Absolute Asset Management : Macro Diversified

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 25k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
18.01%
Sharpe (RFR=1%)
0.25
CAROR
4.11%
Assets
$ 0k
Worst DD
-32.56
S&P Correlation
-0.14

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
12/2002
Macro Diversified 0.00 - - - - - - 27.80
S&P 500 0.78 - - - - - - 267.82
+/- S&P 500 -0.78 - - - - - - -240.02

Strategy Description

Summary

-Absolute FX is a short term systematic trading program that trades the major FX markets. Via pattern recognition and statistical analysis the program captures the cyclical nature of volatility evident in FX markets. The system trades both long and short positions and therefore does... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Absolute FX is a short term systematic trading program that trades the major FX markets. Via pattern recognition and statistical analysis the program captures the cyclical nature of volatility evident in FX markets. The system trades both long and short positions and therefore does not have directional bias. Due to the short term nature of trading the longer term trend is largely irrelevant to overall performance. Risks are tightly controlled via a money management program.

Investment Strategy

Absolute FX is a short term systematic trading program that trades the major FX markets. Via pattern recognition and statistical analysis the program captures the cyclical nature of volatility evident in FX markets. The system trades both long and short positions and therefore does not have directional bias. Due to the short term nature of trading the longer term trend is largely irrelevant to overall performance. Risks are tightly controlled via a money management program.

   

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
-32.56 12 - 7/1/2006 7/1/2007
-14.52 6 5 5/1/2005 11/1/2005
-11.32 3 3 11/1/2003 2/1/2004
-6.85 2 5 1/1/2003 3/1/2003
-6.78 2 3 10/1/2004 12/1/2004
-6.12 1 2 5/1/2004 6/1/2004
-1.39 1 1 4/1/2006 5/1/2006
-0.78 1 1 8/1/2004 9/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
29.05 3 3/1/2004 5/1/2004
17.55 2 10/1/2003 11/1/2003
14.18 2 3/1/2006 4/1/2006
13.49 2 12/1/2002 1/1/2003
10.50 1 8/1/2003 8/1/2003
8.84 3 3/1/2005 5/1/2005
7.38 2 7/1/2004 8/1/2004
7.22 4 8/1/2007 11/1/2007
7.20 1 12/1/2005 12/1/2005
6.15 1 1/1/2005 1/1/2005
5.40 1 6/1/2003 6/1/2003
5.40 1 4/1/2003 4/1/2003
5.20 2 6/1/2006 7/1/2006
4.41 1 10/1/2004 10/1/2004
2.64 2 1/1/2008 2/1/2008
2.00 1 11/1/2008 11/1/2008
0.48 1 6/1/2007 6/1/2007
0.27 1 4/1/2008 4/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.57 10 8/1/2006 5/1/2007
-14.52 6 6/1/2005 11/1/2005
-11.32 3 12/1/2003 2/1/2004
-6.85 2 2/1/2003 3/1/2003
-6.78 2 11/1/2004 12/1/2004
-6.12 1 6/1/2004 6/1/2004
-4.60 6 5/1/2008 10/1/2008
-4.50 1 7/1/2003 7/1/2003
-4.20 1 5/1/2003 5/1/2003
-3.69 1 2/1/2005 2/1/2005
-2.42 2 1/1/2006 2/1/2006
-2.40 1 12/1/2007 12/1/2007
-1.92 1 7/1/2007 7/1/2007
-1.39 1 5/1/2006 5/1/2006
-1.32 1 3/1/2008 3/1/2008
-0.78 1 9/1/2004 9/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable42.4754.9360.2954.8448.2144.0044.7457.69
Average Period Return0.461.052.094.445.754.594.961.94
Average Gain4.676.7510.0117.0028.4034.9335.9415.12
Average Loss-3.17-6.50-9.93-10.82-15.34-19.24-20.11-16.03
Best Period23.1029.0530.7449.6359.7262.0970.5545.11
Worst Period-9.07-15.60-25.04-32.56-29.25-31.63-27.59-24.89
Standard Deviation5.208.6212.5719.2725.9630.2632.4618.57
Gain Standard Deviation5.046.838.5715.3218.0318.3323.5011.15
Loss Standard Deviation2.244.296.7110.608.167.855.668.50
Sharpe Ratio (1%)0.070.090.130.180.160.090.06-0.11
Average Gain / Average Loss1.471.041.011.571.851.821.790.94
Profit / Loss Ratio1.301.401.531.911.721.431.451.29
Downside Deviation (10%)2.925.648.8512.8117.5322.8327.2926.33
Downside Deviation (5%)2.725.087.7710.5813.4316.9217.6914.11
Downside Deviation (0%)2.684.957.5110.0912.4615.5115.5011.69
Sortino Ratio (10%)0.02-0.03-0.04-0.04-0.11-0.25-0.40-0.74
Sortino Ratio (5%)0.140.160.210.320.320.150.11-0.15
Sortino Ratio (0%)0.170.210.280.440.460.300.320.17

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.