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 6177.19% 1772.56%
Annualized Return 15.11% 10.47%
Annualized Standard Deviation 29.61% 14.17%
Sharpe Ratio 0.40 0.51
Beta (vs S&P 500) -0.13
 
Correlation (vs S&P 500) -0.06
1 Year Return -12.46% 17.06%
1 Year Std Dev 7.56% 6.16%
3 Year Return 4.44% 33.17%
3 Year Std Dev 10.22% 10.37%
5 Year Return 1.31% 104.16%
5 Year Std Dev 8.96% 9.65%
10 Year Return 46.16% 94.90%
10 Year Std Dev 10.71% 15.22%
Max Drawdown -31.96% -50.95%
  ABRAHAM S&P 500
Cumulative Return 65.09% 145.45%
Annualized Return 4.49% 8.18%
Annualized Standard Deviation 10.86% 14.43%
Sharpe Ratio 0.11 0.34
Beta (vs S&P 500) -0.11
 
Correlation (vs S&P 500) -0.08
1 Year Return -12.46% 17.06%
1 Year Std Dev 7.56% 6.16%
3 Year Return 4.44% 33.17%
3 Year Std Dev 10.22% 10.37%
5 Year Return 1.31% 104.16%
5 Year Std Dev 8.96% 9.65%
10 Year Return 46.16% 94.90%
10 Year Std Dev 10.71% 15.22%
Max Drawdown -15.99% -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 -

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Abraham Diversified Program Returns

Returns are Net of Fees