Pawberry LLC : MultiStrat Program

Year-to-Date
14.60%
Jun Performance
-2.64%
Min Investment
$ 600k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.56%
Sharpe (RFR=1%)
0.72
CAROR
10.97%
Assets
$ 6.8M
Worst DD
-14.57
S&P Correlation
0.21

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
6/2017
MultiStrat Program -2.64 -2.64 14.60 11.41 31.26 - - 37.83
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 43.19
+/- S&P 500 -4.48 -22.59 18.64 6.02 4.44 - - -5.36

Strategy Description

Investment Strategy

The MultiStrat Program (“MultiStrat”) is a diversified portfolio of automated strategies that are designed to perform well across a broad spectrum of market conditions. Pawberry provides strategies with high edge, low correlation and properties that should exhibit conditional... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 600k
Trading Level Incremental Increase $ 600k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
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 420 RT/YR/$M
Avg. Margin-to-Equity 20%
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 100.00%
Intraday 0%

Decision-Making

Discretionary 15.00%
Systematic 85.00%

Strategy

Counter-trend
30.00%
Option-spreads
10.00%
Spreading/hedging
30.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The MultiStrat Program (“MultiStrat”) is a diversified portfolio of automated strategies that are designed to perform well across a broad spectrum of market conditions. Pawberry provides strategies with high edge, low correlation and properties that should exhibit conditional negative correlation. The MultiStrat allows clients to participate in all strategies developed by Pawberry. It currently trades three groups of strategies. The first two groups are trend following and reversion on the S&P 500 E-Mini. The third group of strategies takes advantage of the risk premiums in the Vix futures complex. Each group of strategies performs best in different market environments. As strategies are added in, the portfolio will be rebalanced to adjust for risk. Occasionally, options are traded to lower overall portfolio risk. The MultiStrat is Pawberry’s next generation version of its Combined Program which included only the trend following and reversion groups of the MultiStrat.

   

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
-14.57 3 18 8/1/2018 11/1/2018
-2.64 1 - 5/1/2020 6/1/2020
-2.17 1 2 2/1/2018 3/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
15.36 3 3/1/2020 5/1/2020
14.23 5 4/1/2018 8/1/2018
12.85 4 11/1/2017 2/1/2018
10.31 3 2/1/2019 4/1/2019
9.55 1 12/1/2018 12/1/2018
7.53 4 6/1/2017 9/1/2017
6.35 3 11/1/2019 1/1/2020
1.85 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.57 3 9/1/2018 11/1/2018
-9.51 4 7/1/2019 10/1/2019
-4.98 1 5/1/2019 5/1/2019
-4.25 1 1/1/2019 1/1/2019
-2.64 1 6/1/2020 6/1/2020
-2.17 1 3/1/2018 3/1/2018
-1.69 1 2/1/2020 2/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable64.8674.2962.5073.0865.00100.00
Average Period Return0.962.894.777.279.4713.43
Average Gain3.166.1911.0211.8217.1313.43
Average Loss-3.37-6.67-5.66-5.09-4.77
Best Period9.5515.3618.5529.1526.4329.23
Worst Period-12.75-14.57-12.43-11.40-9.501.13
Standard Deviation4.206.749.3311.4812.068.59
Gain Standard Deviation2.713.364.899.826.598.59
Loss Standard Deviation3.374.433.784.013.19
Sharpe Ratio (1%)0.210.390.460.550.661.33
Average Gain / Average Loss0.940.931.952.323.59
Profit / Loss Ratio1.882.683.256.316.67
Downside Deviation (10%)2.834.535.465.747.623.03
Downside Deviation (5%)2.694.104.373.704.100.23
Downside Deviation (0%)2.653.994.113.273.32
Sortino Ratio (10%)0.190.370.420.400.251.05
Sortino Ratio (5%)0.330.640.981.691.9448.76
Sortino Ratio (0%)0.360.721.162.222.85

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 2 6.70 5/2020
Systematic Trader Index Month 3 6.70 5/2020
IASG CTA Index Month 4 6.70 5/2020
Stock Index Trader Index Month 5 7.32 4/2020
Systematic Trader Index Month 6 7.32 4/2020
IASG CTA Index Month 7 7.32 4/2020
IASG CTA Index Month 7 7.32 4/2020
Systematic Trader Index Month 6 7.32 4/2020
Stock Index Trader Index Month 5 7.32 4/2020
Stock Index Trader Index Month 9 1.75 4/2019

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