Strategic Capital Advisors LLC : Multi-strategy Futures Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.55% Jun Performance -0.37% Min Investment $ 3,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.65% Sharpe (RFR=1%) -0.48 CAROR -3.47% Assets $ 10.0M Worst DD -43.05 S&P Correlation 0.22 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2010 Multi-strategy Futures Program -0.37 -0.37 -0.55 -5.09 -20.54 -28.34 -31.29 -29.93 S&P 500 1.84 19.95 -4.04 5.39 26.82 48.74 197.68 217.98 +/- S&P 500 -2.21 -20.32 3.49 -10.48 -47.36 -77.08 -228.97 -247.91 Strategy Description SummaryThe 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% Composition Stock Indices 25.00% Interest Rates 20.00% Precious Metals 15.00% Currency Futures 10.00% Energy 10.00% Grains 10.00% Livestock 10.00% SummaryThe 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 StrategyThe 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 Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -43.05 100 - 10/1/2011 2/1/2020 -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 Show More 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 6.03 1 3/1/2020 3/1/2020 5.45 1 3/1/2016 3/1/2016 4.34 3 7/1/2016 9/1/2016 3.36 3 6/1/2018 8/1/2018 2.59 1 11/1/2013 11/1/2013 2.10 5 11/1/2018 3/1/2019 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 1.52 2 6/1/2019 7/1/2019 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 0.72 1 7/1/2017 7/1/2017 0.69 1 1/1/2012 1/1/2012 0.62 1 11/1/2019 11/1/2019 0.24 1 6/1/2014 6/1/2014 0.09 1 12/1/2017 12/1/2017 0.09 1 8/1/2013 8/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.02 5 1/1/2018 5/1/2018 -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 -7.29 2 9/1/2018 10/1/2018 -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 -4.64 3 4/1/2020 6/1/2020 -4.15 4 9/1/2012 12/1/2012 -4.14 3 12/1/2019 2/1/2020 -4.02 3 8/1/2019 10/1/2019 -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 -3.19 4 8/1/2017 11/1/2017 -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 -1.17 2 4/1/2019 5/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods121.00120.00117.00111.00105.0099.0087.0075.0063.00 Percent Profitable42.1540.0033.3327.9327.6220.208.051.331.59 Average Period Return-0.26-0.70-1.57-3.78-6.10-8.57-13.61-17.48-19.78 Average Gain1.863.915.776.575.405.954.6613.780.35 Average Loss-1.81-3.78-5.24-7.78-10.49-12.25-15.21-17.90-20.10 Best Period8.6529.5730.8316.6821.6914.6514.0713.780.35 Worst Period-7.30-25.40-25.26-29.54-29.93-24.81-27.44-25.72-32.32 Standard Deviation2.505.467.038.349.619.548.785.517.05 Gain Standard Deviation1.864.635.604.175.624.354.54 Loss Standard Deviation1.613.424.245.646.766.487.084.156.62 Sharpe Ratio (1%)-0.14-0.17-0.29-0.57-0.79-1.11-1.90-3.91-3.53 Average Gain / Average Loss1.031.031.100.840.520.490.310.770.02 Profit / Loss Ratio0.750.690.550.330.200.120.030.010.00 Downside Deviation (10%)2.084.707.1911.8916.5821.0730.6439.4147.92 Downside Deviation (5%)1.884.085.818.8511.7013.9818.7522.2025.84 Downside Deviation (0%)1.843.945.498.1510.6012.3616.0718.2520.98 Sortino Ratio (10%)-0.32-0.41-0.56-0.74-0.83-0.89-0.96-0.99-0.99 Sortino Ratio (5%)-0.18-0.23-0.36-0.54-0.65-0.76-0.89-0.97-0.96 Sortino Ratio (0%)-0.14-0.18-0.29-0.46-0.58-0.69-0.85-0.96-0.94 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 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. x {{title}} x {{title}} Add Cancel