Tracking CTAs since 1994
ABR Dynamic Funds LLC
ABR 75/25 Volatility Strategy Fund
Principal(s):
Strategy: Quantitative / Absolute Return / VIX, S&P 500, US Treasuries, Cash
Investment Restrictions: 2.12(c)3 - QEPs Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
The ABR 75/25 Volatility Strategy is intended as an optimal blend of 75% ABR Dynamic Blend Equity and Volatility Index (ABRVXX) plus 25% ABR Enhanced Short Volatility Index (ABRXIV). Using ABR's proprietary models, the strategy incorporates long volatility exposure to target significant gains in extended periods of high volatility (Crisis Alpha) while using short volatility exposure to seek to harvest the volatility risk premium in normal markets. With both long and short exposures to volatility, the ABR 75/25 Volatility Strategy has the potential to produce positive returns in various market conditions. The ABRVXX and ABRXIV Indices were created on April 30, 2015, and January 31, 2017, respectively, with a time series data beginning on December 30, 2005. Each individual Index is independently calculated and published by Wilshire Associates
History of ABR Dynamic FundsFounded in 2015, ABR focuses on maximizing risk-adjusted returns in highly scalable, systematic solutions using proprietary research and quantitative modelling.
Taylor Lukof - Founder / CEO / Fund Manager: Mr. Lukof is the Founder/CEO and Fund Manager. He has over 20 years of investment experience. He was formerly a partner at Toro Trading LLC, where he co-managed equity derivative trading strategies. Mr. Lukof, as a market maker, was responsible for trading single name and index-related exchanged traded products. He began his career at TANSTAAFL Research & Trading, LLC, as the youngest member of the American Stock Exchange at that time. Mr. Lukof graduated from Bucknell University, Cum Laude, with a Bachelor of Science in Business Administration.
David Skordal - Co-Founder / Fund Manager: Mr. Skordal is a co-Founder and Fund Manager at ABR Dynamic Funds. He has over 20 years of investment experience. He was formerly a Trader at Toro Trading
LLC, where he worked alongside Mr. Lukof. At Toro Trading, he developed and managed the international Exchange Traded Funds desk. Before joining Toro
Trading in 2009, Mr. Skordal was a specialist on the American Stock Exchange for Susquehanna International Group. He has a 14-year working relationship with. Mr. Lukof.
Mr. Skordal graduated from Massachusetts Institute of Technology (MIT) with a Bachelor of Science (SB) degree in Physics.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.20% | -1.60% | -6.77% | – | – | – | – | – | – | – | – | – | -6.24% | -8.26% |
| 2024 | 0.30% | 2.60% | 2.40% | -3.90% | 3.90% | 2.90% | 1.34% | 1.40% | 1.90% | -4.30% | 8.74% | -2.20% | 15.38% | -4.30% |
| 2023 | 9.30% | -2.70% | 0.20% | 4.60% | 0.70% | 6.00% | 1.70% | -3.00% | -4.90% | -2.50% | 8.90% | 5.34% | 24.84% | -10.06% |
| 2022 | -6.80% | -7.30% | 0.30% | -10.30% | -6.80% | -7.30% | 10.40% | -2.50% | -8.00% | 6.00% | 6.10% | -5.20% | -29.10% | -33.50% |
| 2021 | -5.50% | 2.90% | 7.40% | 6.30% | 0.30% | 3.50% | 1.90% | 4.30% | -4.90% | 7.90% | -3.80% | 5.50% | 27.56% | -5.50% |
| 2020 | 0.70% | -3.84% | 21.80% | 4.50% | 4.70% | -7.54% | 6.70% | 6.30% | -7.20% | -4.60% | 10.70% | 2.40% | 35.81% | -11.47% |
| 2019 | 5.50% | 2.90% | 2.70% | 2.70% | -3.40% | 6.40% | 1.10% | -0.74% | 1.80% | 1.30% | 3.20% | 1.30% | 27.32% | -3.40% |
| 2018 | 3.20% | -6.80% | -2.70% | -0.10% | 2.00% | -0.30% | 1.90% | 2.60% | -0.40% | -4.70% | 1.30% | -9.20% | -13.22% | -15.91% |
| 2017 | – | 3.10% | 0.10% | -0.10% | 0.80% | 0.20% | 1.40% | -1.30% | 1.60% | 1.90% | 2.20% | 1.40% | 11.81% | -1.30% |
Track Record Compiled By: Wilshire Associates
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
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.