Cross Asset Program

Objective

The program trades global stock indices in the U.S., Europe, and Asia, with the objective of achieving consistent capital growth that is uncorrelated with major global stock indices. The goals are to achieve consistent absolute returns in most market conditions and add diversification to most portfolios.

Investment Strategy

The Trading Program trades global stock indices in the U.S., Europe, and Asia, including distinct sectors of the indices, while hedging exposure with the S&P 500 volatility index.

It is a systematic program that employs multiple, automated models to take advantage of bullish and bearish market opportunities over short and intermediate time frames. The program leverages machine learning to adapt to market conditions.

The program has the ability to be profitable in both up and down markets.

Positions taken may be long, short, flat (no exposure) or a combination thereof based on our models.

Our strategy employs a quantitative discipline that adjusts exposures dynamically based on market conditions.

Risk controls include limits on market exposure, position-sizing using risk-parity, and diversification by sector and strategy.

RETURNS

Growth of 10k

Annual Returns vs S&P 500

 Contrarian
500 (Net)
S&P 500 IndexBarclay CTA Index
2021 YTD-0.835.772.10
20208.7216.265.45
20192.4828.885.17
2018-19.10-6.24-3.17
20174.6619.420.70
20163.709.54-1.23
201512.68-0.73-1.50
20142.3411.397.61
2013-6.0929.60-1.42
20126.0813.40-1.70
20118.010.00-3.09
2010-6.7712.787.05
20093.0223.45-0.10
200832.36-38.4914.09
200739.193.537.64
200638.9813.623.54
200514.063.001.71
200417.308.993.30
2003-0.145.083.43
Contrarian
500
S&P 500Barclay CTA
Annualized Return8.26%7.93%2.76%

Performance & Risk Statistics

 Contrarian 500 (Net)S&P 500 IndexBarclay CTA Index
Cumulative Return296%275%60%
Annualized Return8.26%7.93%2.76%
Average Monthly Return0.75%0.72%0.24%
Annualized Volatility14.29%14.36%5.27%
Sharpe Ratio0.570.550.51
Sortino Ratio0.750.680.96
Alpha (vs. S&P 500)7.57%-2.43%
Beta (vs. S&P 500)0.08-0.03
Correlation (vs. S&P 500)0.08-0.09
Correlation (vs. Barclay CTA)0.040.09-
% of Positive Months61%65%53%
Maximum Drawdown-26.41%-52.56%-9.91%

Monthly Returns

 JanFebMarAprMayJunJulAugSepOctNovDecYTDS&P 500CTA*
2021-1.481.23-0.31----------0.585.772.10
2020-0.60-1.8711.99-1.011.191.673.751.22-1.31-1.310.766.0021.5416.265.45
20191.56-2.12-0.47-0.771.44-0.408.40-0.04

* Barclay CTA Index

PERFORMANCE DISCLOSURE

The performance information presented has been adjusted to reflect the actual fees charged to the program being offered. The management fees range from 0% to 2% and performance fees range from 0% to 20%. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

DISCLAIMER

Past performance is not necessarily indicative of future results. The advisor’s trading program involves substantial risks and investments can be made on the basis of a trading advisory agreement. The risk of loss in trading commodities and futures can be substantial. PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS ACCOUNT DOCUMENT OR BROCHURE OF THE TRADING ADVISOR IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF THE COMMODITY TRADING ADVISORS DISCLOSURE INFORMATION. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS ACCOUNT.

Prior to May 2020, Strategic Capital Advisors, LLC was called Paskewitz Asset Management LLC.

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