Abraham Investment Management : Global Diversified Prop Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since1/2016 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 SummaryTrend 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% 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% SummaryTrend 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 ManagementWe risk .5% on any trade as well as monitor sector and total portfolio allocations 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel