Abraham Trading Company : Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance -1.44% Min Investment $ 10,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 28.71% Sharpe (RFR=1%) 0.52 CAROR 13.09% Assets $ 0k Worst DD -34.94 S&P Correlation -0.06 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 Jul Qtr 2020 1yr 3yr 5yr 10yr Since1/1988 Diversified Program -1.44 - - - -20.89 -27.00 -25.44 4,761.67 S&P 500 1.31 - - - 35.72 52.80 198.70 1,346.08 +/- S&P 500 -2.75 - - - -56.61 -79.80 -224.14 3,415.59 Strategy Description SummaryOver 31 years of money management makes ABRAHAM TRADING COMPANY one of the most experienced CTAs in the industry. ATC's trading methodology is systematic, covering a range of time frames and strategies. Trading 90 futures markets, with over 50% weighting allocated to commodity futures,... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 9% Targeted Worst DD -25.00% Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 36.00% 1-3 Months 64.00% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 33.00% Trend-following 46.00% Other 21.00% Composition Grains 20.00% Currency Futures 18.00% Softs 16.00% Interest Rates 13.00% Precious Metals 11.00% Energy 11.00% Stock Indices 8.00% Livestock 3.00% SummaryOver 31 years of money management makes ABRAHAM TRADING COMPANY one of the most experienced CTAs in the industry. ATC's trading methodology is systematic, covering a range of time frames and strategies. Trading 90 futures markets, with over 50% weighting allocated to commodity futures, ATC offers investors a highly diversified portfolio with a heavier exposure to commodity futures markets than many other Hedge Funds. 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 -34.94 52 - 3/1/2015 7/1/2019 -31.96 3 2 7/1/1989 10/1/1989 -27.18 8 22 11/1/2004 7/1/2005 -27.12 11 4 9/1/1990 8/1/1991 -26.87 4 1 12/1/1988 4/1/1989 -26.55 5 11 12/1/1991 5/1/1992 -24.44 8 9 6/1/1995 2/1/1996 -23.04 14 3 8/1/1998 10/1/1999 -22.12 3 1 1/1/1988 4/1/1988 -20.14 5 9 10/1/2001 3/1/2002 -17.00 6 4 1/1/2000 7/1/2000 -15.68 13 32 2/1/2011 3/1/2012 -14.71 3 2 5/1/2003 8/1/2003 -14.60 19 5 12/1/2008 7/1/2010 -12.25 1 3 7/1/2004 8/1/2004 -12.05 8 10 2/1/1997 10/1/1997 -10.99 4 1 12/1/1993 4/1/1994 -10.50 3 2 7/1/1993 10/1/1993 -10.20 1 4 3/1/2001 4/1/2001 -7.91 1 3 12/1/1994 1/1/1995 -7.90 1 2 4/1/1990 5/1/1990 -7.38 1 2 7/1/1994 8/1/1994 -6.41 1 2 11/1/1996 12/1/1996 -6.22 1 3 3/1/2004 4/1/2004 -6.18 2 2 6/1/2007 8/1/2007 -4.73 1 2 2/1/2003 3/1/2003 -4.40 1 1 5/1/1989 6/1/1989 -4.19 1 2 6/1/2008 7/1/2008 -2.82 1 1 6/1/1988 7/1/1988 -1.98 1 1 8/1/1988 9/1/1988 -1.22 1 1 5/1/1993 6/1/1993 -1.11 1 1 1/1/2015 2/1/2015 -0.94 1 1 4/1/2008 5/1/2008 -0.21 1 1 2/1/2008 3/1/2008 -0.18 1 1 11/1/2000 12/1/2000 -0.03 1 1 10/1/2003 11/1/2003 Show More Consecutive Gains Run-up Length (Mos.) Start End 127.61 2 5/1/1988 6/1/1988 100.67 6 11/1/1989 4/1/1990 66.42 3 12/1/2002 2/1/2003 58.39 4 6/1/1990 9/1/1990 38.65 1 5/1/1989 5/1/1989 34.08 6 9/1/2007 2/1/2008 33.75 1 12/1/1991 12/1/1991 33.08 3 11/1/1999 1/1/2000 33.01 3 10/1/1988 12/1/1988 30.66 2 9/1/2003 10/1/2003 30.15 2 9/1/1991 10/1/1991 27.87 4 9/1/1994 12/1/1994 27.12 4 2/1/1993 5/1/1993 26.92 3 9/1/1996 11/1/1996 26.57 3 6/1/1992 8/1/1992 25.31 2 3/1/1996 4/1/1996 24.22 8 6/1/2014 1/1/2015 23.24 1 8/1/1998 8/1/1998 22.49 5 2/1/1995 6/1/1995 21.71 3 11/1/2005 1/1/2006 21.32 3 1/1/2001 3/1/2001 19.39 4 12/1/2003 3/1/2004 19.36 3 8/1/2001 10/1/2001 19.11 1 12/1/1995 12/1/1995 18.91 2 10/1/2000 11/1/2000 17.84 3 5/1/1994 7/1/1994 17.10 5 8/1/2008 12/1/2008 17.02 2 11/1/1993 12/1/1993 16.08 1 7/1/1989 7/1/1989 15.87 3 4/1/2007 6/1/2007 15.74 1 8/1/2005 8/1/2005 15.64 3 9/1/2004 11/1/2004 14.91 2 1/1/1997 2/1/1997 14.83 3 4/1/2002 6/1/2002 13.94 3 12/1/2010 2/1/2011 13.91 1 3/1/1989 3/1/1989 13.47 2 8/1/2002 9/1/2002 13.35 1 2/1/1999 2/1/1999 12.55 3 8/1/2010 10/1/2010 11.76 1 8/1/2000 8/1/2000 10.94 3 5/1/2004 7/1/2004 9.89 2 1/1/2016 2/1/2016 9.83 2 5/1/2001 6/1/2001 9.72 2 11/1/1997 12/1/1997 8.72 2 5/1/2005 6/1/2005 8.62 2 3/1/2006 4/1/2006 7.90 3 10/1/2006 12/1/2006 7.72 2 4/1/2003 5/1/2003 7.52 1 4/1/1999 4/1/1999 7.36 2 4/1/2012 5/1/2012 6.60 1 7/1/1993 7/1/1993 5.82 1 4/1/2011 4/1/2011 5.65 2 11/1/1998 12/1/1998 5.64 1 7/1/2011 7/1/2011 5.48 1 4/1/2000 4/1/2000 5.11 2 5/1/1991 6/1/1991 4.95 1 9/1/1997 9/1/1997 4.69 1 7/1/2012 7/1/2012 4.65 1 11/1/1992 11/1/1992 4.51 2 6/1/1997 7/1/1997 4.44 2 5/1/2009 6/1/2009 4.17 1 1/1/1988 1/1/1988 4.14 2 8/1/1999 9/1/1999 4.09 1 2/1/1998 2/1/1998 4.07 2 12/1/2013 1/1/2014 3.76 2 2/1/1991 3/1/1991 3.69 2 6/1/2016 7/1/2016 3.45 1 8/1/1988 8/1/1988 3.19 2 7/1/2017 8/1/2017 2.91 2 3/1/2013 4/1/2013 2.87 1 3/1/1994 3/1/1994 2.72 1 8/1/2006 8/1/2006 2.61 1 5/1/1998 5/1/1998 2.56 1 4/1/2016 4/1/2016 2.55 1 9/1/2013 9/1/2013 2.14 1 11/1/2015 11/1/2015 2.11 1 9/1/2015 9/1/2015 2.04 1 6/1/2008 6/1/2008 2.02 2 12/1/2017 1/1/2018 1.88 1 8/1/2018 8/1/2018 1.77 2 11/1/2011 12/1/2011 1.75 1 4/1/2018 4/1/2018 1.55 2 8/1/2009 9/1/2009 1.55 1 11/1/2009 11/1/2009 1.52 1 6/1/1996 6/1/1996 1.46 2 12/1/2012 1/1/2013 1.44 2 6/1/2015 7/1/2015 1.42 1 3/1/2010 3/1/2010 1.33 1 2/1/2002 2/1/2002 1.22 1 4/1/2017 4/1/2017 1.21 1 3/1/2015 3/1/2015 1.16 1 9/1/1993 9/1/1993 1.05 1 5/1/2019 5/1/2019 0.70 2 3/1/2014 4/1/2014 0.55 1 10/1/2017 10/1/2017 0.34 1 4/1/2008 4/1/2008 0.31 1 4/1/1992 4/1/1992 0.31 1 11/1/1990 11/1/1990 0.23 1 12/1/2016 12/1/2016 0.12 1 2/1/2009 2/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -31.96 3 8/1/1989 10/1/1989 -23.75 5 12/1/2004 4/1/2005 -22.34 3 1/1/1992 3/1/1992 -22.12 3 2/1/1988 4/1/1988 -21.02 5 7/1/1995 11/1/1995 -20.08 1 4/1/1989 4/1/1989 -19.69 2 1/1/1996 2/1/1996 -19.67 2 1/1/1989 2/1/1989 -16.02 2 12/1/1990 1/1/1991 -15.60 3 11/1/2001 1/1/2002 -14.71 3 6/1/2003 8/1/2003 -14.34 2 9/1/1998 10/1/1998 -13.70 1 4/1/1991 4/1/1991 -13.63 8 9/1/2018 4/1/2019 -12.83 2 2/1/2000 3/1/2000 -12.25 1 8/1/2004 8/1/2004 -12.16 1 7/1/2005 7/1/2005 -11.81 2 10/1/2002 11/1/2002 -11.56 1 1/1/1999 1/1/1999 -11.42 2 9/1/2005 10/1/2005 -10.20 1 4/1/2001 4/1/2001 -9.75 4 4/1/2010 7/1/2010 -9.73 3 5/1/2000 7/1/2000 -9.57 1 10/1/1999 10/1/1999 -9.43 1 3/1/1999 3/1/1999 -9.43 2 7/1/1996 8/1/1996 -9.41 1 5/1/1996 5/1/1996 -9.41 4 8/1/2016 11/1/2016 -9.03 3 5/1/2006 7/1/2006 -8.97 2 5/1/2011 6/1/2011 -8.70 2 3/1/1998 4/1/1998 -8.66 3 5/1/2018 7/1/2018 -8.56 2 12/1/1992 1/1/1993 -8.39 1 4/1/1994 4/1/1994 -8.08 1 8/1/1997 8/1/1997 -7.91 1 1/1/1995 1/1/1995 -7.90 1 5/1/1990 5/1/1990 -7.82 3 3/1/1997 5/1/1997 -7.75 2 7/1/1991 8/1/1991 -7.50 3 5/1/1999 7/1/1999 -7.38 1 8/1/1994 8/1/1994 -7.34 2 4/1/2015 5/1/2015 -7.24 3 1/1/2007 3/1/2007 -6.78 1 3/1/2011 3/1/2011 -6.73 3 1/1/2012 3/1/2012 -6.62 1 3/1/2002 3/1/2002 -6.59 1 10/1/1993 10/1/1993 -6.41 1 12/1/1996 12/1/1996 -6.37 4 8/1/2012 11/1/2012 -6.35 3 8/1/2011 10/1/2011 -6.22 1 4/1/2004 4/1/2004 -6.18 2 7/1/2007 8/1/2007 -5.71 1 5/1/1992 5/1/1992 -5.55 2 1/1/1994 2/1/1994 -5.37 1 10/1/1997 10/1/1997 -5.28 1 8/1/1993 8/1/1993 -5.14 3 12/1/2009 2/1/2010 -4.88 2 3/1/2009 4/1/2009 -4.84 2 5/1/2017 6/1/2017 -4.73 1 3/1/2003 3/1/2003 -4.66 1 8/1/2015 8/1/2015 -4.53 1 9/1/2000 9/1/2000 -4.44 1 6/1/2012 6/1/2012 -4.40 1 6/1/1989 6/1/1989 -4.19 1 7/1/2008 7/1/2008 -4.06 3 1/1/2017 3/1/2017 -3.97 1 7/1/2002 7/1/2002 -3.76 2 2/1/2018 3/1/2018 -3.76 1 3/1/2016 3/1/2016 -3.64 2 9/1/1992 10/1/1992 -3.61 1 10/1/2015 10/1/2015 -3.33 4 5/1/2013 8/1/2013 -3.31 1 9/1/2017 9/1/2017 -3.15 2 6/1/1998 7/1/1998 -3.10 2 10/1/2013 11/1/2013 -2.85 1 7/1/2001 7/1/2001 -2.82 1 7/1/1988 7/1/1988 -2.30 1 7/1/2009 7/1/2009 -2.26 2 6/1/2019 7/1/2019 -2.09 1 11/1/2017 11/1/2017 -2.09 1 11/1/1991 11/1/1991 -1.98 1 9/1/1988 9/1/1988 -1.72 1 11/1/2010 11/1/2010 -1.53 1 2/1/2006 2/1/2006 -1.51 1 9/1/2006 9/1/2006 -1.22 1 6/1/1993 6/1/1993 -1.12 1 10/1/2009 10/1/2009 -1.11 1 2/1/2015 2/1/2015 -1.07 1 12/1/2015 12/1/2015 -0.94 1 5/1/2008 5/1/2008 -0.90 1 1/1/1998 1/1/1998 -0.86 1 2/1/2013 2/1/2013 -0.74 1 1/1/2009 1/1/2009 -0.71 1 5/1/2016 5/1/2016 -0.36 1 10/1/1990 10/1/1990 -0.34 1 5/1/2014 5/1/2014 -0.29 1 2/1/2014 2/1/2014 -0.21 1 3/1/2008 3/1/2008 -0.18 1 12/1/2000 12/1/2000 -0.03 1 11/1/2003 11/1/2003 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods379.00377.00374.00368.00362.00356.00344.00332.00320.00 Percent Profitable52.7753.3260.7068.2171.5579.2184.3090.0692.81 Average Period Return1.344.048.0615.4723.1532.8450.9472.5895.66 Average Gain6.2712.4617.5726.5735.5043.9962.5482.00103.78 Average Loss-4.18-5.58-6.63-8.35-7.91-9.66-11.38-12.81-9.18 Best Period71.99121.19142.26191.68205.34358.29441.63573.75762.88 Worst Period-20.08-31.96-24.56-26.11-22.27-24.95-34.63-33.92-24.01 Standard Deviation8.2915.0920.3529.4534.8447.9665.5886.54104.92 Gain Standard Deviation8.1215.9220.8229.5133.8547.8665.0086.07104.60 Loss Standard Deviation3.785.005.455.346.047.5210.0111.546.87 Sharpe Ratio (1%)0.150.250.370.490.620.640.730.790.86 Average Gain / Average Loss1.502.232.653.184.494.555.496.4011.30 Profit / Loss Ratio1.682.554.096.8311.2817.3529.5157.98145.90 Downside Deviation (10%)4.085.776.658.168.9710.0311.9912.6612.89 Downside Deviation (5%)3.915.245.626.065.966.326.946.434.26 Downside Deviation (0%)3.875.115.375.585.305.575.985.403.05 Sortino Ratio (10%)0.230.490.841.281.732.252.934.035.28 Sortino Ratio (5%)0.320.721.352.393.634.886.9010.6621.26 Sortino Ratio (0%)0.350.791.502.774.375.908.5213.4431.36 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index 5 Year 10 138.10 2002 - 2007 IASG CTA Index 3 Year 10 79.45 2002 - 2005 IASG CTA Index 5 Year 7 159.84 2000 - 2005 Diversified Trader Index Month 9 14.15 11/2005 IASG CTA Index Month 9 14.15 11/2005 Systematic Trader Index Month 9 14.15 11/2005 Diversified Trader Index Month 2 15.74 8/2005 IASG CTA Index Month 3 15.74 8/2005 Systematic Trader Index Month 3 15.74 8/2005 IASG CTA Index 5 Year 4 231.32 1999 - 2004 IASG CTA Index 3 Year 7 144.87 2001 - 2004 Systematic Trader Index Month 8 7.84 9/2004 Diversified Trader Index Month 9 7.84 9/2004 IASG CTA Index Month 10 7.84 9/2004 Systematic Trader Index Month 6 6.74 7/2004 IASG CTA Index Month 7 6.74 7/2004 Diversified Trader Index Month 5 6.74 7/2004 Diversified Trader Index Month 7 1.37 6/2004 Systematic Trader Index Month 10 1.37 6/2004 IASG CTA Index Annual 4 74.66 2003 IASG CTA Index 5 Year 5 200.84 1998 - 2003 IASG CTA Index 3 Year 3 152.91 2000 - 2003 IASG CTA Index Month 3 22.09 10/2003 Systematic Trader Index Month 1 22.09 10/2003 Diversified Trader Index Month 1 22.09 10/2003 Systematic Trader Index Month 7 7.02 9/2003 Diversified Trader Index Month 9 7.02 9/2003 Systematic Trader Index Month 10 13.18 2/2003 IASG CTA Index Month 2 24.18 1/2003 Systematic Trader Index Month 2 24.18 1/2003 Diversified Trader Index Month 2 24.18 1/2003 Diversified Trader Index Month 8 9.86 8/2002 IASG CTA Index Month 10 9.86 8/2002 Systematic Trader Index Month 9 9.86 8/2002 IASG CTA Index Month 3 4.99 4/2002 Diversified Trader Index Month 2 4.99 4/2002 Systematic Trader Index Month 2 4.99 4/2002 Diversified Trader Index Month 5 1.33 2/2002 Systematic Trader Index Month 7 1.33 2/2002 Diversified Trader Index Month 6 4.47 6/2001 IASG CTA Index Month 7 4.47 6/2001 Systematic Trader Index Month 6 4.47 6/2001 IASG CTA Index Month 6 5.13 5/2001 Systematic Trader Index Month 4 5.13 5/2001 Diversified Trader Index Month 3 5.13 5/2001 Diversified Trader Index Month 6 15.17 3/2001 IASG CTA Index Month 7 15.17 3/2001 Systematic Trader Index Month 6 15.17 3/2001 Diversified Trader Index Month 1 9.51 10/2000 IASG CTA Index Month 1 9.51 10/2000 Systematic Trader Index Month 1 9.51 10/2000 Systematic Trader Index Month 7 11.76 8/2000 Diversified Trader Index Month 8 11.76 8/2000 IASG CTA Index Month 8 11.76 8/2000 Diversified Trader Index Month 5 5.48 4/2000 IASG CTA Index Month 6 5.48 4/2000 Systematic Trader Index Month 6 5.48 4/2000 Diversified Trader Index Month 2 8.02 1/2000 IASG CTA Index Month 3 8.02 1/2000 Systematic Trader Index Month 3 8.02 1/2000 Systematic Trader Index Month 8 8.41 12/1999 Diversified Trader Index Month 9 8.41 12/1999 IASG CTA Index Month 10 8.41 12/1999 Systematic Trader Index Month 3 13.64 11/1999 IASG CTA Index Month 3 13.64 11/1999 Diversified Trader Index Month 3 13.64 11/1999 Diversified Trader Index Month 9 3.12 8/1999 Systematic Trader Index Month 10 3.12 8/1999 Diversified Trader Index Month 8 7.52 4/1999 IASG CTA Index Month 8 7.52 4/1999 Systematic Trader Index Month 6 7.52 4/1999 Systematic Trader Index Month 6 13.35 2/1999 Diversified Trader Index Month 6 13.35 2/1999 IASG CTA Index Month 6 13.35 2/1999 Systematic Trader Index Month 10 4.67 12/1998 IASG CTA Index Month 8 4.09 2/1998 Systematic Trader Index Month 7 4.09 2/1998 Diversified Trader Index Month 7 4.09 2/1998 Systematic Trader Index Month 8 7.46 12/1997 IASG CTA Index Month 10 7.46 12/1997 Diversified Trader Index Month 10 7.46 12/1997 Systematic Trader Index Month 6 9.15 2/1997 Diversified Trader Index Month 6 9.15 2/1997 IASG CTA Index Month 6 9.15 2/1997 IASG CTA Index Month 7 14.27 4/1996 Diversified Trader Index Month 7 14.27 4/1996 Systematic Trader Index Month 7 14.27 4/1996 Diversified Trader Index Month 7 9.66 3/1996 IASG CTA Index Month 8 9.66 3/1996 Systematic Trader Index Month 5 9.66 3/1996 IASG CTA Index Month 6 19.11 12/1995 IASG CTA Index 5 Year 7 97.07 1990 - 1995 Diversified Trader Index Month 6 19.11 12/1995 Systematic Trader Index Month 6 19.11 12/1995 Diversified Trader Index Month 10 8.22 5/1995 Systematic Trader Index Month 10 8.22 5/1995 IASG CTA Index Month 10 8.22 5/1995 Systematic Trader Index Month 10 4.73 4/1995 Diversified Trader Index Month 10 1.06 12/1994 IASG CTA Index Annual 6 24.22 1994 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