Pacific Life Fund Advisors LLC : Pacific Multi Strategy Return Fund - Series A

archived programs
Year-to-Date
N / A
Jan Performance
3.16%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
5.55%
Sharpe (RFR=1%)
0.92
CAROR
6.13%
Assets
$ 45.4M
Worst DD
-6.64
S&P Correlation
0.17

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since
6/2015
Pacific Multi Strategy Return Fund - Series A 3.16 - - - 5.96 10.07 - 17.18
S&P 500 5.62 - - - 40.12 86.59 - 67.94
+/- S&P 500 -2.46 - - - -34.15 -76.52 - -50.76

Strategy Description

Summary

Pacific Multi-Strategy Return Fund L.P. (the "Fund") is a diversified, multi-strategy fund that uses proprietary statistical models to design and implement a trading strategy.... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 15.00%
Average Commission $1.25
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 7-14 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 75.00%
Intraday 25.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
10.00%
Counter-trend
20.00%
Momentum
15.00%
Pattern Recognition
15.00%
Technical
15.00%
Trend-following
15.00%
Other
10.00%
Strategy Pie Chart

Composition

Stock Indices
80.00%
Interest Rates
10.00%
Currency Futures
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

Pacific Multi-Strategy Return Fund L.P. (the "Fund") is a diversified, multi-strategy fund that uses proprietary statistical models to design and implement a trading strategy.

Investment Strategy

The Fund is diversified by design through exposure to momentum, mean reversion, volatility and relative value models. The models look at diverse metrics across technical signals and holding patterns. The Fund's trading approach is based on quantitative analysis of price behavior in a large variety of markets. The underlying trading strategies have no directional bias. The Fund invests primarily in liquid futures and selectively options on futures markets in equity indices, rates, commodities and FX. The Fund's strategy is systematically implemented with limited discretion. The portfolio targets a low correlation with stock, bond and commodity markets.

Risk Management

The Fund is designed to maximize risk-adjusted returns over market cycles with a low correlation to global equity markets. The current target downside volatility measure is 6% per annum. Additionally, we limit the maximum margin equity ratio for net long exposure to equity indices at 7.5% and the maximum margin equity ratio for net short exposure to equity indices at 2.5% of the Fund's notional at all times.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Sharpe Ratio: (RF=1%)
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Reward
Compound RoR:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.64 5 10 8/1/2015 1/1/2016
-1.31 1 1 11/1/2017 12/1/2017
-1.16 2 1 4/1/2017 6/1/2017
-0.90 1 1 2/1/2017 3/1/2017
-0.67 1 1 11/1/2016 12/1/2016
-0.17 1 1 7/1/2017 8/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
7.05 6 2/1/2016 7/1/2016
6.46 3 6/1/2015 8/1/2015
4.08 3 9/1/2017 11/1/2017
3.16 1 1/1/2018 1/1/2018
2.76 2 1/1/2017 2/1/2017
1.93 1 7/1/2017 7/1/2017
1.67 1 11/1/2016 11/1/2016
1.27 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.64 5 9/1/2015 1/1/2016
-1.31 1 12/1/2017 12/1/2017
-1.16 2 5/1/2017 6/1/2017
-0.90 1 3/1/2017 3/1/2017
-0.78 3 8/1/2016 10/1/2016
-0.67 1 12/1/2016 12/1/2016
-0.17 1 8/1/2017 8/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable56.2573.3381.4895.24100.00
Average Period Return0.511.392.214.847.26
Average Gain1.562.613.365.117.26
Average Loss-0.84-1.96-2.83-0.62
Best Period4.236.467.059.1611.45
Worst Period-4.34-5.20-5.06-0.622.91
Standard Deviation1.602.582.952.722.94
Gain Standard Deviation1.031.541.692.482.94
Loss Standard Deviation1.121.701.57
Sharpe Ratio (1%)0.270.440.581.411.95
Average Gain / Average Loss1.861.331.198.31
Profit / Loss Ratio2.393.665.23166.14
Downside Deviation (10%)1.091.862.422.072.23
Downside Deviation (5%)0.941.411.550.36
Downside Deviation (0%)0.901.301.360.13
Sortino Ratio (10%)0.090.09-0.11-0.08-0.15
Sortino Ratio (5%)0.450.811.1010.56
Sortino Ratio (0%)0.561.071.6336.04

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.