Abraham Investment Management : Global Diversified Prop

archived programs
Year-to-Date
N / A
Feb Performance
-1.51%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.37%
Sharpe (RFR=1%)
-0.40
CAROR
-2.62%
Assets
$ 209k
Worst DD
-18.26
S&P Correlation
0.15

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Global Diversified Prop -1.51 - - - -13.83 - - -8.07
S&P 500 2.97 - - - 42.65 - - 78.57
+/- S&P 500 -4.48 - - - -56.48 - - -86.65

Strategy Description

Summary

Trend Following strategy looking to identify strongest sectors and weakest sectors and risk .5% of account size to trade with the trend. We utilize a systematic, technically-based approach to trade a diversified portfolio of global financial and commodity futures markets. We have... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 1.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $15.00
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 700 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 30.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 10.00%
1-3 Months 20.00%
1-30 Days 60.00%
Intraday 0%

Decision-Making

Discretionary
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

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

Summary

Trend Following strategy looking to identify strongest sectors and weakest sectors and risk .5% of account size to trade with the trend. We utilize a systematic, technically-based approach to trade a diversified portfolio of global financial and commodity futures markets. We have the ability to take long or short positions in a wide variety of markets, and lack of dependence on favorable economic conditions, Our returns have historically shown low to no correlation to bond and stock markets, thus offering the potential to diversify a traditional investment portfolio, as well as a portfolio of alternative investments.

Risk Management

We risk .5% on any trade as well as monitor sector and total portfolio allocations

   

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:
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Gain Frequency:
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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:
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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
-18.26 19 - 7/1/2017 2/1/2019
-5.84 3 3 6/1/2016 9/1/2016
-4.09 4 2 1/1/2017 5/1/2017
-1.40 1 1 2/1/2016 3/1/2016
-0.55 1 1 1/1/0001 1/1/2016
-0.15 1 1 4/1/2016 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
10.13 4 10/1/2016 1/1/2017
5.13 2 6/1/2017 7/1/2017
4.59 3 6/1/2018 8/1/2018
4.52 1 6/1/2016 6/1/2016
3.54 1 1/1/2018 1/1/2018
3.02 1 2/1/2016 2/1/2016
2.86 1 10/1/2017 10/1/2017
2.02 1 4/1/2016 4/1/2016
0.80 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.09 6 9/1/2018 2/1/2019
-7.91 4 2/1/2018 5/1/2018
-5.84 3 7/1/2016 9/1/2016
-5.15 2 8/1/2017 9/1/2017
-3.35 2 2/1/2017 3/1/2017
-3.34 2 11/1/2017 12/1/2017
-1.55 1 5/1/2017 5/1/2017
-1.40 1 3/1/2016 3/1/2016
-0.55 1 1/1/2016 1/1/2016
-0.15 1 5/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods38.0036.0033.0027.0021.0015.00
Percent Profitable39.4747.2245.4544.4442.8640.00
Average Period Return-0.19-0.50-0.84-1.14-1.71-2.59
Average Gain2.413.103.215.956.444.99
Average Loss-1.89-3.72-4.22-6.81-7.83-7.65
Best Period4.527.378.0512.1513.0910.42
Worst Period-4.59-8.94-13.09-15.00-17.01-16.64
Standard Deviation2.424.194.907.468.448.11
Gain Standard Deviation1.142.372.912.723.243.26
Loss Standard Deviation1.172.453.404.485.176.05
Sharpe Ratio (1%)-0.11-0.18-0.27-0.29-0.38-0.57
Average Gain / Average Loss1.270.830.760.870.820.65
Profit / Loss Ratio0.830.740.630.700.620.43
Downside Deviation (10%)2.004.005.579.4112.3615.04
Downside Deviation (5%)1.773.374.256.667.988.70
Downside Deviation (0%)1.723.213.966.017.007.39
Sortino Ratio (10%)-0.30-0.43-0.59-0.65-0.75-0.85
Sortino Ratio (5%)-0.16-0.22-0.32-0.32-0.40-0.53
Sortino Ratio (0%)-0.11-0.16-0.21-0.19-0.24-0.35

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.