Paskewitz Asset Management LLC : Contrarian S&P Stock Index

Year-to-Date
1.02%
Jan Performance
1.02%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.92%
Sharpe (RFR=1%)
0.75
CAROR
11.67%
Assets
$ 0k
Worst DD
-18.07
S&P Correlation
-0.01

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
12/2003
Contrarian S&P Stock Index 1.02 0.22 1.02 12.39 20.63 23.93 120.39 327.85
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 104.92
+/- S&P 500 -0.77 -6.96 -0.77 -5.07 -7.21 -49.71 61.97 222.93

Strategy Description

Summary

Bradford Paskewitz has been developing and trading quantitative trading strategies since 1987, with a primary focus on the futures and equity markets. He has done this work at such firms as Banque Indosuez, Lehman Brothers, Credit Suisse, Schonfeld Securities and Bear Wagner. He now... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Bradford Paskewitz has been developing and trading quantitative trading strategies since 1987, with a primary focus on the futures and equity markets. He has done this work at such firms as Banque Indosuez, Lehman Brothers, Credit Suisse, Schonfeld Securities and Bear Wagner. He now runs Paskewitz Asset Management (PAM) where strategy R&D is on-going focus. Over the entire course of a twenty year career in finance, he has focused on the problem of market price forecasting and has continually kept abreast of technological forecasting methods and techniques as they emerge, with the goal of remaining at the frontier of forecasting technology and implementation. His proprietary quantitative research infrastructure enables his strategy development process so that it can be leveraged to both U.S. and foreign futures and equity markets. PAM has been a registered CTA since January 2007 and Bradford Paskewitz is an Associated Person and Principal of PAM. Since 2003 he has also been CEO of Qualsolutions Inc., and later Quant Financial Consulting Inc. (QFC), which provide R&D and technical consulting services to PAM and outside clients. QFC has foreign teams located in Beijing and Zhengzhou China, and provides financial market consulting services using their select team of Chinese quants and programmers. From 1982-87, he worked as Director of R&D, at Electro-Catheter Corporation on an artificial heart project. He began his career at General Electric, with the Re-entry Systems Division conducting missile radar signal processing R&D (1980-82). His education includes a BS Electrical Engineering/Computer Science from Princeton University and an MS in Systems Engineering from the University of Pennsylvania.

Investment Strategy

The manager invests exclusively in S&P 500 futures with the objective of achieving consistent capital growth, which is uncorrelated or negatively correlated with the CTA Index, the S&P 500 index, the U.S. Government Bond index, as well as all other major hedge fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios, and provide added-value as a diversification to portfolios that have other assets. More...The fully-systematic contrarian program employs multiple models to forecast short and intermediate term tops and bottoms in the S&P 500 index, and then simultaneously generate trades, buying identified bottoms, and selling identified tops. The trading portfolio represents the net outcomes of the predictive sub-models. For example, if 2 of the sub-models wanted to buy, and 1 wanted to short, then the portfolio trade would be to “buy 1 unit”, since the other buy and simultaneous short signals would be cancelled out.This trading program targets net performance of 20% annually with volatility of 9%. It has an average holding period of about 7 trading days. It has extremely high liquidity due to the high daily trading volume of the S&P 500 futures, and estimated capacity of $1 billion.

Risk Management

Risk control is both pro-active and reactive. Pro-active risk controls include limits on leverage and scaling of positions appropriate to investor volatility and return objectives. Typical exposure is approximately 1/3 of maximum exposure, and at times, the strategy can be completely out of the market. Pro-active risk control is further provided by strategy diversification. Reactive risk controls include a stop loss on positions to assure that catastrophic losses are limited. The worst case scenario for this strategy is that an adverse large price gap occurs subsequent to the portfolio putting on a maximum exposure position.

   

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
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
-18.07 13 15 7/1/2010 8/1/2011
-15.85 5 19 4/1/2013 9/1/2013
-12.18 1 4 2/1/2010 3/1/2010
-11.30 3 2 1/1/2007 4/1/2007
-8.98 6 8 7/1/2015 1/1/2016
-8.41 1 2 12/1/2007 1/1/2008
-6.60 1 1 6/1/2007 7/1/2007
-6.12 1 3 5/1/2008 6/1/2008
-5.52 1 7 6/1/2009 7/1/2009
-4.89 1 3 12/1/2012 1/1/2013
-4.09 1 2 10/1/2004 11/1/2004
-3.95 1 2 4/1/2006 5/1/2006
-2.71 1 1 9/1/2008 10/1/2008
-2.43 2 2 1/1/2009 3/1/2009
-2.19 2 1 9/1/2005 11/1/2005
-1.98 1 1 9/1/2006 10/1/2006
-1.75 1 1 4/1/2004 5/1/2004
-1.29 1 1 9/1/2007 10/1/2007
-1.23 1 2 2/1/2005 3/1/2005
-0.97 3 1 9/1/2016 12/1/2016
-0.73 1 1 6/1/2005 7/1/2005
-0.53 1 1 8/1/2004 9/1/2004
-0.14 1 1 1/1/0001 12/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
24.80 4 2/1/2008 5/1/2008
23.54 2 8/1/2007 9/1/2007
19.52 5 12/1/2005 4/1/2006
16.82 3 7/1/2008 9/1/2008
16.40 3 11/1/2006 1/1/2007
15.39 7 1/1/2015 7/1/2015
14.97 2 11/1/2007 12/1/2007
14.62 2 5/1/2007 6/1/2007
13.65 4 6/1/2006 9/1/2006
10.98 3 11/1/2008 1/1/2009
10.13 1 7/1/2010 7/1/2010
10.04 1 9/1/2011 9/1/2011
10.01 4 1/1/2004 4/1/2004
8.05 3 12/1/2004 2/1/2005
7.25 2 5/1/2011 6/1/2011
7.17 2 11/1/2011 12/1/2011
7.11 3 3/1/2014 5/1/2014
6.65 4 10/1/2013 1/1/2014
6.33 3 6/1/2004 8/1/2004
6.20 1 4/1/2013 4/1/2013
6.16 3 4/1/2016 6/1/2016
6.01 2 6/1/2012 7/1/2012
5.98 2 3/1/2012 4/1/2012
5.54 2 4/1/2010 5/1/2010
5.31 3 4/1/2005 6/1/2005
5.04 2 8/1/2016 9/1/2016
4.79 1 2/1/2013 2/1/2013
4.62 2 1/1/2011 2/1/2011
4.54 1 10/1/2004 10/1/2004
4.47 1 2/1/2010 2/1/2010
4.42 1 12/1/2015 12/1/2015
4.40 2 8/1/2005 9/1/2005
4.29 3 4/1/2009 6/1/2009
4.01 3 10/1/2012 12/1/2012
3.20 2 10/1/2010 11/1/2010
3.01 3 10/1/2009 12/1/2009
2.67 1 8/1/2009 8/1/2009
2.19 2 8/1/2014 9/1/2014
2.13 1 2/1/2016 2/1/2016
2.00 1 6/1/2013 6/1/2013
1.02 1 1/1/2017 1/1/2017
0.79 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.85 2 7/1/2011 8/1/2011
-14.09 3 7/1/2013 9/1/2013
-12.18 1 3/1/2010 3/1/2010
-11.30 3 2/1/2007 4/1/2007
-8.41 1 1/1/2008 1/1/2008
-7.71 2 8/1/2010 9/1/2010
-6.79 1 1/1/2016 1/1/2016
-6.60 1 7/1/2007 7/1/2007
-6.15 1 12/1/2010 12/1/2010
-6.12 1 6/1/2008 6/1/2008
-5.52 1 7/1/2009 7/1/2009
-5.34 1 8/1/2015 8/1/2015
-4.89 1 1/1/2013 1/1/2013
-4.41 2 1/1/2012 2/1/2012
-4.36 1 5/1/2012 5/1/2012
-4.35 3 10/1/2014 12/1/2014
-4.09 1 11/1/2004 11/1/2004
-4.06 2 3/1/2011 4/1/2011
-3.97 1 5/1/2013 5/1/2013
-3.95 1 5/1/2006 5/1/2006
-2.71 1 10/1/2008 10/1/2008
-2.43 2 2/1/2009 3/1/2009
-2.19 2 10/1/2005 11/1/2005
-2.02 1 1/1/2010 1/1/2010
-1.98 2 10/1/2015 11/1/2015
-1.98 1 10/1/2006 10/1/2006
-1.75 1 5/1/2004 5/1/2004
-1.71 1 2/1/2014 2/1/2014
-1.29 1 10/1/2007 10/1/2007
-1.23 1 3/1/2005 3/1/2005
-1.00 1 3/1/2016 3/1/2016
-1.00 1 3/1/2013 3/1/2013
-0.97 3 10/1/2016 12/1/2016
-0.90 1 9/1/2009 9/1/2009
-0.73 1 7/1/2005 7/1/2005
-0.72 2 8/1/2012 9/1/2012
-0.69 2 6/1/2014 7/1/2014
-0.53 1 9/1/2004 9/1/2004
-0.36 1 7/1/2016 7/1/2016
-0.14 1 12/1/2003 12/1/2003
-0.08 1 10/1/2011 10/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods158.00156.00153.00147.00141.00135.00123.00111.0099.00
Percent Profitable62.6671.7977.1278.2382.9886.6792.6896.40100.00
Average Period Return1.023.016.0712.4819.8528.1446.6566.3583.00
Average Gain3.305.739.1917.2324.6932.9250.5368.9083.00
Average Loss-2.87-3.92-4.45-4.56-3.76-2.92-2.46-1.85
Best Period22.8621.9431.3063.9389.77102.49160.88192.25248.19
Worst Period-14.79-14.09-13.72-17.84-16.37-12.61-5.63-3.371.39
Standard Deviation4.316.198.9715.4523.1631.1649.3466.5377.65
Gain Standard Deviation3.114.677.6014.0922.4930.7849.2166.4277.65
Loss Standard Deviation3.163.703.633.303.573.021.651.46
Sharpe Ratio (1%)0.220.450.620.740.790.840.880.941.00
Average Gain / Average Loss1.151.462.063.786.5811.2720.5637.34
Profit / Loss Ratio1.963.726.9613.5832.0573.27260.42998.76
Downside Deviation (10%)2.753.363.764.805.455.927.678.7410.78
Downside Deviation (5%)2.612.942.923.002.612.121.571.330.64
Downside Deviation (0%)2.582.842.732.612.121.510.790.43
Sortino Ratio (10%)0.220.530.961.562.253.024.035.135.14
Sortino Ratio (5%)0.360.941.913.827.0212.3427.7846.77121.36
Sortino Ratio (0%)0.391.062.224.789.3818.6159.33156.08

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 5 2.92 3/2015
Stock Index Trader Index Month 5 4.24 1/2015
Stock Index Trader Index Month 3 4.02 4/2014
Stock Index Trader Index Month 9 2.53 10/2013
Stock Index Trader Index Month 1 6.20 4/2013
Stock Index Trader Index Month 2 4.79 2/2013
Stock Index Trader Index Month 7 1.70 12/2012
Stock Index Trader Index Month 9 4.14 6/2012
Stock Index Trader Index Month 10 3.06 4/2012
Systematic Trader Index Month 9 5.84 12/2011
Stock Index Trader Index Month 5 5.84 12/2011
Stock Index Trader Index Month 3 10.04 9/2011
Stock Index Trader Index Month 9 1.62 6/2011
Systematic Trader Index Month 9 5.54 5/2011
Stock Index Trader Index Month 5 5.54 5/2011
Stock Index Trader Index Month 7 3.03 2/2011
IASG CTA Index Month 7 10.13 7/2010
Systematic Trader Index Month 5 10.13 7/2010
Stock Index Trader Index Month 1 10.13 7/2010
Stock Index Trader Index Month 10 2.13 5/2010
Stock Index Trader Index Month 3 3.34 4/2010
Stock Index Trader Index Month 6 4.47 2/2010
IASG CTA Index 5 Year Rolling 7 200.92 2004 - 2009
Stock Index Trader Index Month 9 0.41 10/2009
Stock Index Trader Index Month 8 1.87 5/2009
IASG CTA Index 3 Year Rolling 8 156.11 2005 - 2008
IASG CTA Index 5 Year Rolling 6 242.61 2003 - 2008
Stock Index Trader Index Month 5 4.88 12/2008
Stock Index Trader Index Month 2 3.49 11/2008
Stock Index Trader Index Month 1 9.99 9/2008
Stock Index Trader Index Month 7 1.93 8/2008
Stock Index Trader Index Month 5 4.20 7/2008
Stock Index Trader Index Month 5 4.66 5/2008
IASG CTA Index Month 5 8.54 4/2008
Stock Index Trader Index Month 2 8.54 4/2008
Systematic Trader Index Month 3 8.54 4/2008
Stock Index Trader Index Month 7 2.35 3/2008
Stock Index Trader Index Month 5 7.34 2/2008
Stock Index Trader Index Month 9 -8.41 1/2008
IASG CTA Index 3 Year Rolling 5 120.64 2004 - 2007
Stock Index Trader Index Month 1 7.28 12/2007
Stock Index Trader Index Month 2 7.17 11/2007
Stock Index Trader Index Month 1 22.86 8/2007
Systematic Trader Index Month 2 22.86 8/2007
IASG CTA Index Month 3 22.86 8/2007
Stock Index Trader Index Month 3 5.73 6/2007
Stock Index Trader Index Month 1 8.41 5/2007
Systematic Trader Index Month 9 8.41 5/2007
IASG CTA Index Month 10 8.41 5/2007
Stock Index Trader Index Month 9 -0.72 4/2007
Stock Index Trader Index Month 3 4.56 1/2007
Stock Index Trader Index Month 7 1.28 12/2006
IASG CTA Index Year Rolling 8 38.98 2005 - 2006
IASG CTA Index 3 Year Rolling 8 85.92 2003 - 2006
Systematic Trader Index Month 5 9.92 11/2006
Stock Index Trader Index Month 1 9.92 11/2006
Stock Index Trader Index Month 2 5.29 9/2006
Stock Index Trader Index Month 5 3.08 8/2006
Systematic Trader Index Month 6 2.84 7/2006
Stock Index Trader Index Month 2 2.84 7/2006
Stock Index Trader Index Month 3 1.82 6/2006
Stock Index Trader Index Month 1 8.59 4/2006
Stock Index Trader Index Month 1 4.85 3/2006
Stock Index Trader Index Month 5 2.09 2/2006
Stock Index Trader Index Month 4 0.38 1/2006
Stock Index Trader Index Month 3 2.44 12/2005
Stock Index Trader Index Month 10 -2.11 11/2005
Stock Index Trader Index Month 9 -0.08 10/2005
Stock Index Trader Index Month 5 1.45 9/2005
Stock Index Trader Index Month 3 2.91 8/2005
Stock Index Trader Index Month 7 -0.73 7/2005
Stock Index Trader Index Month 6 1.11 6/2005
Stock Index Trader Index Month 4 2.88 5/2005
Stock Index Trader Index Month 6 1.24 4/2005
Stock Index Trader Index Month 9 -1.23 3/2005
Stock Index Trader Index Month 4 3.32 2/2005
IASG CTA Index Month 5 2.19 1/2005
Stock Index Trader Index Month 3 2.19 1/2005
Systematic Trader Index Month 3 2.19 1/2005
Stock Index Trader Index Month 4 2.34 12/2004
Stock Index Trader Index Month 9 -4.09 11/2004
Stock Index Trader Index Month 2 4.54 10/2004
Stock Index Trader Index Month 7 -0.53 9/2004
Stock Index Trader Index Month 4 2.63 8/2004
Stock Index Trader Index Month 8 0.76 7/2004
IASG CTA Index Month 8 2.82 6/2004
Stock Index Trader Index Month 3 2.82 6/2004
Systematic Trader Index Month 4 2.82 6/2004
Stock Index Trader Index Month 9 -1.75 5/2004
Systematic Trader Index Month 4 3.54 4/2004
IASG CTA Index Month 7 3.54 4/2004
Stock Index Trader Index Month 3 3.54 4/2004
Stock Index Trader Index Month 4 2.66 3/2004
Stock Index Trader Index Month 5 2.87 2/2004
Stock Index Trader Index Month 8 0.61 1/2004
Stock Index Trader Index Month 6 0.00 12/2003

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