Paskewitz Asset Management

(Multi-Strategy Futures)

Fund Investment Objectives

The Multi-Strategy Futures Program contains three different types of models: contrarian, trend-following and short-term momentum. The combination of these three classes of systematic strategies takes advantage of the demonstrated negative correlation that the existing S&P program has with other asset classes and indices of strategy types. Combining these three types of uncorrelated trading strategies all into a single program provides an enhanced diversification benefit. For example, if an investor were to allocate to two separate uncorrelated managers, the first of which earns 10% in a quarter and the second of which loses 10%, the investor would pay incentive fee to one manager even though their overall portfolio was flat for the quarter. Our Multi-strategy Futures Program clients avoid this netting risk by gaining exposure to multiple trading methodologies in a single product. In the Multi-strategy Futures Program, about 33% of an investor's capital is allocated to contrarian models, the same type used in the current S&P program. These models look to buy into oversold and sell into overbought markets on a short-term basis. The balance of investor capital participates in trend-following and short-term momentum strategies. Trend-following models predict and participate in larger market moves, buying when the market has momentum to the upside and selling when the market has momentum to the downside. The short-term momentum models use underlying logic that is similar to the trend-following models but on a much smaller time scale. All three strategy classes used by the Program are diversified in the patterns the models use to decide when to enter and exit the market as well as the time horizon over which they are investing.