balanced Volatility Program (BVP) is to offset volatility risks, which are inherent in short option or premium selling programs, while offering the benefits of an absolute return strategy. The BVP works well as a hedging tool when combined with a premium-selling program such as the Premium Stock Index Program (PSIP) or as a standalone investment. It is well documented that selling premium (short options) is profitable in quiet or low volatility markets, however, when volatility increases sharply, many months or even years of profit can be lost if risk is not properly managed. The foundation of the strategy used in the BVP blends various short and long options to create an overall position that is buffered from increases in volatility. Furthermore, positions are strategically placed across different calendar months providing an overall net long volatility position. These core elements combined with a robust adjustment protocol result in a balanced strategy. Positions are placed using proprietary strike level and ratio algorithms to achieve a strategy that can be profitable in flat or volatile market conditions. Stop limits derived as a function of account value and real-time monitoring of positions are the primary risk controls. Furthermore, the BVP only participates in high liquidity markets (currently the S&P 500 Emini and Pit option contracts).

Year or YTD Program SP500 TR
2016 1.74 11.98
2015 27.91 1.41
2014 2.54 13.69
2013 -31.35 32.41
2012 5.03 15.98
2011 -1.29 2.12
2010 28.49 15.06
2009 -3.65 26.45
2008 -8.41 -36.99
2007 34.45 1.79
Average 5.55 8.39
Manager Name: Crescent Bay Capital Management, Inc.
Address: 1201 Puerta Del Sol, Suite 224
City: San Clemente
State: CA
Zip: 92673
Country: USA

David Bedford graduated in April 1990 from Pepperdine University in Malibu, California with a Bachelor of Science degree in Sports Medicine. Upon graduation he became a Principal of Bedford Hardwood (a wood flooring sales and contracting company) and later, Sand Vac Systems (a manufacturer of dust retrieval systems for the construction industry). In May 1996, Mr. Bedford managed projects using statistical and quantitative testing methods (a prelude to his future career in trading systems research) as a Biomaterials Research Associate at University of California at San Francisco. From January 1998 – February 2007 he was employed as a District Sales Manager by GC America, an International dental products manufacturer. In August 1998, while remaining gainfully employed, David Bedford began graduate coursework in quantitative analysis, statistics, and information technology at Golden Gate University. These studies, combined with his interest in the markets, launched the pursuit of profitable trading methods research. Since August 1999, Mr. Bedford has been an active trader, testing his methods and skills in the stock and futures markets. He established Crescent Bay Capital Management, Inc. and continues to serve as President. Successful development of multiple trading systems led him to register CBCM as a Commodity Trading Advisor (CTA) for the purpose of managing client accounts. Crescent Bay Capital Management, Inc. (CBCM) was formed January 20th, 2003 for the purpose of trading and market research. CBCM has been registered with the National Futures Association (NFA) and Commodity Futures Trading Commission (CFTC) as a CTA since August 23rd, 2004; and as a Commodity Pool Operator (“CPO”) since November 14th, 2006. David Bedford continues to research multiple trading strategies and alternative markets in addition to constant management and refinement of CBCM’s currently offered managed account programs, the Premium Stock Index Program (PSIP) and the Balanced Volatility Program (BVP). He also manages a limited partnership commodity pool, the Crescent Bay Diversified Futures Fund, L.P.

Mr. Stephan is a longtime trader of the equity and equity options markets. Prior to his association with CBCM, he managed proprietary and family accounts and has 10+ years of “live” trading experience. Mr. Stephan is NASD Series 3 examination qualified.

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Asset Investment Management


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