Strategy Comment 07/2017
The PAM Alpha Fund Strategy (L/S) is now in its 14th year of trading with annualized returns after fees of +11.44% and a Sharpe ratio of +0.78. The Long-Short approach earned -0.13% net in July 2017, bringing us to +2.93% net YTD for calendar year 2017.
The PAM Long Only Strategy (L/C) is now in its 14th year of trading with annualized returns after fees of +7.71% and a Sharpe ratio of +0.89. The Long-Cash (Long-Flat) approach earned +0.57% net in July 2017, bringing us to +5.58% net YTD for calendar year 2017.
Over the last two years, both strategy approaches have significantly outperformed the industry in an uncorrelated way. In 2015, the L/S program earned +12.69%, the L/C program +6.09% compared to -1.50% as reported by the Barclay CTA(R) Index. In 2016, the L/S program earned +3.70%, the L/C program +2.63% compared to -0.90% for the Barclay CTA(R) Index.
July´s price action can be characterized by a low volatility upward trend extending through the entire month. Looking forward to increasing volatility during the month of August. As we have stated in prior comments, our PAM Strategy tends to do well in a volatile, zig-zag type of market environment.
All in all, our thesis that the end of QE would restore our S&P 500(R) performance was proven out in 2015 and we expect going forward that performance will remain strong whether or not we face a bull or bear market in the world´s most liquid index, the S&P 500(R).