Multi-Strategy Futures Program

Objective

The program, which began trading in 2010, trades 35 liquid futures market contracts across a diversified range of sectors, including financials, metals, energy, and agriculturals, with the objective of achieving consistent capital growth that is uncorrelated with major global investment indices to add diversification to most portfolios.

Investment Strategy

The Multi-Strategy Futures Program contains three different types of models: Contrarian, Trend-following and Short-term momentum.

Contrarian models buy into oversold and sell into overbought markets on a short-term basis.

Trend-following models predict larger market moves, buying when the market has upside momentum and selling when the market has downside momentum.

The short-term momentum models use underlying logic that is similar to the trend-following models but on a much smaller time scale.

Risk control is both pro-active and reactive. Pro-active risk controls include diversification by contract; limits on leverage (2.2x); positions sized appropriately to investor risk tolerance; diversification by strategy, and at times, the program can be completely out of the market.

Past performance is not necessarily indicative of future results.

Risk/Return Comparison

Investment Strategy History

Brad Paskewitz began developing futures forecasting models in 1987.

  • Mr. Paskewitz established several trading desks and oversaw systematic trading teams that utilized techniques such as neural networks, statistical pattern recognition, genetic algorithms, and data visualizations.
  • Leveraging his decades of research and trading experience, Mr. Paskewitz started his own firm and launched the Contrarian 500 program in December 2003 under the name of Paskewitz Asset Management, a registered Commodity Trading Advisor.
  • The original design was based on three (3) contrarian models largely driven by pattern recognition.
  • Our models leverage machine learning to adapt to new information and market conditions, providing investors the potential for a robust return over long-term.

RETURNS

Growth of 10k

Drawdowns

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 Return318.97%295.13%61.30%
Annualized Return8.57%8.21%2.78%
Average Monthly Return0.77%0.75%0.24%
Annualized Volatility14.31%14.36%5.26%
Sharpe Ratio0.590.570.51
Sortino Ratio0.780.700.97
Alpha (vs. S&P 500)7.82%-2.44%
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 Months61.24%65.55%53.59%
Maximum Drawdown-26.41%-52.56%-9.91%

Monthly Returns

 JanFebMarAprMayJunJulAugSepOctNovDecYTDS&P 500Barclay CTA
2020-0.56-1.096.03-0.19-4.10-0.37-0.55-4.041.21
20190.830.440.57-0.02-1.151.370.15-1.37-0.98-1.720.62-2.54-3.8128.885.17
2018-3.75-4.16-0.21-2.32-1.220.230.392.72-2.08-5.320.12-0.58-15.28-6.24-3.17
2017-0.34-2.42-0.61-0.14-1.09-0.230.72-0.30-0.42-0.64-1.860.08-7.0519.420.70
2016-7.03-1.375.45-0.732.03-3.650.080.273.98-2.041.38-0.60-2.809.54-1.23
20151.870.532.263.043.26-1.651.97-0.44-4.491.07-0.881.397.93-0.73-1.50
2014-4.610.77-2.45-2.50-1.930.24-0.69-1.161.49-1.04-1.260.81-11.8011.397.61
20131.78-0.61-0.441.06-7.30-1.49-0.450.09-1.66-1.392.59-3.49-11.0829.60-1.42
20120.69-4.70-0.83-1.14-4.168.651.921.43-0.07-1.01-0.87-2.25-2.9313.40-1.70
2011-0.031.50-3.431.48-1.26-2.516.55-0.830.866.14-3.26-1.932.730.00-3.09
20101.34-1.882.300.253.062.682.092.0312.405.987.20

PERFORMANCE DISCLOSURE

The historical performance presented from December, 2003 to December 31, 2019 reflects actual performance results that have been adjusted on a pro-forma basis to reflect an annual 2% management fee and an incentive fee of 20%. The performance information presented for the period after January 1, 2020 has been adjusted to reflect the actual fees charged to the program being offered. The management fees range from 0% to 1.5% and performance fees range from 5% 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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