Absolute Plus Management LLC : Hedged Global Commodity

archived programs
Year-to-Date
N / A
Apr Performance
-0.02%
Min Investment
$ 10,000k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
11.21%
Sharpe (RFR=1%)
0.71
CAROR
8.69%
Assets
$ 36.0M
Worst DD
-15.36
S&P Correlation
-0.09

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/1998
Hedged Global Commodity -0.02 - - - - - -2.29 223.49
S&P 500 -0.75 - - - - - 29.78 191.09
+/- S&P 500 0.73 - - - - - -32.08 32.40

Strategy Description

Investment Strategy

The APM HEDGED GLOBAL COMMODITY PROGRAM ("HGC") exploits the relationship between economic expansion and commodity demand. The options basket is designed to produce a stable negative correlation versus the global fixed income markets. When commodity demand increases, HGC... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 15.00%
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 2000 RT/YR/$M
Avg. Margin-to-Equity 10%
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 0%
Systematic 100.00%

Strategy

Composition

Currency Futures
26.00%
Interest Rates
26.00%
Industrial Metals
8.00%
Precious Metals
8.00%
Energy
8.00%
Grains
8.00%
Livestock
8.00%
Softs
8.00%
Composition Pie Chart

Investment Strategy

The APM HEDGED GLOBAL COMMODITY PROGRAM ("HGC") exploits the relationship between economic expansion and commodity demand. The options basket is designed to produce a stable negative correlation versus the global fixed income markets. When commodity demand increases, HGC benefits thru a dynamic increase in the portfolio exposure to commodities. When economies contract, HGC benefits through a varying exposure to G-10 interest rate markets. The commodity options program trades on the major non-financial futures markets and utilizes two components of commodity price behavior to its advantage: The Fat Tail Nature of Commodity Returns (caused by supply demand shocks / imbalances) and The Reverting Nature of commodity price paths. The dynamic long option trading positions benefit from rallying commodities while de-leveraging commodities that are falling in price. HGC rebalances the options basket to maximize the benefit of potential price retracement and reversion probability.

   

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
-15.36 12 7 1/1/2001 1/1/2002
-13.88 4 26 6/1/2008 10/1/2008
-8.41 5 6 9/1/1998 2/1/1999
-8.30 10 - 4/1/2011 2/1/2012
-8.15 2 1 2/1/2003 4/1/2003
-6.78 2 1 9/1/2002 11/1/2002
-5.22 4 1 1/1/0001 7/1/1998
-4.29 2 2 2/1/2008 4/1/2008
-3.70 4 3 7/1/2003 11/1/2003
-3.46 1 1 5/1/2003 6/1/2003
-3.20 1 3 5/1/2004 6/1/2004
-3.13 1 1 6/1/2000 7/1/2000
-3.04 3 2 1/1/2000 4/1/2000
-2.94 1 2 1/1/2006 2/1/2006
-2.55 5 2 4/1/2006 9/1/2006
-2.55 1 1 8/1/2000 9/1/2000
-2.33 4 4 11/1/2006 3/1/2007
-1.96 2 2 9/1/1999 11/1/1999
-1.36 3 1 12/1/2010 3/1/2011
-1.16 1 1 3/1/2004 4/1/2004
-0.93 1 2 3/1/2005 4/1/2005
-0.45 1 1 12/1/2004 1/1/2005
-0.09 1 1 6/1/2005 7/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
33.79 4 6/1/2002 9/1/2002
33.47 11 4/1/2007 2/1/2008
17.75 2 8/1/1998 9/1/1998
17.38 6 8/1/2005 1/1/2006
16.19 3 12/1/2002 2/1/2003
12.96 4 10/1/2000 1/1/2001
10.53 2 3/1/2006 4/1/2006
10.37 2 11/1/2008 12/1/2008
10.29 6 7/1/2004 12/1/2004
9.57 1 5/1/2003 5/1/2003
9.26 3 8/1/2010 10/1/2010
8.75 4 12/1/2003 3/1/2004
7.83 2 8/1/1999 9/1/1999
6.73 1 6/1/1999 6/1/1999
6.46 1 7/1/2003 7/1/2003
6.20 3 8/1/2001 10/1/2001
6.13 2 5/1/2008 6/1/2008
5.36 1 12/1/2010 12/1/2010
4.89 2 5/1/2000 6/1/2000
4.62 1 11/1/2009 11/1/2009
3.94 2 2/1/2005 3/1/2005
3.86 3 4/1/2010 6/1/2010
3.77 2 2/1/2002 3/1/2002
3.51 1 8/1/2000 8/1/2000
3.36 2 3/1/1999 4/1/1999
3.30 1 5/1/2009 5/1/2009
3.13 3 7/1/2009 9/1/2009
2.83 2 12/1/1999 1/1/2000
2.62 2 10/1/2006 11/1/2006
2.56 1 4/1/2011 4/1/2011
2.50 1 8/1/2008 8/1/2008
2.40 1 5/1/2004 5/1/2004
2.28 1 1/1/2010 1/1/2010
2.21 2 5/1/2005 6/1/2005
1.77 3 6/1/2011 8/1/2011
0.80 1 4/1/2001 4/1/2001
0.80 1 8/1/2006 8/1/2006
0.71 1 3/1/2000 3/1/2000
0.41 1 2/1/2011 2/1/2011
0.40 1 1/1/2007 1/1/2007
0.26 1 9/1/2003 9/1/2003
0.23 1 3/1/2012 3/1/2012
0.17 1 12/1/1998 12/1/1998
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.64 3 11/1/2001 1/1/2002
-10.92 2 9/1/2008 10/1/2008
-8.50 4 1/1/2009 4/1/2009
-8.15 2 3/1/2003 4/1/2003
-7.96 6 9/1/2011 2/1/2012
-6.78 2 10/1/2002 11/1/2002
-6.10 2 2/1/2010 3/1/2010
-5.69 1 7/1/2008 7/1/2008
-5.51 3 5/1/2001 7/1/2001
-5.22 4 4/1/1998 7/1/1998
-5.17 2 10/1/1998 11/1/1998
-4.29 2 3/1/2008 4/1/2008
-3.58 2 1/1/1999 2/1/1999
-3.53 1 7/1/2010 7/1/2010
-3.46 1 6/1/2003 6/1/2003
-3.20 1 6/1/2004 6/1/2004
-3.13 1 7/1/2000 7/1/2000
-3.03 2 10/1/2003 11/1/2003
-2.94 1 2/1/2006 2/1/2006
-2.55 1 9/1/2000 9/1/2000
-2.10 1 5/1/2011 5/1/2011
-2.01 2 4/1/2002 5/1/2002
-1.99 1 12/1/2006 12/1/2006
-1.98 1 2/1/2000 2/1/2000
-1.97 2 2/1/2001 3/1/2001
-1.96 2 10/1/1999 11/1/1999
-1.82 1 9/1/2006 9/1/2006
-1.78 1 4/1/2000 4/1/2000
-1.67 1 12/1/2009 12/1/2009
-1.59 1 5/1/1999 5/1/1999
-1.57 1 10/1/2009 10/1/2009
-1.53 3 5/1/2006 7/1/2006
-1.45 1 6/1/2009 6/1/2009
-1.30 1 7/1/1999 7/1/1999
-1.16 1 4/1/2004 4/1/2004
-1.10 1 1/1/2011 1/1/2011
-0.95 1 8/1/2003 8/1/2003
-0.93 1 4/1/2005 4/1/2005
-0.75 2 2/1/2007 3/1/2007
-0.67 1 3/1/2011 3/1/2011
-0.45 1 1/1/2005 1/1/2005
-0.24 1 11/1/2010 11/1/2010
-0.09 1 7/1/2005 7/1/2005
-0.02 1 4/1/2012 4/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods169.00167.00164.00158.00152.00146.00134.00122.00110.00
Percent Profitable56.8063.4768.9083.5486.8491.10100.0098.36100.00
Average Period Return0.752.304.7810.0015.6121.2234.2951.7671.41
Average Gain2.865.358.7213.3118.6823.7134.2952.6771.41
Average Loss-2.02-3.00-3.96-6.79-4.64-4.23-2.44
Best Period11.5427.6531.1047.3452.4158.8776.83123.55123.71
Worst Period-6.62-14.64-13.20-15.36-11.85-7.770.45-3.7227.84
Standard Deviation3.245.808.2511.6212.6114.1919.1524.9224.06
Gain Standard Deviation2.494.796.659.5510.4912.2619.1524.1124.06
Loss Standard Deviation1.612.793.064.222.902.751.81
Sharpe Ratio (1%)0.210.350.520.781.121.351.631.912.76
Average Gain / Average Loss1.411.782.201.964.035.6121.58
Profit / Loss Ratio1.863.104.879.9526.5957.381294.80
Downside Deviation (10%)1.913.064.005.204.754.793.794.30
Downside Deviation (5%)1.742.583.013.582.462.020.270.91
Downside Deviation (0%)1.692.472.783.231.971.490.35
Sortino Ratio (10%)0.180.350.580.961.692.294.887.03
Sortino Ratio (5%)0.380.801.422.515.749.49114.7252.55
Sortino Ratio (0%)0.440.931.723.107.9314.26146.65

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.