Strategy Comment 12/2017
The PAM Alpha Fund Strategy (L/S) is now in its 15th year of trading with annualized returns after fees of +11.22% and a Sharpe ratio of +0.77 (RF=0). The Long-Short approach earned -0.05% net in December 2017, bringing us to +4.64 net YTD for calendar year 2017. The PAM Long Only Fund Strategy (L/S) is now in its 15th year of trading with annualized returns after fees of +7.65% and a Sharpe ratio of +0.89 (RF=0). The Long-Flat approach earned -0.19% net in December 2017, bringing us to +7.87 net YTD for calendar year 2017.
2017 was a very strong year for the S&P 500. In addition to that, it was very consistently up also on a monthly basis. VIX levels remained extremely low for much of the year.
Our PAM Alpha Program (Long/Short) was able to perform positively during this time with our PAM Long Only Program (Long/Flat) outperforming our flagship S&P Contrarian Program.
Our results were fairly predictable throughout the year and let us achieve new equity highs steadily throughout the year without any material drawdowns.
Due to the long and consistently positive price movements most months, our short trading overall suffered somewhat while our long signals were successful.
That is the reason why the PAM Long Only Strategy outperformed the PAM Alpha Strategy.
Looking ahead to 2018, we believe that VIX/Volatility of the market will increase and the S&P market will exhibit more zig zag price action which should be more favorable for both of our strategies.