Abingdon Global LLC : Macro Catalyst Driven

archived programs
Year-to-Date
N / A
Nov Performance
0.98%
Min Investment
$ 1,000k
Mgmt. Fee
0.50%
Perf. Fee
20.00%
Annualized Vol
5.71%
Sharpe (RFR=1%)
-0.45
CAROR
-
Assets
$ 34.8M
Worst DD
-5.34
S&P Correlation
-0.07

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
4/2016
Macro Catalyst Driven 0.98 - - - -0.39 - - -2.81
S&P 500 0.37 - - - 23.76 - - 67.76
+/- S&P 500 0.61 - - - -24.15 - - -70.57

Strategy Description

Summary

Discretionary global macro manager that mines the conventional wisdom to find major price movements that allow for trades to be placed with asymmetric risk to reward profiles.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 5.00
Management Fee 0.50%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 5.33%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Stock Indices
30.00%
Currency Futures
20.00%
Precious Metals
15.00%
Energy
10.00%
Interest Rates
10.00%
Industrial Metals
5.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Discretionary global macro manager that mines the conventional wisdom to find major price movements that allow for trades to be placed with asymmetric risk to reward profiles.

Investment Strategy

Abingdon is a discretionary global macro manager that analyzes conventional wisdom to find catalysts that lead to major price movements. We form a market view based on technical and fundamental analysis as we need to understand why a market should move. It is important that this fundamental analysis be based on simple and easily understood facts. Technical analysis across multiple timeframes helps to guide the selection of potential entry levels and stop loss levels consistent with the thesis and in line with an asymmetric risk to return profile at the outset of the trade. Abingdon trades a portfolio of 0-4 positions constructed of futures, options, and cash. A concentrated high conviction portfolio is what offers true macro returns.

The resulting portfolio is one in which overall market exposure can remain low for extended periods of time and rise episodically. The strategy is neither geared towards trend following nor countertrend trading. The objective is to profit from occasional price adjustments in particular markets rather than to run portfolios with particular tilts to collect risk premia. When no particular opportunities present themselves, the default position is 100% cash.

Risk Management

The strategy has a short to medium term horizon focused on only the most liquid futures markets, which allows Abingdon to apply strict risk management utilizing tight downside risk limits. Risk controls are applied on the portfolio and position level with predefined downside at the outset of every trade managed by either premium at risk or stop loss orders. Percentage based risk management from entry and last price is paramount.

   

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
-5.34 2 13 1/1/0001 5/1/2016
-5.22 4 - 6/1/2017 10/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
7.00 4 3/1/2017 6/1/2017
2.95 4 6/1/2016 9/1/2016
0.98 1 11/1/2017 11/1/2017
0.56 1 11/1/2016 11/1/2016
0.35 1 9/1/2017 9/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-5.34 2 4/1/2016 5/1/2016
-3.92 2 7/1/2017 8/1/2017
-2.96 3 12/1/2016 2/1/2017
-1.70 1 10/1/2017 10/1/2017
-0.20 1 10/1/2016 10/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable55.0044.4460.0066.67
Average Period Return-0.130.070.841.50
Average Gain1.062.822.623.27
Average Loss-1.58-2.14-1.83-2.04
Best Period3.326.295.247.01
Worst Period-3.65-5.10-2.54-4.45
Standard Deviation1.653.012.563.45
Gain Standard Deviation0.951.841.442.46
Loss Standard Deviation0.991.530.822.10
Sharpe Ratio (1%)-0.13-0.060.130.14
Average Gain / Average Loss0.671.321.431.60
Profit / Loss Ratio0.821.062.143.20
Downside Deviation (10%)1.482.732.824.73
Downside Deviation (5%)1.282.081.552.02
Downside Deviation (0%)1.231.931.251.54
Sortino Ratio (10%)-0.36-0.42-0.58-0.74
Sortino Ratio (5%)-0.17-0.090.220.25
Sortino Ratio (0%)-0.100.030.670.97

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.