Absolute Plus Management LLC : APM Global Returns

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.12%
Sharpe (RFR=1%)
0.33
CAROR
3.42%
Assets
$ 5.0M
Worst DD
-10.69
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
APM Global Returns 0.00 - - - - - 1.37 18.29
S&P 500 0.85 - - - - - 9.52 140.86
+/- S&P 500 -0.85 - - - - - -8.15 -122.57

Strategy Description

Investment Strategy

APM GLOBAL RETURN strategy utilizes a unique asset allocation strategy to capture excess portfolio growth from the interactions of its underlying return drivers: Central Bank Policy Persistence (GFI-CB), Quantitative FX Carry (QFX) and Long Interest Rate and Commodity Volatility... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
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
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Investment Strategy

APM GLOBAL RETURN strategy utilizes a unique asset allocation strategy to capture excess portfolio growth from the interactions of its underlying return drivers: Central Bank Policy Persistence (GFI-CB), Quantitative FX Carry (QFX) and Long Interest Rate and Commodity Volatility (Hedged Global Commodity). Initial allocations are based on forward looking return distributions constructed using a robust statistical framework that accommodates non-normality, extreme co-movements and estimation error collectively optimized to produce long term portfolio growth. Rebalancing of positions serves to keep the fund within its optimal risk budget target range.

   

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
-10.69 3 27 6/1/2008 9/1/2008
-7.15 11 - 12/1/2010 11/1/2011
-4.62 2 2 2/1/2008 4/1/2008
-3.17 2 3 8/1/2007 10/1/2007
-1.21 2 2 1/1/2007 3/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
12.98 4 11/1/2007 2/1/2008
8.28 3 10/1/2008 12/1/2008
7.44 2 5/1/2008 6/1/2008
6.78 5 4/1/2007 8/1/2007
6.53 3 8/1/2010 10/1/2010
4.02 1 1/1/2007 1/1/2007
3.82 1 12/1/2010 12/1/2010
2.99 1 11/1/2009 11/1/2009
2.22 3 7/1/2009 9/1/2009
2.13 1 4/1/2011 4/1/2011
1.73 1 5/1/2009 5/1/2009
1.70 1 1/1/2010 1/1/2010
1.52 2 4/1/2010 5/1/2010
0.29 3 6/1/2011 8/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.69 3 7/1/2008 9/1/2008
-5.39 4 9/1/2011 12/1/2011
-4.64 2 2/1/2010 3/1/2010
-4.62 2 3/1/2008 4/1/2008
-3.17 2 9/1/2007 10/1/2007
-2.96 3 1/1/2011 3/1/2011
-2.51 2 6/1/2010 7/1/2010
-2.48 4 1/1/2009 4/1/2009
-1.48 1 12/1/2009 12/1/2009
-1.26 1 5/1/2011 5/1/2011
-1.21 2 2/1/2007 3/1/2007
-0.95 1 10/1/2009 10/1/2009
-0.86 1 6/1/2009 6/1/2009
-0.16 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable51.6755.1763.6481.6386.0583.7896.00100.00
Average Period Return0.310.851.884.085.206.569.8017.15
Average Gain1.983.544.575.656.238.1810.2317.15
Average Loss-1.53-2.45-2.83-2.94-1.18-1.82-0.57
Best Period8.3212.6312.3216.7423.0318.9820.2227.40
Worst Period-5.56-10.69-6.27-7.15-2.44-3.88-0.578.00
Standard Deviation2.344.024.545.384.895.745.405.44
Gain Standard Deviation1.753.063.244.564.454.735.055.44
Loss Standard Deviation1.372.191.782.100.971.38
Sharpe Ratio (1%)0.100.150.300.570.760.791.252.41
Average Gain / Average Loss1.291.441.621.925.274.4917.82
Profit / Loss Ratio1.431.772.838.5432.4923.19427.74
Downside Deviation (10%)1.622.863.404.134.596.447.916.63
Downside Deviation (5%)1.442.312.261.901.101.680.79
Downside Deviation (0%)1.392.182.001.520.550.890.11
Sortino Ratio (10%)-0.06-0.13-0.17-0.22-0.52-0.57-0.75-0.66
Sortino Ratio (5%)0.160.260.611.623.372.718.58
Sortino Ratio (0%)0.220.390.942.689.417.3585.35

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.