Abraham Investment Management : Formula 72 H

archived programs
Year-to-Date
N / A
Sep Performance
-4.00%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.90%
Sharpe (RFR=1%)
-0.80
CAROR
-10.49%
Assets
$ 212k
Worst DD
-43.65
S&P Correlation
0.02

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
8/2012
Formula 72 H -4.00 -11.56 - -5.53 -25.68 - - -36.98
S&P 500 -0.12 3.31 - 12.93 28.94 - - 54.15
+/- S&P 500 -3.88 -14.87 - -18.46 -54.63 - - -91.13

Strategy Description

Summary

Abraham Investment Management utilizes a medium term, systematic, technical model developed to capture trends in global futures and FX markets. The managed futures program is based on trend following observed over many years of research and trading. The model is designed to establish... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 150k
Trading Level Incremental Increase
$ 150k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$20.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
-1.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
30.00%
1-3 Months
35.00%
1-30 Days
35.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

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

Summary

Abraham Investment Management utilizes a medium term, systematic, technical model developed to capture trends in global futures and FX markets. The managed futures program is based on trend following observed over many years of research and trading. The model is designed to establish positions when markets exhibit a high probability of a developing, sustained move.Proprietary indicators reduce trading in range bound, trendless markets. Abraham Investment Management includes strict money management techniques based on the individual market, sector, and overall portfolio levels.

   

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
-43.65 -1 - 1/1/0001 1/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
24.00 4 4/1/2016 7/1/2016
8.39 1 2/1/2016 2/1/2016
7.15 2 1/1/2014 2/1/2014
7.04 1 7/1/2015 7/1/2015
3.68 1 10/1/2013 10/1/2013
2.05 2 8/1/2014 9/1/2014
1.96 1 9/1/2012 9/1/2012
1.44 1 5/1/2014 5/1/2014
1.13 1 11/1/2012 11/1/2012
1.11 2 3/1/2013 4/1/2013
0.76 1 2/1/2015 2/1/2015
0.66 1 8/1/2013 8/1/2013
0.28 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.32 6 8/1/2015 1/1/2016
-12.99 2 8/1/2016 9/1/2016
-10.91 4 10/1/2014 1/1/2015
-8.34 2 3/1/2014 4/1/2014
-7.89 3 12/1/2012 2/1/2013
-7.88 2 6/1/2014 7/1/2014
-7.85 2 3/1/2015 4/1/2015
-6.36 3 5/1/2013 7/1/2013
-4.52 2 11/1/2013 12/1/2013
-4.38 1 3/1/2016 3/1/2016
-4.17 1 10/1/2012 10/1/2012
-3.54 1 6/1/2015 6/1/2015
-2.14 1 8/1/2012 8/1/2012
-0.11 1 9/1/2013 9/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0048.0045.0039.0033.0027.0015.00
Percent Profitable38.0027.0820.0010.263.030.000.00
Average Period Return-0.84-2.21-4.48-10.85-16.86-23.11-29.62
Average Gain3.056.309.455.503.40
Average Loss-3.22-5.38-7.97-12.72-17.49-23.11-29.62
Best Period10.0422.0028.5213.263.40-6.00-14.12
Worst Period-9.36-14.59-16.32-22.12-27.87-35.13-39.09
Standard Deviation4.016.769.038.197.546.407.26
Gain Standard Deviation3.186.2710.186.14
Loss Standard Deviation2.193.364.046.046.716.407.26
Sharpe Ratio (1%)-0.23-0.36-0.55-1.45-2.43-3.93-4.50
Average Gain / Average Loss0.951.171.190.430.19
Profit / Loss Ratio0.580.440.300.050.01
Downside Deviation (10%)3.326.3110.0017.7425.5533.9445.92
Downside Deviation (5%)3.115.588.3714.1719.8025.8933.39
Downside Deviation (0%)3.055.397.9713.3118.4123.9430.44
Sortino Ratio (10%)-0.38-0.55-0.70-0.89-0.96-0.98-0.99
Sortino Ratio (5%)-0.30-0.44-0.60-0.84-0.93-0.97-0.98
Sortino Ratio (0%)-0.28-0.41-0.56-0.82-0.92-0.97-0.97

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 9.05 6/2016
IASG CTA Index Month 10 9.05 6/2016
Diversified Trader Index Month 10 9.05 6/2016
Diversified Trader Index Month 7 1.67 5/2016
Trend Following Strategy Index Month 6 1.67 5/2016
IASG CTA Index Month 4 10.04 4/2016
Trend Following Strategy Index Month 4 10.04 4/2016
Systematic Trader Index Month 5 10.04 4/2016
Diversified Trader Index Month 5 10.04 4/2016
IASG CTA Index Month 5 8.39 2/2016
Trend Following Strategy Index Month 6 8.39 2/2016
Systematic Trader Index Month 9 8.39 2/2016
Diversified Trader Index Month 9 8.39 2/2016

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