Paskewitz Asset Management LLC : Multi-strategy Futures Program

Year-to-Date
4.75%
Jun Performance
-0.23%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.22%
Sharpe (RFR=0.50%)
-0.21
CAROR
-1.80%
Assets
$ 20.0M
Worst DD
-28.52
S&P Correlation
0.33

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
5/2010
Multi-strategy Futures Program -0.23 -1.46 -4.75 -1.89 -1.95 -22.35 - -12.18
S&P 500 0.33 2.41 8.08 15.29 23.44 77.64 - 122.07
+/- S&P 500 -0.56 -3.87 -12.83 -17.18 -25.39 -99.99 - -134.26

Strategy Description

Summary

The PAM Multi-strategy Futures Program employs contrarian, trend-following and short-term momentum models to identify and take advantage of investment opportunities in 35 liquid futures markets around the world.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1700 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
1.88%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
15.00%
1-30 Days
85.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
34.00%
Momentum
33.00%
Trend-following
33.00%
Strategy Pie Chart

Composition

Stock Indices
25.00%
Interest Rates
20.00%
Precious Metals
15.00%
Currency Futures
10.00%
Energy
10.00%
Livestock
10.00%
Grains
10.00%
Composition Pie Chart

Summary

The PAM Multi-strategy Futures Program employs contrarian, trend-following and short-term momentum models to identify and take advantage of investment opportunities in 35 liquid futures markets around the world.

Investment Strategy

The Multi-strategy Futures Program contains three different types of models: contrarian, trend-following and short-term momentum. The combination of these three classes of systematic strategies takes advantage of the demonstrated negative correlation that the existing S&P program has with other asset classes and indices of strategy types. Combining these three types of uncorrelated trading strategies all into a single program provides an enhanced diversification benefit. For example, if an investor were to allocate to two separate uncorrelated managers, the first of which earns 10% in a quarter and the second of which loses 10%, the investor would pay an incentive fee to one manager even though their overall portfolio was flat for the quarter. Our Multi-strategy Futures Program clients avoid this netting risk by gaining exposure to multiple trading methodologies in a single product. In the Multi-strategy Futures Program, about 35% of an investor’s margin is allocated to contrarian models, the same type used in the current S&P program. These models look to buy into oversold and sell into overbought markets on a short-term basis. The balance of investor capital participates in trend-following and short-term momentum strategies. Trend-following models predict and participate in larger market moves, buying when the market has momentum to the upside and selling when the market has momentum to the downside. The short-term momentum models use underlying logic that is similar to the trend-following models but on a much smaller time scale. All three strategy classes used by the Program are diversified in the patterns the models use to decide when to enter and exit the market as well as the time horizon over which they are investing

   

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=0.50%)
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=0.50%)
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
-28.52 52 - 10/1/2011 2/1/2016
-5.65 4 1 2/1/2011 6/1/2011
-1.88 1 1 5/1/2010 6/1/2010
-0.83 1 1 7/1/2011 8/1/2011
-0.03 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
13.04 6 7/1/2010 12/1/2010
12.33 6 12/1/2014 5/1/2015
12.32 3 6/1/2012 8/1/2012
7.05 2 9/1/2011 10/1/2011
6.52 1 7/1/2011 7/1/2011
5.45 1 3/1/2016 3/1/2016
4.34 3 7/1/2016 9/1/2016
2.59 1 11/1/2013 11/1/2013
2.03 1 5/1/2016 5/1/2016
1.97 1 7/1/2015 7/1/2015
1.78 1 1/1/2013 1/1/2013
1.50 1 2/1/2011 2/1/2011
1.49 1 9/1/2014 9/1/2014
1.48 1 4/1/2011 4/1/2011
1.39 1 12/1/2015 12/1/2015
1.38 1 11/1/2016 11/1/2016
1.34 1 5/1/2010 5/1/2010
1.07 1 10/1/2015 10/1/2015
1.06 1 4/1/2013 4/1/2013
0.77 1 2/1/2014 2/1/2014
0.69 1 1/1/2012 1/1/2012
0.24 1 6/1/2014 6/1/2014
0.09 1 8/1/2013 8/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.46 4 2/1/2012 5/1/2012
-9.09 3 5/1/2013 7/1/2013
-8.30 2 1/1/2016 2/1/2016
-7.94 2 12/1/2013 1/1/2014
-6.72 3 3/1/2014 5/1/2014
-5.32 7 12/1/2016 6/1/2017
-5.13 2 11/1/2011 12/1/2011
-4.91 2 8/1/2015 9/1/2015
-4.15 4 9/1/2012 12/1/2012
-3.73 2 5/1/2011 6/1/2011
-3.65 1 6/1/2016 6/1/2016
-3.43 1 3/1/2011 3/1/2011
-3.03 2 9/1/2013 10/1/2013
-2.29 2 10/1/2014 11/1/2014
-2.04 1 10/1/2016 10/1/2016
-1.88 1 6/1/2010 6/1/2010
-1.84 2 7/1/2014 8/1/2014
-1.65 1 6/1/2015 6/1/2015
-1.05 2 2/1/2013 3/1/2013
-0.88 1 11/1/2015 11/1/2015
-0.83 1 8/1/2011 8/1/2011
-0.73 1 4/1/2016 4/1/2016
-0.03 1 1/1/2011 1/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods86.0084.0081.0075.0069.0063.0051.0039.0027.00
Percent Profitable44.1941.6740.7440.0036.2330.169.800.000.00
Average Period Return-0.12-0.36-0.74-2.19-4.09-6.16-12.43-17.55-15.89
Average Gain2.113.985.686.235.635.825.38
Average Loss-1.88-3.45-5.16-7.81-9.62-11.33-14.37-17.55-15.89
Best Period8.6512.3213.0412.7721.6914.6514.07-8.90-3.14
Worst Period-7.30-9.09-13.47-20.13-22.59-24.81-27.44-24.14-24.81
Standard Deviation2.664.436.548.489.9810.449.044.166.65
Gain Standard Deviation1.882.753.803.795.574.425.04
Loss Standard Deviation1.682.263.745.557.347.647.034.166.65
Sharpe Ratio (1%)-0.06-0.11-0.15-0.32-0.49-0.69-1.54-4.70-2.77
Average Gain / Average Loss1.121.151.100.800.590.510.37
Profit / Loss Ratio0.890.820.760.530.330.220.04
Downside Deviation (10%)2.113.976.5410.8515.1319.3929.5839.3144.01
Downside Deviation (5%)1.903.225.057.7110.1112.0816.4619.9919.54
Downside Deviation (0%)1.883.144.897.399.6211.3815.1618.0217.18
Sortino Ratio (10%)-0.25-0.40-0.49-0.66-0.77-0.85-0.95-0.99-0.99
Sortino Ratio (5%)-0.08-0.15-0.20-0.35-0.48-0.59-0.85-0.98-0.94
Sortino Ratio (0%)-0.06-0.11-0.15-0.30-0.43-0.54-0.82-0.97-0.93

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 6 3.98 9/2016
Systematic Trader Index Month 9 3.98 9/2016
Diversified Trader Index Month 6 2.03 5/2016
IASG CTA Index Month 7 5.45 3/2016
Diversified Trader Index Month 8 5.45 3/2016
Diversified Trader Index Month 10 3.04 4/2015
Systematic Trader Index Month 6 8.65 6/2012
Diversified Trader Index Month 6 8.65 6/2012
Systematic Trader Index Month 9 6.14 10/2011
Diversified Trader Index Month 9 6.14 10/2011
IASG CTA Index Sharpe 7 3.02 2009 - 2010

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