Abraham Investment Management : Formula 72 L - Proprietary

archived programs
Year-to-Date
N / A
Sep Performance
-1.11%
Min Investment
$ 300k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
6.75%
Sharpe (RFR=1%)
-1.12
CAROR
-6.60%
Assets
$ 292k
Worst DD
-27.78
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
6/2012
Formula 72 L - Proprietary -1.11 - - - - -4.98 - -25.61
S&P 500 -0.12 - - - - 91.62 - 154.35
+/- S&P 500 -0.99 - - - - -96.61 - -179.97

Strategy Description

Summary

Formula 72 L attempts to generate low returns and low draw downs via trend following Asian, Europe and US futures contracts.Abraham Investment Management utilizes a medium term, systematic, technical model developed to capture trends in global futures and FX markets. The managed futures... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 300k
Trading Level Incremental Increase $ 300k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 15.00%
Average Commission $12.00
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 10%
Targeted Worst DD -15.00%
Worst Peak-to-Trough -0.68%
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
10.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Other
10.00%
Composition Pie Chart

Summary

Formula 72 L attempts to generate low returns and low draw downs via trend following Asian, Europe and US futures contracts.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.

Investment Strategy

Trend following with a high emphasis on risk management

   

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
-27.78 42 - 7/1/2012 1/1/2016
-1.07 1 1 1/1/0001 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
9.56 2 1/1/2014 2/1/2014
2.97 1 4/1/2016 4/1/2016
2.85 2 6/1/2016 7/1/2016
2.73 1 2/1/2016 2/1/2016
2.53 1 7/1/2012 7/1/2012
2.34 2 9/1/2013 10/1/2013
1.35 2 6/1/2015 7/1/2015
1.27 1 9/1/2012 9/1/2012
0.33 1 11/1/2012 11/1/2012
0.32 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.51 12 6/1/2014 5/1/2015
-9.82 9 12/1/2012 8/1/2013
-7.33 6 8/1/2015 1/1/2016
-5.12 2 8/1/2016 9/1/2016
-4.04 2 3/1/2014 4/1/2014
-2.14 1 10/1/2012 10/1/2012
-2.08 1 8/1/2012 8/1/2012
-1.65 2 11/1/2013 12/1/2013
-1.15 1 3/1/2016 3/1/2016
-1.07 1 6/1/2012 6/1/2012
-0.47 1 5/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable26.9230.0023.4017.070.000.000.00
Average Period Return-0.55-1.58-3.21-7.01-10.48-14.63-19.97
Average Gain1.862.754.332.10
Average Loss-1.44-3.44-5.51-8.88-10.48-14.63-19.97
Best Period5.519.5410.274.50-1.12-5.46-13.32
Worst Period-4.06-7.00-10.41-17.72-20.57-24.24-24.11
Standard Deviation1.953.535.106.265.764.323.30
Gain Standard Deviation1.632.883.671.67
Loss Standard Deviation1.141.652.665.085.764.323.30
Sharpe Ratio (1%)-0.32-0.52-0.73-1.28-2.08-3.85-6.96
Average Gain / Average Loss1.290.800.790.24
Profit / Loss Ratio0.480.340.240.05
Downside Deviation (10%)1.854.147.3713.5118.9425.2435.87
Downside Deviation (5%)1.623.375.7410.0913.2617.1723.22
Downside Deviation (0%)1.563.185.349.2911.9215.2320.22
Sortino Ratio (10%)-0.52-0.68-0.77-0.89-0.95-0.99-1.00
Sortino Ratio (5%)-0.39-0.54-0.65-0.79-0.90-0.97-0.99
Sortino Ratio (0%)-0.35-0.50-0.60-0.75-0.88-0.96-0.99

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.