Strategy Comment 09/2017
The PAM Alpha Fund Strategy (L/S) is now in its 14th year of trading with annualized returns after fees of +11.45% and a Sharpe ratio of +0.78 (RF=0). The Long-Short approach earned +0.38% net in September 2017, bringing us to +4.83% 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 +7.76% and a Sharpe ratio of +0.89 (RF=0). The Long-Cash (Long-Flat) approach earned +0.40% net in September 2017, bringing us to +7.40% 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.
3rd Quarter 2017: Volatility remained low in the third quarter and most major price movements were multi-day rallies. As we often state, our S&P(R) contrarian strategy tends to do well in volatile, zig-zag type market environments. For these reasons, the PAM Alpha and PAM Long Only Funds performed modestly in the third quarter with the Long Only slightly outperforming the Alpha Fund.
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).