Abraham Investment Management : Formula 72 L - Proprietary Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since6/2012 Formula 72 L - Proprietary -1.11 - - - - -1.90 - -25.61 S&P 500 -0.12 - - - - 91.62 - 163.17 +/- S&P 500 -0.99 - - - - -93.52 - -188.78 Strategy Description SummaryFormula 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% 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% SummaryFormula 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 StrategyTrend following with a high emphasis on risk management Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel