Computation methodology

Performance is tracked on trade ideas published in The Crown Macro Letter and resolved during the review period. A trade is counted as closed when the letter has published an exit, a stop level has been hit, or the position has otherwise been called done. Positions still open at the end of the reporting period are excluded from realized performance and are included once they are ultimately resolved.

Ideas that did not carry an unambiguous published entry and exit are excluded, even when the subsequent market move was favorable.

Each idea is weighted by the risk-size assigned at the time of publication, using a discrete grid of 0.25, 0.5, 0.75, or 1.0 risk units. A full-risk position is counted in full, while smaller positions are scaled proportionally. Risk-size reflects conviction, relative volatility, capital constraints, and the prevailing risk environment at the time of the trade.

Positions entered or exited in tranches are recorded as a single trade using a blended profit and loss weighted by the size of each tranche. The entry date is the date of the first entry and the exit date is the date of the final exit. The risk-size attached to the trade reflects the published position sizing and is used to scale the reported return.

Non-options and options are first calculated separately because the percentage returns generated by options can be substantially larger than those of outright positions and cannot be combined on a one-for-one basis.

Non-options includes equities, ETFs, futures, foreign exchange, commodities, and relative-value positions. For each trade, the underlying return is multiplied by the published risk-size. These risk-adjusted returns are then compounded sequentially across closed trades.

Options are calculated using the same published risk-size, but with an additional premium-at-risk constraint. A full-risk options trade is modeled as committing 10% of the options sleeve to premium or defined maximum loss. A 0.5 risk-unit trade therefore commits 5% of the sleeve, while a 0.25 risk-unit trade commits 2.5%.

For example, a full-risk option position returning +100% increases the options sleeve by 10%. A full loss of premium on that same position reduces the sleeve by 10%, rather than by 100%. For defined-risk structures such as debit spreads or credit spreads, the allocation is applied to the capital at risk or maximum defined loss.

The performance is calculated assuming 95% of the book is used to deploy, with 5% held in cash.

Actual investor returns will vary depending on available capital, position sizing, leverage, margin usage, execution, option fills, and the amount of capital allocated to each idea.

Entry and exit levels are reported as close to actual published fills as possible using indicative or mid-market pricing at the time of publication. For options in particular, achievable fills can differ from the indicated level depending on liquidity, bid-ask spreads, strikes, and timing. Actual realized results may therefore differ from the modeled figures shown here.

The complete trade ledger above lists every closed trade, its published risk-size, and the resulting realized return.