Abraham Investment Management : Formula 72 M

archived programs
Year-to-Date
N / A
Sep Performance
2.36%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.18%
Sharpe (RFR=1%)
-1.48
CAROR
-
Assets
$ 275k
Worst DD
-13.00
S&P Correlation
0.61

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 M 2.36 - - - - - - -10.94
S&P 500 2.97 - - - - - - 146.32
+/- S&P 500 -0.61 - - - - - - -157.26

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 $ 300k
Trading Level Incremental Increase $ 30k
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 600 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 1.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 25.00%
1-3 Months 25.00%
1-30 Days 40.00%
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%
Softs
15.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Interest Rates
10.00%
Stock Indices
10.00%
Livestock
5.00%
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
-13.00 -1 - 1/1/0001 8/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
2.36 1 9/1/2013 9/1/2013
2.12 1 3/1/2013 3/1/2013
1.77 1 5/1/2013 5/1/2013
1.20 1 9/1/2012 9/1/2012
0.33 1 11/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.91 3 12/1/2012 2/1/2013
-5.45 3 6/1/2013 8/1/2013
-3.80 1 10/1/2012 10/1/2012
-2.03 1 8/1/2012 8/1/2012
-1.66 1 4/1/2013 4/1/2013
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Time Windows Analysis

 18 Month2 Year1 Month3 Month6 Month
Number of Periods13.007.0014.0012.009.00
Percent Profitable92.3185.7135.718.330.00
Average Period Return9.047.61-0.80-2.77-5.13
Average Gain9.798.881.562.20
Average Loss-2.12-3.22-5.13
Best Period37.9033.502.362.20-3.14
Worst Period0.000.00-3.80-6.17-8.09
Standard Deviation9.5211.702.072.522.08
Gain Standard Deviation9.5312.280.81
Loss Standard Deviation1.112.062.08
Sharpe Ratio (1%)0.790.48-0.43-1.20-2.70
Average Gain / Average Loss0.740.68
Profit / Loss Ratio0.410.06
Downside Deviation (10%)3.406.872.194.667.85
Downside Deviation (5%)0.450.871.953.825.96
Downside Deviation (0%)1.893.625.49
Sortino Ratio (10%)0.42-0.38-0.55-0.86-0.97
Sortino Ratio (5%)16.616.40-0.45-0.79-0.94
Sortino Ratio (0%)-0.43-0.77-0.93

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.