Paskewitz Asset Management LLC : Contrarian S&P Stock Index LF

archived programs
Year-to-Date
2.31%
Jun Performance
2.35%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.18%
Sharpe (RFR=1%)
-0.08
CAROR
-0.33%
Assets
$ 12.0M
Worst DD
-18.47
S&P Correlation
0.59

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2015
Contrarian S&P Stock Index LF 2.35 -0.34 2.31 -12.96 -6.16 - - -1.48
S&P 500 6.89 3.78 17.34 8.21 38.73 - - 45.96
+/- S&P 500 -4.54 -4.12 -15.03 -21.17 -44.90 - - -47.44

Strategy Description

Summary

The PAM S&P 500 Stock Index Long/Flat Trading Program uses a contrarian approach that predicts short and intermediate term market extremes. The Program consists of multiple pattern-based mean reversion models for the S&P 500 stock index and is a long only version of our flagship S&P... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
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
Yes
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
Worst Peak-to-Trough
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

The PAM S&P 500 Stock Index Long/Flat Trading Program uses a contrarian approach that predicts short and intermediate term market extremes. The Program consists of multiple pattern-based mean reversion models for the S&P 500 stock index and is a long only version of our flagship S&P 500 Contrarian Program.

Investment Strategy

A key differentiating factor which makes PAM unique among systematic managers is that we have a proprietary world-class quantitative strategy development platform with over 1,800 strategies currently back-tested and monitored. Our world-class simulation environment allows us to quickly and rigorously develop and test new strategies as well as generate multi-strategy programs.

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
-18.47 16 - 1/1/2018 5/1/2019
-9.48 6 12 7/1/2015 1/1/2016
-0.41 1 1 1/1/0001 1/1/2015
-0.17 1 1 9/1/2017 10/1/2017
-0.03 1 1 5/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
7.40 9 1/1/2017 9/1/2017
6.22 4 2/1/2015 5/1/2015
4.59 3 4/1/2016 6/1/2016
4.14 2 4/1/2018 5/1/2018
4.11 2 8/1/2016 9/1/2016
3.99 1 7/1/2015 7/1/2015
3.63 1 12/1/2015 12/1/2015
3.06 1 11/1/2018 11/1/2018
2.35 1 6/1/2019 6/1/2019
1.76 2 9/1/2015 10/1/2015
1.62 3 7/1/2018 9/1/2018
1.45 1 1/1/2019 1/1/2019
1.36 1 3/1/2019 3/1/2019
1.12 3 11/1/2017 1/1/2018
1.00 1 2/1/2016 2/1/2016
0.04 1 11/1/2016 11/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.78 1 10/1/2018 10/1/2018
-7.83 1 8/1/2015 8/1/2015
-7.29 2 2/1/2018 3/1/2018
-6.17 1 1/1/2016 1/1/2016
-5.78 1 12/1/2018 12/1/2018
-2.63 2 4/1/2019 5/1/2019
-0.74 1 11/1/2015 11/1/2015
-0.70 1 6/1/2018 6/1/2018
-0.41 1 1/1/2015 1/1/2015
-0.23 1 12/1/2016 12/1/2016
-0.17 1 2/1/2019 2/1/2019
-0.17 1 10/1/2017 10/1/2017
-0.17 1 7/1/2016 7/1/2016
-0.17 1 3/1/2016 3/1/2016
-0.03 1 6/1/2015 6/1/2015
-0.02 1 10/1/2016 10/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable66.6767.3153.0651.1675.6870.9752.63
Average Period Return0.02-0.03-0.330.102.013.933.76
Average Gain1.322.464.397.017.4310.1510.59
Average Loss-2.58-5.16-5.66-7.14-14.87-11.27-3.83
Best Period3.995.7510.4311.1416.5118.5918.55
Worst Period-13.78-16.28-14.97-18.33-18.21-15.17-9.24
Standard Deviation2.944.546.408.7710.6810.398.46
Gain Standard Deviation1.031.412.413.134.943.505.19
Loss Standard Deviation3.744.455.176.602.612.522.79
Sharpe Ratio (1%)-0.02-0.06-0.13-0.100.050.180.09
Average Gain / Average Loss0.510.480.780.980.500.902.77
Profit / Loss Ratio1.020.980.881.031.552.203.07
Downside Deviation (10%)2.724.416.579.6711.4811.8114.53
Downside Deviation (5%)2.603.965.467.268.177.275.06
Downside Deviation (0%)2.573.855.206.727.446.213.20
Sortino Ratio (10%)-0.14-0.28-0.43-0.51-0.49-0.54-0.83
Sortino Ratio (5%)-0.03-0.07-0.15-0.120.060.260.14
Sortino Ratio (0%)0.01-0.01-0.060.010.270.631.18

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 10 2.35 6/2019
Stock Index Trader Index Month 5 1.36 3/2019
Stock Index Trader Index Month 3 3.06 11/2018
Stock Index Trader Index Month 5 1.92 5/2018
Stock Index Trader Index Month 7 2.18 4/2018
Stock Index Trader Index Month 7 2.18 4/2018

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