Inception to date 2006 to Present
How The Abraham Diversified Program Fits Into a Long Portfolio
Life to date 2006 to Present

Return Statistics

  ABRAHAM S&P 500
Cumulative Return 6139.55% 1791.08%
Annualized Return 15.04% 10.48%
Annualized Standard Deviation 29.57% 14.15%
Sharpe Ratio 0.40 0.51
Beta (vs S&P 500) -0.13
 
Correlation (vs S&P 500) -0.07
1 Year Return -15.03% 17.91%
1 Year Std Dev 6.58% 6.09%
3 Year Return 0.40% 31.77%
3 Year Std Dev 10.05% 10.35%
5 Year Return 5.38% 98.02%
5 Year Std Dev 8.73% 9.56%
10 Year Return 40.16% 100.15%
10 Year Std Dev 10.66% 15.21%
Max Drawdown -31.96% -50.95%
  ABRAHAM S&P 500
Cumulative Return 64.10% 147.88%
Annualized Return 4.40% 8.21%
Annualized Standard Deviation 10.83% 14.38%
Sharpe Ratio 0.10 0.34
Beta (vs S&P 500) -0.11
 
Correlation (vs S&P 500) -0.08
1 Year Return -15.03% 17.91%
1 Year Std Dev 6.58% 6.09%
3 Year Return 0.40% 31.77%
3 Year Std Dev 10.05% 10.35%
5 Year Return 5.38% 98.02%
5 Year Std Dev 8.73% 9.56%
10 Year Return 40.16% 100.15%
10 Year Std Dev 10.66% 15.21%
Max Drawdown -16.50% -50.95%

Correlation

  ABRAHAM S&P 500 Barclays Long Bond
Abraham -
S&P 500 -0.06 -
Barclays Long Bond 0.16 -0.07 -

Correlation

  ABRAHAM S&P 500 Barclays Long Bond
Abraham -
S&P 500 -0.11 -
Barclays Long Bond 0.19 -0.29 -

Looking for the latest data for Abraham? DOWNLOAD IT HERE

Abraham Diversified Program Returns

Returns are Net of Fees