Commodity Trading Advisor Profiles

Manager List » Absolute Return Capital Management »

Absolute Return Capital Management - Ionic Strategy

Principal(s): Lawrence J. Abrams
Strategy: Multi-Strategy / Diversified
Request Disclosure Document
Sign Up to get Monthly Performance Reports by Email
Request Broker Assistance
Investment Restrictions: 4.7 Exempt - QEP Investors Only++
Interested in New Manager Listings? Sign up to receive notifications.

Statistics & Program Information

Mar Return 0.58%	Worst Drawdown ⁽²⁾ -20.07%	Minimum Investment $500,000
YTD Return 4.28%	Losing Streak ⁽³⁾ -9.59 %	AUM⁽⁵⁾ $3,496,049
Annual CROR ⁽¹⁾ 9.21	Sharpe Ratio ⁽⁴⁾ 0.83	Calmar Ratio ⁽⁶⁾ 0.29

Trading Methodology 95% Systematic 5% Discretionary	Style Sub-Categories Momentum Pattern Recognition Volatility Quantitative Trend Anticipatory Long Short Algorithmic Absolute Return Relative Value Systematic	Trading Style 40% Trend Following 60% (Multi-Strategy)
Market Sector 44% Stock Indices 6% Currencies 25% Financials 4% Metals 6% Energies 7% Agriculturals 4% Meats 4% Softs	Holding Period 6% Long Term 30% Medium Term 64% Short Term	Sector US Contracts

Start Date Jul-2019	Currency US Dollar	Margin ⁽⁷⁾ 5-20%
New Money Yes	AUM ⁽⁵⁾ $3,496,049	Management Fee 2.00%
Min Investment $500,000	Annual CROR ⁽¹⁾ 9.21	Incentive Fee 20.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -9.59 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -20.07 %	Avg Comm ⁽⁸⁾
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.83	Max Comm ⁽⁹⁾
NFA Number 0523331	Calmar Ratio ⁽⁶⁾ 0.29	Round Turns ⁽¹⁰⁾ 617

Starting Date: Jul-2019	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $3,496,049
Open to US Investors: Yes	Annual CROR: 9.21%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -20.07
Minimum Managed Account: $500,000	Current Losing Streak: -9.59 %
Domocile:	Calmar: 0.29
Subscriptions: N/A	Sharpe Ratio: 0.83
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Other Fees: None	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: MJT Technologies

Correlations: AG CTA Index: 0.699 AG Systematic CTA Index: 0.691

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return. 6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return. 7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return. 8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%. 9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data. 10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A. 11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Trading Description

The Ionic Strategy is a "Whole Portfolio" multi-strategy concept. It is composed of 3 components: Long Equity Index Futures (such as SP500 and Nasdaq100), Long Fixed Income Futures (such as 30 yr. US Treasury Bonds), and the ARCM Diversified Momentum Component (described below). The Ionic Strategy's purpose is to deliver the aggregate return/risk of a diversified Core Holdings Investment Strategy AND an Alternative Managed Futures Strategy within a single futures-based account.

Given the negative correlation between the equity markets and both the bond and the ARCM Diversified Momentum Component, historical market data and trading history has shown that when one of the components is in a drawdown, the others are not. Additionally, testing and history show that the ARCM Diversified Moment Component adds crisis alpha to the portfolio given that it has peak performance when equities are suffering large losses. The program is thus designed to produce higher returns and lower drawdowns than any of the single components over time.

Through the ARCM Diversified Momentum Component, the 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 Ionic Strategy derives its name from the principle of Ionic Bonding in Chemistry. At a high level, Ionic Bonding occurs when 2 opposite elements interact and bond together to form a new more stable element. An example is Sodium Chloride (NaCl) which is made up of Sodium (Na) and Chlorine (Cl). By themselves, both sodium and chlorine are strong and powerful elements, however, both are toxic if consumed by humans. When they are combined, the Ionic Bond takes place and they become NaCl, commonly known as table salt, an element that is safe and essential to the human body. The Ionic Strategy is similar to the chemical analogy in that the equity and bonds are very powerful but the occasional, significant drawdowns can make them toxic to a portfolio. Likewise, the ARCM Diversified Momentum Component is designed for considerable power, but again, significant drawdowns can occur. Given the negative correlation that exists between equities and both the bonds and the ARCM Diversified Components, combining these three products forms the Ionic Strategy, which should take advantage of the powerful underlying components while producing lower drawdowns than the individual components.

Details of the ARCM Diversified Momentum Component of the Ionic Strategy:

The heart of the Diversified Momentum Component has been derived from Mr. Abrams's 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. Markets tend to make large extended moves when there is a shift in the supply/demand equilibrium. 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.

Proprietary algorithms have been developed that drive the strategy, using a blend of standard and proprietary indicators, filters, and rules. As a direct result of Mr. Abrams's extensive options experience, several proprietary filters derive much of their value by unique metrics from options data even though options are not traded in the strategy.

ARCM algorithms constantly monitor all twenty-nine markets to:

Identify cycles/patterns that can lead to substantial market moves which meet stringent criteria for trading
Pre-calculate Entry/Exit points and position sizing
Execute Trades
Monitor and strictly manage the risk of individual trades, sector risk and overall account position, including the other components of the Ionic Strategy
Adjust and Exit Trades

Risk Strategy

Risk Management is the most important factor in our decision-making process. Our algorithms monitor and strictly manage the risk of individual trades, sector risk and overall account position.

Background

Lawrence Abrams (Principal) 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.

Accounting Notes:

Proprietary Trading From July 2019 through Sept 2021. Combined Proprietary and Client Trading from October 2021.

Performance

Proprietary Trading From July 2019 through Sept 2021. Combined Proprietary and Client Trading from October 2021. (A Portion of this Performance is based on Proprietary Trading)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-0.20%	3.89%	0.58%										4.28%	-0.2%
2023	1.45%	-2.11%	-2.04%	1.22%	-1.62%	2.05%	1.84%	-3.32%	-1.53%	-3.47%	4.24%	4.06%	0.36%	-8.8%
2022	2.28%	3.83%	5.42%	0.37%	-1.79%	-2.36%	2.54%	-3.87%	-1.92%	-2.48%	-0.87%	-3.61%	-2.93%	-13.61%
2021	-0.70%	5.09%	1.36%	8.09%	2.21%	1.34%	1.27%	1.92%	-0.75%	3.60%	-0.88%	-1.04%	23.28%	-1.91%
2020	3.03%	-0.01%	1.40%	5.19%	0.89%	0.73%	3.80%	0.11%	-2.88%	-0.59%	4.28%	6.00%	23.84%	-3.45%
2019							-0.21%	1.55%	-5.52%	-3.36%	3.85%	1.96%	-2.03%	-8.69%

Annual Performance

Years	2019	2020	2021	2022	2023	2024 YTD
ROR	-2.03%	23.84%	23.28%	-2.93%	0.36%	4.28%
Max DD	-8.69%	-3.45%	-1.91%	-13.61%	-8.80%	-0.20%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

Chart

++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

CTA Profiles