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 6022.17% 1999.12%
Annualized Return 14.53% 10.56%
Annualized Standard Deviation 29.20% 140.03%
Sharpe Ratio 0.38 0.52
Beta (vs S&P 500) -0.13
 
Correlation (vs S&P 500) -0.06
1 Year Return -6.61% 13.26%
1 Year Std Dev 7.41% 8.51%
3 Year Return -13.67% 35.23%
3 Year Std Dev 8.87% 10.26%
5 Year Return 1.90% 84.03%
5 Year Std Dev 8.62% 9.87%
10 Year Return 9.17% 137.19%
10 Year Std Dev 9.94% 14.99%
Max Drawdown -31.96% -50.95%
  ABRAHAM S&P 500
Cumulative Return 61.01% 175.15%
Annualized Return 3.94% 8.55%
Annualized Standard Deviation 10.60% 14.08%
Sharpe Ratio 0.06 0.37
Beta (vs S&P 500) -0.09
 
Correlation (vs S&P 500) -0.12
1 Year Return -6.61% 13.26%
1 Year Std Dev 7.41% 8.51%
3 Year Return -13.67% 35.23%
3 Year Std Dev 8.87% 10.26%
5 Year Return 1.90% 84.03%
5 Year Std Dev 8.62% 9.87%
10 Year Return 9.17% 137.19%
10 Year Std Dev 9.94% 14.99%
Max Drawdown -19.48% -50.95%

Correlation

  ABRAHAM S&P 500 Barclays Long Bond
Abraham --
S&P 500 -0.06 --
Barclays Long Bond 0.17 -0.07 --

Correlation

  ABRAHAM S&P 500 Barclays Long Bond
Abraham --
S&P 500 -0.10 --
Barclays Long Bond 0.21 -0.3 --

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Abraham Diversified Program Returns

Returns are Net of Fees