Abelian Capital Management : Global Diversified Program

archived programs
Year-to-Date
N / A
Apr Performance
-0.65%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.13%
Sharpe (RFR=1%)
1.58
CAROR
-
Assets
$ 3.5M
Worst DD
-6.23
S&P Correlation
0.00

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
9/2006
Global Diversified Program -0.65 - - - - - - 38.07
S&P 500 4.75 - - - - - - 142.26
+/- S&P 500 -5.40 - - - - - - -104.19

Strategy Description

Summary

-The Abelian Global Diversified Program is a multi-strategy product traded across a diverse range of markets found on both domestic and international exchanges. The strength of the Program lies in the Abelian Risk Allocation Framework (ARAF). The ARAF is built directly into the trading... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $15.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

-The Abelian Global Diversified Program is a multi-strategy product traded across a diverse range of markets found on both domestic and international exchanges. The strength of the Program lies in the Abelian Risk Allocation Framework (ARAF). The ARAF is built directly into the trading systems, unifying the system's trend detection models with risk management. The ARAF is unique in that it determines position sizes based on the risk associated with each market rather than profit targets or the face value of contracts. Risk is constantly measured throughout the life of each trade and redistributed across the portfolio as needed.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.23 2 1 6/1/2007 8/1/2007
-3.19 2 - 2/1/2008 4/1/2008
-2.27 2 1 1/1/2007 3/1/2007
-0.52 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
18.19 3 12/1/2007 2/1/2008
13.61 2 9/1/2007 10/1/2007
9.13 5 9/1/2006 1/1/2007
6.76 3 4/1/2007 6/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.23 2 7/1/2007 8/1/2007
-3.19 2 3/1/2008 4/1/2008
-2.27 2 2/1/2007 3/1/2007
-0.52 1 11/1/2007 11/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable65.0088.8993.33100.00
Average Period Return1.685.6410.1019.21
Average Gain3.546.7310.9619.21
Average Loss-1.76-3.12-1.92
Best Period10.1818.1933.5731.01
Worst Period-3.45-5.41-1.926.77
Standard Deviation3.505.638.678.26
Gain Standard Deviation2.824.878.318.26
Loss Standard Deviation1.283.24
Sharpe Ratio (1%)0.460.961.112.20
Average Gain / Average Loss2.012.165.70
Profit / Loss Ratio3.7317.2579.86
Downside Deviation (10%)1.461.661.22
Downside Deviation (5%)1.301.360.62
Downside Deviation (0%)1.261.290.50
Sortino Ratio (10%)0.872.656.27
Sortino Ratio (5%)1.233.9615.37
Sortino Ratio (0%)1.344.3620.36

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.