Absolute Return Capital Management : Diversified Momentum Strategy

Year-to-Date
27.34%
Jun Performance
0.28%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.31%
Sharpe (RFR=1%)
0.88
CAROR
18.23%
Assets
$ 472k
Worst DD
-16.59
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
7/2019
Diversified Momentum Strategy 0.28 3.51 27.34 34.71 - - - 39.79
S&P 500 2.22 8.17 18.13 43.11 - - - 52.26
+/- S&P 500 -1.94 -4.66 9.22 -8.40 - - - -12.47

Strategy Description

Summary

The ARCM Diversified Momentum 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... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 300k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
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 1229 RT/YR/$M
Avg. Margin-to-Equity 13%
Targeted Worst DD
Worst Peak-to-Trough -16.59%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 3.00%
1-3 Months 31.00%
1-30 Days 66.00%
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

Grains
17.00%
Currency Futures
14.00%
Energy
14.00%
Interest Rates
14.00%
Stock Indices
14.00%
Precious Metals
10.00%
Softs
10.00%
Livestock
7.00%
Composition Pie Chart

Summary

The ARCM Diversified Momentum 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 Diversified Momentum Strategy uses a systematic, quantitative approach, to trade and strictly manage risk across a current universe of 29 futures contracts in eight market sectors (Financial Instruments - Govt. Securities, Foreign Currencies, Stock Indexes, Grains, Metals, Energies, Meats, and Soft Commodities). All traded markets have significant volume and liquidity and are traded on major regulated Futures Exchanges. The heart of the Diversified Momentum Component has been derived from Mr. Abrams’ experience and knowledge of Time Series Momentum and Cycle Identification. ARCM utilizes proprietary analysis to measure and ultimately act upon changes in price behavior driven by fundamental, technical, and discretionary shifts in supply and demand balance. In short, the Diversified Momentum Component is designed to take advantage of what ARCM believes are rhythms and rhymes created within individual derivatives markets. Algorithms are in place that dynamically identify these situations and opportunistically take advantage of them using a measured and risk-managed methodology.

   

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
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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
-16.59 2 6 8/1/2019 10/1/2019
-7.12 2 3 7/1/2020 9/1/2020
-1.33 2 1 4/1/2020 6/1/2020
-0.32 1 1 1/1/0001 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
45.04 9 10/1/2020 6/1/2021
16.99 2 3/1/2020 4/1/2020
9.58 3 11/1/2019 1/1/2020
2.90 1 8/1/2019 8/1/2019
2.48 1 7/1/2020 7/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.59 2 9/1/2019 10/1/2019
-7.12 2 8/1/2020 9/1/2020
-6.43 1 2/1/2020 2/1/2020
-1.33 2 5/1/2020 6/1/2020
-0.32 1 7/1/2019 7/1/2019
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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.