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
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 Index | Barclay CTA Index | |
|---|---|---|---|
| 2021 YTD | -0.83 | 5.77 | 2.10 |
| 2020 | 8.72 | 16.26 | 5.45 |
| 2019 | 2.48 | 28.88 | 5.17 |
| 2018 | -19.10 | -6.24 | -3.17 |
| 2017 | 4.66 | 19.42 | 0.70 |
| 2016 | 3.70 | 9.54 | -1.23 |
| 2015 | 12.68 | -0.73 | -1.50 |
| 2014 | 2.34 | 11.39 | 7.61 |
| 2013 | -6.09 | 29.60 | -1.42 |
| 2012 | 6.08 | 13.40 | -1.70 |
| 2011 | 8.01 | 0.00 | -3.09 |
| 2010 | -6.77 | 12.78 | 7.05 |
| 2009 | 3.02 | 23.45 | -0.10 |
| 2008 | 32.36 | -38.49 | 14.09 |
| 2007 | 39.19 | 3.53 | 7.64 |
| 2006 | 38.98 | 13.62 | 3.54 |
| 2005 | 14.06 | 3.00 | 1.71 |
| 2004 | 17.30 | 8.99 | 3.30 |
| 2003 | -0.14 | 5.08 | 3.43 |
| Contrarian 500 | S&P 500 | Barclay CTA | |
| Annualized Return | 8.26% | 7.93% | 2.76% |
Performance & Risk Statistics
| Contrarian 500 (Net) | S&P 500 Index | Barclay CTA Index | |
|---|---|---|---|
| Cumulative Return | 318.97% | 295.13% | 61.30% |
| Annualized Return | 8.57% | 8.21% | 2.78% |
| Average Monthly Return | 0.77% | 0.75% | 0.24% |
| Annualized Volatility | 14.31% | 14.36% | 5.26% |
| Sharpe Ratio | 0.59 | 0.57 | 0.51 |
| Sortino Ratio | 0.78 | 0.70 | 0.97 |
| 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) | 0.04 | 0.09 | - |
| % of Positive Months | 61.24% | 65.55% | 53.59% |
| Maximum Drawdown | -26.41% | -52.56% | -9.91% |
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | S&P 500 | CTA * | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 1.08 | -2.03 | -1.02 | -1.98 | 5.77 | 2.10 | |||||||||
| 2020 | 0.78 | 3.40 | 11.00 | -0.40 | 1.21 | 1.05 | 1.25 | -1.60 | -3.27 | 0.26 | -3.34 | 2.16 | 12.40 | 16.26 | 5.45 |
| 2019 | -0.18 | -0.10 | 0.17 | -2.70 | -0.63 | -3.42 | n/a | n/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.