Absolute Return Capital Management : ARCM Ionic Strategy

Year-to-Date
0.70%
Jan Performance
-0.70%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.33%
Sharpe (RFR=1%)
1.10
CAROR
-
Assets
$ 641k
Worst DD
-8.69
S&P Correlation
0.40

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
7/2019
ARCM Ionic Strategy -0.70 5.26 -0.70 19.37 - - - 20.48
S&P 500 -1.11 13.59 -1.11 15.15 - - - 32.02
+/- S&P 500 0.41 -8.33 0.41 4.22 - - - -11.55

Strategy Description

Summary

ARCM Ionic Strategy is managed by Lawrence Abrams who has over 30 years of experience as a Futures and Options trader and broker. He has successfully traded through periods of drought, market crashes, natural and man-made disasters, clearing firm defaults, sweeping regulatory reforms,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.50
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 705 RT/YR/$M
Avg. Margin-to-Equity 9%
Targeted Worst DD
Worst Peak-to-Trough -8.69%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 6.00%
1-3 Months 30.00%
1-30 Days 64.00%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Momentum
15.00%
Pattern Recognition
15.00%
Seasonal/cyclical
5.00%
Technical
50.00%
Trend-following
15.00%
Strategy Pie Chart

Composition

Stock Indices
44.00%
Interest Rates
25.00%
Grains
7.00%
Currency Futures
6.00%
Energy
6.00%
Precious Metals
4.00%
Livestock
4.00%
Softs
4.00%
Composition Pie Chart

Summary

ARCM Ionic Strategy is managed by Lawrence Abrams who has over 30 years of experience as a Futures and Options trader and broker. He has successfully traded through periods of drought, market crashes, natural and man-made disasters, clearing firm defaults, sweeping regulatory reforms, and more than a dozen so-called "Black Swan" events. Abrams' ability to prosper during tumultuous market periods is what ultimately inspired him to create ARCM. Mr. Abrams was a partner of Cooper Neff, one of the nation's leading options market-making and technology innovation groups. The firm created many of the pricing and risk assessment tools that are still used by the derivatives industry decades later. Mr. Abrams was instrumental in significantly expanding the firm's footprint on The Philadelphia Stock Exchange, The Kansas City Board of Trade, Chicago Board of Options Exchange (CBOE), Chicago Mercantile Exchange (CME), and The Chicago Board of Trade (CBOT). After his division of Cooper Neff was acquired by a major Japanese Bank, Mr. Abrams formed his own trading firm, which operated from the CBOT trading floor. In the crucible of pit trading, Mr. Abrams developed many proprietary indicators, unique market analysis tools, and a range of risk management protocols to identify, trade, and manage trading opportunities. Abrams was a prominent "top-step" trader and market maker in the Soybean Options and Futures Pits at the CBOT and was elected to serve terms as a member of the Soybean Options Pit Committee. He was also nominated as a member and Vice-Chairman of the Chicago Board of Trade COM Committee (representing all options traders and options products at the CBOT). Upon retiring from the trading floor in Chicago in 2015, he devoted the next 4 years of his time extensively researching, testing, and refining the managed futures strategies which underpin ARCM�s trading models. Mr. Abrams is a graduate of Boston University holding a Bachelor of Science degree in Business Administration with a concentration in Finance. Additionally, he is actively involved with Open Heart Magic, a Chicago-based non-profit organization, training and providing opportunities for volunteer magicians to bring laughter, hope, and strength to sick children and their families at their hospital bedsides.

Investment Strategy

The ARCM Ionic Strategy is a “Whole Portfolio” multi-strategy concept designed to deliver superior returns and lower drawdowns than a traditional investment portfolio. It is composed 3 components: Long Equity Index Futures (such as SP500 and Nasdaq100), Long Fixed Income Futures (such as 30 yr. US Treasury Bonds), and the ARCM Diversified Momentum Component. Ionic’s purpose is to deliver the aggregate return/risk of a diversified Core Holdings Investment Strategy AND an Alternative Managed Futures Strategy within a single futures-based account. The Diversified Momentum Component uses a systematic quantitative approach, to trade and strictly manage risk across a current universe of 29 futures contracts in 8 market sectors (Financial Instruments - Govt. Securities, Foreign Currencies, Stock Indexes, Grains, Metals, Energies, Meats, and Soft Commodities).

Risk Management

Risk Management is the most important factor in our decision-making process. Our algorithms monitor and strictly manage the risk of individual trades, sector risk and overall account position.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-8.69 2 5 8/1/2019 10/1/2019
-3.45 2 1 8/1/2020 10/1/2020
-0.70 1 - 12/1/2020 1/1/2021
-0.21 1 1 1/1/0001 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
12.64 6 3/1/2020 8/1/2020
10.54 2 11/1/2020 12/1/2020
9.09 3 11/1/2019 1/1/2020
1.55 1 8/1/2019 8/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.69 2 9/1/2019 10/1/2019
-3.45 2 9/1/2020 10/1/2020
-0.70 1 1/1/2021 1/1/2021
-0.21 1 7/1/2019 7/1/2019
-0.01 1 2/1/2020 2/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable63.1676.4785.71100.00
Average Period Return1.033.147.4316.46
Average Gain2.735.658.8716.46
Average Loss-1.90-5.02-1.22
Best Period6.009.8816.3523.84
Worst Period-5.52-7.28-2.039.41
Standard Deviation2.985.425.694.64
Gain Standard Deviation1.903.084.724.64
Loss Standard Deviation2.071.681.15
Sharpe Ratio (1%)0.320.531.223.33
Average Gain / Average Loss1.441.137.30
Profit / Loss Ratio2.473.6643.81
Downside Deviation (10%)1.823.111.48
Downside Deviation (5%)1.672.650.72
Downside Deviation (0%)1.642.530.55
Sortino Ratio (10%)0.340.623.36
Sortino Ratio (5%)0.561.099.67
Sortino Ratio (0%)0.631.2413.44

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.