About Paskewitz Asset Management

Summary: The program uses multiple contrarian range identification models, trading only emini S&P futures. It is 100% systematic and trade decisions are 100% technically based. Stop/losses are used based on cumulative drawdown of net portfolio position. Margin usage can range from 11 to 37% (a spike to 37% is very rare- happens about 3X/year). Average trade length is 7 days. Trades are executed electronically with NewEdge and then given up at $.75 a side. Largest drawdown was 11.3% peak to valley from Jan to April of 2007. AUM are $202.83MM . No DDoc is currently available as they are 4.7 exempt. Fee structure is 2X20%. Round turns per million are 1,800. Program has earned over 25% with a standard deviation of about 16.2% and sharpe ratio of 1.57 since inception in 2003. The program would be shut down until the close of the following trading day if a drawdown of 21% was reached. There is currently one trader doing executions with one as backup if anything were to happen to the main trader.

Description from Autumngold:
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 Strategy
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.

For more information or to request a disclosure document please contact your representative at Managed Capital Advisory Group, Ltd. This report does not take into account the investment objectives, financial situation, or particular needs of any particular person. Investing in securities and other financial products entails certain risks, including the possible loss of the entire principal amount invested. Certain investments in particular, including those involving structured products, futures, options, and other derivatives, are complex, may entail substantial risk, and are not suitable for all investors. The price and value of, and income produced by, securities and other financial products may fluctuate and may be adversely impacted by exchange rates, interest rates, or other factors. Prior to effecting any transaction in options or options-related products, investors should read and understand the current Options Clearing Corporation Disclosure Document, a copy of which may be obtained on request from your Managed Capital Advisory Group, Ltd. representative. Certain securities may not be registered with, or subject to the reporting requirements of, the US Securities and Exchange Commission or any comparable regulatory authority. Information available on such securities may be limited. Investors should obtain advice from their own tax, financial, legal, and other advisors and only make investment decisions on the basis of the investor’s own objectives, experience, and resources.

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