Paskewitz Asset Management LLC : Global Contrarian Stock Index

Year-to-Date
0.60%
Oct Performance
-0.88%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.31%
Sharpe (RFR=1%)
-0.67
CAROR
-8.50%
Assets
$ 20.5M
Worst DD
-23.87
S&P Correlation
0.69

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
4/2017
Global Contrarian Stock Index -0.88 -0.31 0.60 -2.42 - - - -20.50
S&P 500 2.04 1.92 21.16 12.01 - - - 26.11
+/- S&P 500 -2.92 -2.23 -20.56 -14.42 - - - -46.61

Strategy Description

Summary

The PAM Global Contrarian Stock Index Program uses a contrarian approach that predicts short and intermediate term market extremes. The Program consists of multiple models that trade across a variety of equity markets across the globe and was launched April 2017.... 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
$0
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
RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

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

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 Global Contrarian Stock Index Program uses a contrarian approach that predicts short and intermediate term market extremes. The Program consists of multiple models that trade across a variety of equity markets across the globe and was launched April 2017.

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 proactive and reactive. Proactive risk controls include limits on leverage and scaling of positions appropriate to investor volatility and return objectives. Our typical exposure is approximately 1/4 of maximum exposure, and at times, the strategy can be completely out of the market. Proactive risk control is further provided by strategy diversification. Reactive risk controls include a stop loss on positions.

   

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%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-23.87 21 - 8/1/2017 5/1/2019
-0.08 1 1 4/1/2017 5/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
6.04 3 7/1/2018 9/1/2018
4.17 4 1/1/2019 4/1/2019
4.11 4 6/1/2019 9/1/2019
3.51 2 3/1/2018 4/1/2018
2.08 3 11/1/2017 1/1/2018
1.18 3 6/1/2017 8/1/2017
0.92 1 11/1/2018 11/1/2018
0.10 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.05 1 10/1/2018 10/1/2018
-9.56 1 2/1/2018 2/1/2018
-6.41 1 5/1/2019 5/1/2019
-3.88 1 12/1/2018 12/1/2018
-2.74 2 5/1/2018 6/1/2018
-2.70 2 9/1/2017 10/1/2017
-0.88 1 10/1/2019 10/1/2019
-0.08 1 5/1/2017 5/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods31.0029.0026.0020.0014.00
Percent Profitable67.7444.8315.380.000.00
Average Period Return-0.66-2.12-5.11-11.77-17.04
Average Gain1.042.202.94
Average Loss-4.23-5.62-6.58-11.77-17.04
Best Period3.256.045.27-1.69-2.95
Worst Period-16.05-18.56-15.80-21.35-22.46
Standard Deviation3.845.796.125.775.13
Gain Standard Deviation0.911.662.61
Loss Standard Deviation5.145.585.395.775.13
Sharpe Ratio (1%)-0.19-0.41-0.92-2.21-3.62
Average Gain / Average Loss0.250.390.45
Profit / Loss Ratio0.520.320.08
Downside Deviation (10%)3.836.489.6417.6925.12
Downside Deviation (5%)3.705.938.1213.9519.19
Downside Deviation (0%)3.675.797.7513.0517.74
Sortino Ratio (10%)-0.28-0.52-0.79-0.95-0.98
Sortino Ratio (5%)-0.20-0.40-0.69-0.92-0.97
Sortino Ratio (0%)-0.18-0.37-0.66-0.90-0.96

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 8 2.94 6/2019

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