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Recent Statistics
  • Apr Return: 0.31%
  • YTD Return: 0.99%
  • Annual CROR:1 11.43 %
  • Worst DD:2 -18.07%
  • Losing Streak:3 -0.03 %
  • Sharpe Ratio:4 0.74
  • Min Investment: $1,000,000
  • AUM:5 $187,000,000
  • Calmar Ratio:6 0.53
The manager invests exclusively in S&P 500 futures with the objective of achieving consistent capital growth, which is uncorrelated or negatively correlated with the CTA Index, the S&P 500 index, the U.S. Government Bond index, as well as all other major hedge fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios, and provide added-value as a diversification to portfolios that have other assets.


The fully-systematic contrarian program employs multiple models to forecast short and intermediate term tops and bottoms in the S&P 500 index, and then simultaneously generate trades, buying identified bottoms, and selling identified tops. The trading portfolio represents the net outcomes of the predictive sub-models. For example, if 2 of the sub-models wanted to buy, and 1 wanted to short, then the portfolio trade would be to "buy 1 unit", since the other buy and simultaneous short signals would be cancelled out.

This trading program targets net performance of 20% annually with volatility of 9%. It has an average holding period of about 7 trading days. It has extremely high liquidity due to the high daily trading volume of the S&P 500 futures, and estimated capacity of $1 billion.

Risk control is both pro-active and reactive. Pro-active risk controls include limits on leverage and scaling of positions appropriate to investor volatility and return objectives. Typical exposure is approximately 1/3 of maximum exposure, and at times, the strategy can be completely out of the market. Pro-active risk control is further provided by strategy diversification. Reactive risk controls include a stop loss on positions to assure that catastrophic losses are limited. The worst case scenario for this strategy is that an adverse large price gap occurs subsequent to the portfolio putting on a maximum exposure position.

Bradford Paskewitz has been developing and trading quantitative trading strategies since 1987, with a primary focus on the futures and equity markets. He has done this work at such firms as Banque Indosuez, Lehman Brothers, Credit Suisse, Schonfeld Securities and Bear Wagner. He now runs Paskewitz Asset Management (PAM) where strategy R&D is on-going focus. Over the entire course of a twenty year career in finance, he has focused on the problem of market price forecasting and has continually kept abreast of technological forecasting methods and techniques as they emerge, with the goal of remaining at the frontier of forecasting technology and implementation. His proprietary quantitative research infrastructure enables his strategy development process so that it can be leveraged to both U.S. and foreign futures and equity markets. PAM has been a registered CTA since January 2007 and Bradford Paskewitz is an Associated Person and Principal of PAM. Since 2003 he has also been CEO of Qualsolutions Inc., and later Quant Financial Consulting Inc. (QFC), which provide R&D and technical consulting services to PAM and outside clients. QFC has foreign teams located in Beijing and Zhengzhou China, and provides financial market consulting services using their select team of Chinese quants and programmers. From 1982-87, he worked as Director of R&D, at Electro-Catheter Corporation on an artificial heart project. He began his career at General Electric, with the Re-entry Systems Division conducting missile radar signal processing R&D (1980-82). His education includes a BS Electrical Engineering/Computer Science from Princeton University and an MS in Systems Engineering from the University of Pennsylvania.

Accounting Notes: The historical performance has been retroactively adjusted on a pro forma basis to approximately reflect the cost/fee structure of the program being offered. It reflects a management fee of 2% per annum, an incentive fee of 20% and leverage commensurate with the PAM S&P 3X Trading Program. One of the limitations of pro forma performance results is that they are generally prepared with the benefit of hindsight. AUM includes both discretionary and non-discretionary account assets.


  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
    Contrarian
  • Trading Style
    100% Contrarian
  • Market Allocation

  • Holding Period
    100% Short Term
  • Sector
    US
    Contracts
    Futures

Performance Adjusted for Management and Incentive Fees

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 1.02% -1.83% 1.51% 0.31%   0.99% -1.83%
2016 -6.79% 2.13% -1.00% 1.92% 0.50% 3.64% -0.36% 1.89% 3.10% -0.18% -0.24% -0.55% 3.7% -6.79%
2015 4.24% 0.96% 2.92% 1.09% 1.70% 0.46% 3.15% -5.34% 0.79% -1.37% -0.62% 4.42% 12.68% -6.48%
2014 0.16% -1.71% 2.61% 4.02% 0.35% -0.22% -0.47% 0.12% 2.07% -2.20% -1.77% -0.44% 2.34% -4.36%
2013 -4.89% 4.79% -1.00% 6.20% -3.97% 2.00% -9.11% -1.50% -4.04% 2.53% 1.31% 2.51% -6.09% -15.84%
2012 -2.91% -1.54% 2.83% 3.06% -4.36% 4.14% 1.80% -0.20% -0.52% 1.52% 0.74% 1.70% 6.08% -4.41%

Years200320042005200620072008
ROR-0.14%17.30%14.05%38.98%39.21%32.25%
Max DD-0.14%-4.09%-2.19%-3.95%-11.30%-8.42%

Years200920102011201220132014
ROR3.02%-6.60%8.01%6.08%-6.09%2.34%
Max DD-5.52%-12.18%-14.85%-4.41%-15.84%-4.36%

Years201520162017 YTD
ROR12.68%3.70%0.99%
Max DD-6.48%-6.79%-1.83%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Program Information
  • Start Date: Dec-2003
  • New Money: Yes
  • Min Investment: $1,000,000
  • Fund Minimum: $0
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0357257
  • Currency: US Dollars
  • AUM:5 $187,000,000
  • Annual CROR:1 : 11.43%
  • Worst Drawdown:2 -18.07 %
  • Losing Streak:3 -0.03 %
  • Sharpe Ratio:4 0.74
  • Calmar Ratio:6 0.53
  • Margin:7: 33%
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: NA
  • Avg Comm:8 $6.00 Per Round Turn
  • Max Comm:9:
  • Round Turns:10 1,800
Additional Information
  • Other Memberships: None Listed
  • Correlations: AG CTA Index: 0.025 | AG Systematic CTA Index: -0.004 |
  • Track Record Prepared By: NA

    Accounting Notes: The historical performance has been retroactively adjusted on a pro forma basis to approximately reflect the cost/fee structure of the program being offered. It reflects a management fee of 2% per annum, an incentive fee of 20% and leverage commensurate with the PAM S&P 3X Trading Program. One of the limitations of pro forma performance results is that they are generally prepared with the benefit of hindsight. AUM includes both discretionary and non-discretionary account assets.

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  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • ++Qualified Eligible Investors Only. A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

    Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT 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 ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

    RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

    THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.