Custom
Portfolio Study
PAMCO - $25 Million Hypothetical Portfolio
January 2005 - December 2007
THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THESE TRADING ADVISORS HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY MULTI-ADVISOR MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED.
ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF TRADING ADVISORS AND THE ALLOCATION OF ASSETS AMONG THOSE TRADING ADVISORS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADING ADVISORS. THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.
| Annual Returns |
| |
|
2005 |
2006 |
2007 |
Cumulative |
Inception |
% Profitable |
| $25MM Model Portfolio |
18.08% |
26.19% |
26.94% |
84.44% |
23.67% |
69.44% |
| S&P 500 TR |
4.91% |
15.79% |
5.49% |
29.05% |
8.62% |
69.44% |
| Barclay CTA Index |
1.71% |
3.54% |
7.57% |
11.90% |
4.25% |
58.33% |
| Benchmark Analysis |
| |
Alpha |
Beta |
R |
R-square |
Tracking |
Info. Ratio |
| S&P 500 TR |
|
16.66% |
0.77 |
0.49 |
0.24 |
11.64% |
1.29 |
| Barclay CTA Index |
1.17% |
1.86 |
0.87 |
0.75 |
9.49% |
2.05 |
| Description |
|
Return |
Std. Dev |
Sharpe |
Down Dev. |
Sortino RF |
Drawdown |
| $25MM Model Portfolio |
23.67% |
12.37% |
1.40 |
5.26% |
3.16 |
-8.20% |
| S&P 500 TR |
8.62% |
7.79% |
0.49 |
5.14% |
0.68 |
-4.85% |
| Barclay CTA Index |
4.25% |
5.75% |
-0.08 |
4.04% |
-0.16 |
-5.08% |
Cumulative
Returns
Statistical Analysis
The asset allocation
is comprised of managers whose minimum account size would enable investors to
meet the minimum investment requirements without utilizing notional funds. The
data for the asset allocation encompasses the last 36 months of returns.
$25 Million Manager
Allocation
The chart below
measures the performance of the hypothetical portfolio versus "Indices"
representing various asset classes for the most recent 36 months of performance
data.
Annualized Returns -
Portfolio vs Benchmarks
The chart below
compares the risk and return of the sample portfolio against selected
benchmarks representing traditional and non-traditional asset classes.
Risk / Return
Analysis
The chart below
illustrates the distributions of monthly returns of the Sample Portfolio for
the most recent 36 months of performance data.
Distribution of Monthly
Returns
The drawdown analysis
chart measures the maximum drawdown experienced by the fund for the past 36
months of performance history. Generally speaking "Drawdown Analysis" is used
as a guide to determine the amount of risk or volatility the fund has
experienced.
Drawdown
Analysis: January 2005 - December 2007
Standard deviation
measures the variation of returns around the mean of investment returns. The
higher the volatility of returns, the higher standard deviation will be.
Generally speaking standard deviation is used as a "risk" or "volatility"
measurement.
Risk (Volatility)
Analysis
Proposed Custom Hypothetical
Portfolio
$25 Million Hypothetical Portfolio Proforma
January 2005
- December 2007
| |
Beginning |
Additions |
Profit |
Ending |
Period |
Cumulative |
|
| Date |
Equity |
Withdrawals |
Loss |
Equity |
Return |
Return |
Vami |
| Jan-2005 |
$25,000,000.00 |
0.00 |
-$1,199,050 |
$23,800,950 |
-4.80% |
-4.80% |
952.04 |
| Feb-2005 |
$23,800,950.00 |
0.00 |
$206,188 |
$24,007,138 |
0.87% |
-3.97% |
960.29 |
| Mar-2005 |
$24,007,138.00 |
0.00 |
-$299,603 |
$23,707,535 |
-1.25% |
-5.17% |
948.30 |
| Apr-2005 |
$23,707,535.00 |
0.00 |
-$757,638 |
$22,949,897 |
-3.20% |
-8.20% |
918.00 |
| May-2005 |
$22,949,897.00 |
0.00 |
$874,227 |
$23,824,124 |
3.81% |
-4.70% |
952.96 |
| Jun-2005 |
$23,824,124.00 |
0.00 |
$265,645 |
$24,089,768 |
1.12% |
-3.64% |
963.59 |
| Jul-2005 |
$24,089,768.00 |
0.00 |
$598,671 |
$24,688,439 |
2.49% |
-1.25% |
987.54 |
| Aug-2005 |
$24,688,439.00 |
0.00 |
$555,876 |
$25,244,315 |
2.25% |
0.98% |
1,009.77 |
| Sep-2005 |
$25,244,315.00 |
0.00 |
$1,676,389 |
$26,920,704 |
6.64% |
7.68% |
1,076.83 |
| Oct-2005 |
$26,920,704.00 |
0.00 |
-$297,039 |
$26,623,666 |
-1.10% |
6.49% |
1,064.95 |
| Nov-2005 |
$26,623,666.00 |
0.00 |
$2,123,738 |
$28,747,404 |
7.98% |
14.99% |
1,149.90 |
| Dec-2005 |
$28,747,404.00 |
0.00 |
$772,417 |
$29,519,821 |
2.69% |
18.08% |
1,180.79 |
| Jan-2006 |
$29,519,821.00 |
0.00 |
$2,047,620 |
$31,567,441 |
6.94% |
26.27% |
1,262.70 |
| Feb-2006 |
$31,567,441.00 |
0.00 |
-$1,075,782 |
$30,491,659 |
-3.41% |
21.97% |
1,219.67 |
| Mar-2006 |
$30,491,659.00 |
0.00 |
$1,786,154 |
$32,277,813 |
5.86% |
29.11% |
1,291.11 |
| Apr-2006 |
$32,277,813.00 |
0.00 |
$3,452,053 |
$35,729,866 |
10.69% |
42.92% |
1,429.19 |
| May-2006 |
$35,729,866.00 |
0.00 |
$566,807 |
$36,296,674 |
1.59% |
45.19% |
1,451.87 |
| Jun-2006 |
$36,296,674.00 |
0.00 |
-$859,173 |
$35,437,501 |
-2.37% |
41.75% |
1,417.50 |
| Jul-2006 |
$35,437,501.00 |
0.00 |
-$665,326 |
$34,772,175 |
-1.88% |
39.09% |
1,390.89 |
| Aug-2006 |
$34,772,175.00 |
0.00 |
$381,020 |
$35,153,194 |
1.10% |
40.61% |
1,406.13 |
| Sep-2006 |
$35,153,194.00 |
0.00 |
$61,619 |
$35,214,813 |
0.18% |
40.86% |
1,408.59 |
| Oct-2006 |
$35,214,813.00 |
0.00 |
$869,360 |
$36,084,173 |
2.47% |
44.34% |
1,443.37 |
| Nov-2006 |
$36,084,173.00 |
0.00 |
$994,824 |
$37,078,997 |
2.76% |
48.32% |
1,483.16 |
| Dec-2006 |
$37,078,997.00 |
0.00 |
$173,458 |
$37,252,455 |
0.47% |
49.01% |
1,490.10 |
| Jan-2007 |
$37,252,455.00 |
0.00 |
$732,494 |
$37,984,948 |
1.97% |
51.94% |
1,519.40 |
| Feb-2007 |
$37,984,948.00 |
0.00 |
-$310,969 |
$37,673,979 |
-0.82% |
50.70% |
1,506.96 |
| Mar-2007 |
$37,673,979.00 |
0.00 |
-$399,206 |
$37,274,773 |
-1.06% |
49.10% |
1,490.99 |
| Apr-2007 |
$37,274,773.00 |
0.00 |
$1,547,585 |
$38,822,358 |
4.15% |
55.29% |
1,552.89 |
| May-2007 |
$38,822,358.00 |
0.00 |
$701,874 |
$39,524,232 |
1.81% |
58.10% |
1,580.97 |
| Jun-2007 |
$39,524,232.00 |
0.00 |
$1,308,949 |
$40,833,182 |
3.31% |
63.33% |
1,633.33 |
| Jul-2007 |
$40,833,182.00 |
0.00 |
-$277,417 |
$40,555,765 |
-0.68% |
62.22% |
1,622.23 |
| Aug-2007 |
$40,555,765.00 |
0.00 |
-$837,917 |
$39,717,847 |
-2.07% |
58.87% |
1,588.71 |
| Sep-2007 |
$39,717,847.00 |
0.00 |
$3,122,127 |
$42,839,974 |
7.86% |
71.36% |
1,713.60 |
| Oct-2007 |
$42,839,974.00 |
0.00 |
$2,841,036 |
$45,681,011 |
6.63% |
82.72% |
1,827.24 |
| Nov-2007 |
$45,681,011.00 |
0.00 |
$427,755 |
$46,108,766 |
0.94% |
84.44% |
1,844.35 |
| Dec-2007 |
$46,108,766.00 |
0.00 |
$1,180,078 |
$47,288,844 |
2.56% |
89.16% |
1,891.55 |
Important
Notes
The risk of loss in trading commodities can be substantial. You should therefore carefully consider
whether such trading is suitable for you in light of your financial condition.
Performance numbers were calculated by combining "net return data" provided
by the managers. All information contained in this report is based upon information obtained from specific
CTA disclosure documents, fund prospectuses, or the CTAs themselves.
While the information is believed to be reliable, we cannot guarantee its completeness or accuracy and may be based on unaudited numbers.
The construction of this portfolio was accomplished without "notional" funding. It
should also be added that none of the portfolio studies provided for "rebalancing".
The individual CTA data that this portfolio report was constructed from is net of all management fees, commisions and performance incentives.
Management fees were as high as 4% and perfomance incentives were as high as 25%.
This report does not constitute a solicitation to invest in any program included herein. Prior
to making an investment in a trading program, one should carefully study the appropriate disclosure document required
by the CFTC. This reports is designed to provide readers with accurate and objective information in regard to managed
futures investments. It is offered with the understanding that the publisher is not engaged in rendering legal, financial,
brokerage, or other professional advice. If legal or other expert assistance is required, the services of a competent
professional should be sought.
All information provided on these pages is for fair use. Normal copyright protections
apply to all commercial use of any documents or information. Primary Assets Management Corporation are not responsible for any loss due to inaccuracies in the information
provided. Nothing presented here should be construed as investment advice or recommendations.
Although adding Managed Futures investments to a portfolio may provide diversification, Managed Futures
investments are not a hedging mechanism; there is no guarantee that Managed Futures investments will appreciate
during periods of inflation or stock and bond market declines.
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