Abraham Trading Company : Diversified Program

Year-to-Date
5.11%
Jun Performance
-0.88%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
28.74%
Sharpe (RFR=1%)
0.53
CAROR
13.17%
Assets
$ 208.1M
Worst DD
-34.13
S&P Correlation
-0.06

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/1988
Diversified Program -0.88 -0.16 -5.11 -12.41 -32.88 -20.67 -21.47 4,830.22
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 1,032.51
+/- S&P 500 -7.77 -3.94 -22.45 -20.62 -71.61 -69.21 -238.16 3,797.70

Strategy Description

Summary

Over 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

Over 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.

   

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
-34.13 49 - 3/1/2015 4/1/2019
-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
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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
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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
-2.09 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
-0.88 1 6/1/2019 6/1/2019
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods378.00376.00373.00367.00361.00355.00343.00331.00319.00
Percent Profitable52.9153.4660.8668.3971.7579.4484.5590.3393.10
Average Period Return1.344.058.0915.5523.2732.9951.1872.8996.03
Average Gain6.2712.4617.5726.5735.5043.9962.5482.00103.78
Average Loss-4.19-5.61-6.64-8.31-7.77-9.47-10.94-12.25-8.51
Best Period71.99121.19142.26191.68205.34358.29441.63573.75762.88
Worst Period-20.08-31.96-24.56-26.11-21.38-24.95-32.88-33.92-20.67
Standard Deviation8.3015.1120.3729.4634.8147.9365.5186.48104.87
Gain Standard Deviation8.1215.9220.8229.5133.8547.8665.0086.07104.60
Loss Standard Deviation3.785.005.475.345.907.399.5611.266.20
Sharpe Ratio (1%)0.150.250.370.490.630.650.740.800.87
Average Gain / Average Loss1.502.222.653.204.574.645.716.6912.19
Profit / Loss Ratio1.682.554.116.9211.6017.9431.2762.53164.58
Downside Deviation (10%)4.085.776.658.128.849.8811.6912.3412.59
Downside Deviation (5%)3.915.255.626.035.846.186.656.143.94
Downside Deviation (0%)3.875.125.385.555.185.435.695.142.74
Sortino Ratio (10%)0.230.490.851.301.772.303.034.165.43
Sortino Ratio (5%)0.320.721.352.413.735.017.2511.2023.06
Sortino Ratio (0%)0.350.791.512.804.496.079.0014.1934.99

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 5 Year Rolling 10 138.10 2002 - 2007
IASG CTA Index 3 Year Rolling 10 79.45 2002 - 2005
IASG CTA Index 5 Year Rolling 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 Rolling 4 231.32 1999 - 2004
IASG CTA Index 3 Year Rolling 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 Year Rolling 4 74.66 2002 - 2003
IASG CTA Index 5 Year Rolling 5 200.84 1998 - 2003
IASG CTA Index 3 Year Rolling 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 Rolling 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 Year Rolling 6 24.22 1993 - 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.