Strategy Comment 05/2017
The PAM Alpha Fund Strategy (L/S) is now in its 14th year of trading with annualized returns after fees of +11.56% and a Sharpe ratio of +0.78. The Long-Short approach earned +1.55% net in May 2017, bringing us to +2.55% net YTD for calendar year 2017. In the same period the PAM Long Only Fund Strategy (L/C) realized annualized returns after fees of +7.71% and a Sharpe ratio of +0.88. The Long-Cash approach earned +1.52% net in May 2017, bringing us to +4.20% 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.
The month of May featured generally upward price action and low volatility. As we have stated in prior comments, our PAM Strategies tend 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).