Balanced Volatility Program (BVP)

BVP

vs. S&P 500

Month of April Return Average Annual Return Return Since Inception

* August 2007 - April 2012

+2.59% +10.90% +54.10%

-.63% +3.30% +7.00%

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Worst peak to valley drawdown of 32.69% (Apr 2008 Oct 2009). Average Annual Return = Cumulative gains and losses divided by the number of years of an investments life, with compounding taken into account.

More about our Managed Futures program... It is well documented that the strategy of selling premium (short options) is protable in quiet or low volatility markets. However, when volatility increases sharply, many months (or even years!) of prot can be lost if risk is not properly managed. The Balanced Volatility Program (BVP) was developed as an alternative to naked option selling programs. A primary objective of the program is to offset volatility risks which are inherent in short option or premium selling programs, while still offering the benets of an absolute return strategy. Trading in futures and options is speculative and not suitable for all investors. Substantial losses can be incurred. Before investing in the BVP, one must review the most recent Disclosure Document of Crescent Bay Capital Management which contains a more thorough description of trading method and strategy.
$1,800
BVP Program VAMI S&P 500 VAMI

$1,800

$1,400

$1,400

$1,000

$1,000

$600

$600

VAMI reflects the growth of a hypothetical $1,000 in a given investment over time. The value is equal to $1,000 at inception. Subsequent month-end values are calculated by mulitplying the previous months VAMI index by 1 plus the current month rate of return. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Jan 2012 2011 2010 2009 2008 2007 1.77 (1.17) (4.40) 3.35 (3.80) Feb 1.42 1.01 5.25 (.24) 13.90 Mar (3.30) 3.08 1.24 (11.46) 5.50 Apr 2.59 2.30 (.75) .68 2.20 May 3.47 6.25 .81 (1.63) Jun (.63) 10.78 .63 (.47) Jul (4.40) 4.55 (4.29) .31 Aug (4.87) 11.39 (1.57) .96 4.00 Sep 4.85 (4.30) 2.39 (15.96) 7.10 Oct (7.21) .36 (3.45) (6.29) 12.40 Nov .63 .53 6.48 (2.18) 12.10 Dec 2.43 (3.98) 4.21 1.49 (4.20)
Total Return %

More about Crescent Bay Capital Management Crescent Bay Capital Management, Inc. (CBCM) is an alternative investment trading rm, specializing in managed futures. Founded in 2003, CBCM is registered with the NFA and CFTC as a Commodity Trading Advisor (CTA). Our investment programs offer returns which are not correlated to the major stock indices; therefore, it is possible to be protable in a wide range of market environments. Trading in futures and options is speculative and not suitable for all investors. Substantial losses can be incurred.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTORS MUST READ THE CURRENT DISCLOSURE DOCUMENT BEFORE THEY INVEST. THE RISK OF LOSS INHERENT IN AN OPTIONS WRITING PROGRAM IS SUBSTANTIAL AND IS NOT SUITABLE FOR EVERYONE. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTAs DISCLOSURE DOCUMENT. SPECIFICALLY, ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START UP FEE OF UP TO 6% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMERS ABILITY TO ACHIEVE SIMILAR RETURNS.

Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-08 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-09 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12
2.38% (1.29%) 28.49% (3.65%) (8.41%) 34.45%