Pacific Life Fund Advisors LLC : Pacific Multi Strategy Return Fund - Series A Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since6/2015 Pacific Multi Strategy Return Fund - Series A 3.16 - - - 3.16 12.78 - 17.18 S&P 500 5.62 - - - 40.12 86.59 - 80.21 +/- S&P 500 -2.46 - - - -36.96 -73.81 - -63.03 Strategy Description SummaryPacific 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% Composition Stock Indices 80.00% Interest Rates 10.00% Currency Futures 5.00% Precious Metals 5.00% SummaryPacific 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 StrategyThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel