Abraham Trading Company : Abraham Fortress Fund LP

Year-to-Date
4.98%
Oct Performance
0.51%
Min Investment
$ 100k
Mgmt. Fee
0.65%
Perf. Fee
0%
Annualized Vol
9.43%
Sharpe (RFR=1%)
0.14
CAROR
-
Assets
$ 15.0M
Worst DD
-9.45
S&P Correlation
0.83

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2018
Abraham Fortress Fund LP 0.51 0.51 4.98 1.30 - - - 2.57
S&P 500 2.04 1.92 21.16 12.01 - - - 7.85
+/- S&P 500 -1.53 -1.40 -16.18 -10.71 - - - -5.28

Strategy Description

Summary

The Fortress Fund is designed to produce consistent returns with low volatility across multiple market cycles. It does so by combining traditional asset class beta with diversifying alpha from institutional-quality hedge funds.

Beta is return from passively held long positions... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0.65%
Performance Fee
0%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
100.00%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Other
100.00%
Composition Pie Chart

Summary

The Fortress Fund is designed to produce consistent returns with low volatility across multiple market cycles. It does so by combining traditional asset class beta with diversifying alpha from institutional-quality hedge funds.

Beta is return from passively held long positions and earns the market risk premium. The Fortress Fund’s beta components include equity beta and fixed income beta. Many portfolios have equity beta exposure of 60-75%. The Fortress Fund aims to cap equity beta exposure at 50%, thereby reducing portfolio volatility and reducing the fund’s exposure to extreme moves in equity markets.

Alpha is return from actively trading and timing markets. The Fortress Fund’s alpha selection identifies hedge funds that appear to be resilient through market cycles, exhibit low correlation to other strategies, and operate with the highest institutional standards.

The Fortress Fund combines equity and fixed income beta with multiple sources of value-adding and risk-reducing institutional alpha with the objective of outperforming traditional 60/40 and 70/30 equity/bond portfolios on both an absolute return and risk-adjusted return basis.

   

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
-9.45 8 - 9/1/2018 5/1/2019
-0.05 1 1 1/1/0001 7/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
6.35 2 6/1/2019 7/1/2019
6.01 2 8/1/2018 9/1/2018
2.68 2 9/1/2019 10/1/2019
2.06 1 4/1/2019 4/1/2019
1.72 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.79 3 10/1/2018 12/1/2018
-4.98 1 5/1/2019 5/1/2019
-2.11 1 8/1/2019 8/1/2019
-0.45 2 2/1/2019 3/1/2019
-0.05 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods16.0014.0011.00
Percent Profitable50.0064.2945.45
Average Period Return0.190.11-0.85
Average Gain2.332.102.03
Average Loss-1.94-3.47-3.25
Best Period3.835.963.14
Worst Period-4.98-7.79-6.62
Standard Deviation2.723.413.36
Gain Standard Deviation1.071.830.88
Loss Standard Deviation2.082.452.60
Sharpe Ratio (1%)0.04-0.04-0.40
Average Gain / Average Loss1.200.610.63
Profit / Loss Ratio1.201.090.52
Downside Deviation (10%)2.163.114.61
Downside Deviation (5%)1.982.583.27
Downside Deviation (0%)1.942.462.97
Sortino Ratio (10%)-0.10-0.36-0.72
Sortino Ratio (5%)0.06-0.05-0.41
Sortino Ratio (0%)0.100.05-0.29

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.