Strategic Commodities Program

Objective

The Strategic Commodities Program (SCP) seeks portfolio diversification and strong capital appreciation that is uncorrelated with major market indices by exploiting both contrarian and persistent directional moves in the markets. The program trades exchange-listed futures contracts, which are taxed at more favorable rates than equities or fixed income securities.

Strategy Highlights

We have been trading the Strategic Commodities Program in our proprietary trading account live since August 2019 and now offer it to investors who want to add diversification to their portfolios through bidirectional exposure to commodities.

The program is positioned to capitalize on patterns of both persistent directionality and mean-reversion in the most liquid commodity markets including energy, metals, soft, and rates.

SCP employs a machine learning approach known as Swarm Intelligence to systematically monitor, rank, and rebalance between multiple purpose-built alpha-seeking trading strategies that exploit bullish and bearish market opportunities across multiple time frames and market complexes.

The breath of alpha styles, time frames, and markets available to the programs, paired with timely monitoring of alpha-source momentum, combine for a program capable of adapting 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.

The program uses a risk parity concept to construct portfolios, which produces, over time, a more balanced return profile across markets traded.

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

Past performance is not necessarily indicative of future results.

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

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 *
20211.08-2.03-1.02-1.985.772.10
20200.783.4011.00-0.401.211.051.25-1.60-3.270.26-3.342.1612.4016.265.45
2019-0.18-0.100.17-2.70-0.63-3.42n/an/a

* Barclay CTA Index

PERFORMANCE DISCLOSURE

The historical performance has been retroactively adjusted on a pro-forma basis to approximately reflect the fee structure of the program being offered, including an annual 2% management fee and an incentive fee of 20%. Pro forma performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between pro forma results and the actual results achieved by any particular trading program. One of the limitations of pro forma performance results is that they are generally prepared with the benefit of hindsight.

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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