Enki Capital Management : ABZU Fixed Income Strategy Moderate Program

archived programs
Year-to-Date
N / A
May Performance
-7.75%
Min Investment
$ 625k
Mgmt. Fee
27.50%
Perf. Fee
1.00%
Annualized Vol
25.34%
Sharpe (RFR=1%)
0.51
CAROR
11.36%
Assets
$ 10.0M
Worst DD
-39.13
S&P Correlation
-0.59

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
9/2006
ABZU Fixed Income Strategy Moderate Program -7.75 - - - - - - 34.45
S&P 500 5.31 - - - - - - 159.32
+/- S&P 500 -13.06 - - - - - - -124.87

Strategy Description

Summary

-The Abzu Fixed Income Strategy employs six volatility-targeted proprietary programs for trading Fed Funds and Eurodollar Futures along with 10-30 year US Treasury securities. The strategy was developed by Ed Dworkin through 21 years of industry experience which includes 14 years as... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 625k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 27.50%
Performance Fee 1.00%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 18%
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 90.00%
Systematic 10.00%

Strategy

Summary

-The Abzu Fixed Income Strategy employs six volatility-targeted proprietary programs for trading Fed Funds and Eurodollar Futures along with 10-30 year US Treasury securities. The strategy was developed by Ed Dworkin through 21 years of industry experience which includes 14 years as a CBOT Member and 5 years as the Fed Funds Pit Chairman. Mr. Dworkin has also been a guest on CNBC many times for his insight into US monetary policy.

   

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
-39.13 4 - 1/1/2009 5/1/2009
-8.51 1 5 3/1/2008 4/1/2008
-6.80 1 3 4/1/2007 5/1/2007
-5.76 4 1 9/1/2006 1/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
68.49 10 6/1/2007 3/1/2008
38.00 5 9/1/2008 1/1/2009
10.09 3 2/1/2007 4/1/2007
6.97 1 5/1/2008 5/1/2008
1.81 1 12/1/2006 12/1/2006
1.04 1 9/1/2006 9/1/2006
0.05 1 7/1/2008 7/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-39.13 4 2/1/2009 5/1/2009
-8.51 1 4/1/2008 4/1/2008
-6.80 1 5/1/2007 5/1/2007
-5.32 2 10/1/2006 11/1/2006
-2.24 1 1/1/2007 1/1/2007
-0.49 1 6/1/2008 6/1/2008
-0.20 1 8/1/2008 8/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable66.6761.2992.8690.91100.00
Average Period Return1.175.6116.2440.4770.36
Average Gain4.9114.7420.0445.5070.36
Average Loss-6.30-8.84-33.17-9.88
Best Period14.6031.8745.2778.10119.32
Worst Period-22.08-34.44-36.30-16.541.91
Standard Deviation7.3115.3920.0824.1731.34
Gain Standard Deviation4.368.5614.9718.6431.34
Loss Standard Deviation6.2512.454.429.42
Sharpe Ratio (1%)0.150.350.781.632.20
Average Gain / Average Loss0.781.670.604.60
Profit / Loss Ratio1.562.647.8546.05
Downside Deviation (10%)5.189.709.564.921.42
Downside Deviation (5%)5.049.329.043.85
Downside Deviation (0%)5.019.238.913.59
Sortino Ratio (10%)0.150.451.447.2244.22
Sortino Ratio (5%)0.220.581.7410.26
Sortino Ratio (0%)0.230.611.8211.26

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.