7/31/2019 Crescent Bay Capital - BVP - April 2012

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More about our Managed Futures program...t is well documented that the strategy of selling premium (short options) is profitable in quiet or low volatility markets. However, whenolatility increases sharply, many months (or even years!) of profit can be lost if risk is not properly managed. The Balanced Volatility Progra

BVP) was developed as an alternative to naked option selling programs. A primary objective of the program is to offset volatility rwhich are inherent in short option or premium selling programs, while still offering the benefits of an absolute return strategy.

rading in futures and options is speculative and not suitable for all investors. Substantial losses can be incurred. Before investing in the BVP, onmust review the most recent Disclosure Document of Crescent Bay Capital Management which contains a more thorough description of tradingmethod and strategy.

More about Crescent Bay Capital Managementrescent Bay Capital Management, Inc. (CBCM) is an alternative investment trading firm, specializing in managed futures. Founded in 2003,BCM is registered with the NFA and CFTC as a Commodity Trading Advisor (CTA). Our investment programs offer returns which are notorrelated to the major stock indices; therefore, it is possible to be profitable in a wide range of market environments. Trading in futures and

ptions is speculative and not suitable for all investors. Substantial losses can be incurred.

AST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTORS MUST READ THE CURRENT DISCLOSURE DOCUMENT BEFORE

HEY 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. PLE

OTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICMPACT ON THE CUSTOMERS ABILITY TO ACHIEVE SIMILAR RETURNS.

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 bmulitplying the previous months VAMI index by 1 plus the current month rate of return. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

$600

S&P 500 VAMI

BVP Program VAMI

$1,000

$1,400

$1,800

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Balanced

VolatilityProgram

(BVP)

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.

Month of April ReturnAverage Annual Return

Return Since Inception*

-.63%

+3.30%

+7.00%

+2.59%+10.90%+54.10%

BVP vs. S&P 500

* August 2007 - April 2012

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Return %

2011 (1.17) 1.01 3.08 2.30 3.47 (.63) (4.40) (4.87) 4.85 (7.21) .63 2.43 (1.29

2012 1.77 1.42 (3.30) 2.59 - - - - - - - - 2.38%

%)

2010 (4.40) 5.25 1.24 (.75) 6.25 10.78 4.55 11.39 (4.30) .36 .53 (3.98) 28.49%

2009 3.35 (.24) (11.46) .68 .81 .63 (4.29) (1.57) 2.39 (3.45) 6.48 4.21 (3.65%)

2008 (3.80) 13.90 5.50 2.20 (1.63) (.47) .31 .96 (15.96) (6.29) (2.18) 1.49 (8.41%)

2007 - - - - - - - 4.00 7.10 12.40 12.10 (4.20) 34.45%