Abraham Trading Company Diversified Program
With over 25 years of experience in money management, the Abraham Trading Company or Abraham Trading Company is one of the most experienced CTAs. ATC’s methodology in trading is very systematic and covers a wide range of strategies and time frames. With 59 future markets being traded and over half weighting dedicated to commodity futures, Abraham Trading Company has a highly diversified portfolio that it can offer to investors. Few other CTA’s can compare with ATC’s exposure to the commodity futures markets.
Abraham Trading Company is a program that is systematic, global in trading and multi-strategic. It started on January 1988. As of December 31, 2014, the firm’s AUM is at $274 million. It is located in Canadian, Texas. Abraham Trading Company principals are Salem Abraham, Mark Abraham, Larry Smith, Barry Sims, Chris Barney and Andrew Zachary.
Continuing his leadership of the Abraham Trading Company, the founder, Salem Abraham heads the company.
Goals in Investment
The goal of Abraham Trading Company is to achieve long-term capital appreciation with the management of risk that is disciplined.
59 future markets across the globe. 56% weighting is to markets in the physical commodities.
Abraham Trading Company’s trading approach is based on the premise that commodity interests enter into varying periods of major price changes, from either a higher or a lower level. Although limited, these changes in prices can be identified and predicted. Abraham Trading Company is able to identify market events that can create the major price changes.
With these identification systems developed through thorough statistical and mathematical research and technical analysis, they are further combined with other strategies. Short and long term trend following, short term momentum and mean reversion strategies are put together with the identification systems. The result is a reduction of volatility with the performance intact.
These strategies are also tempered through management of risk. Discipline is achieved when the computer generates signals that will prompt trading recommendations. Some of the factors that the system considers for its final evaluation for a trading decision are: risk and reward potential, overall trading goals of the program and its relation to the risk profile of the entire portfolio.
Each commodity is evaluated based on its merits. The time when the actual trade is entered also determines the exit levels. Abraham Trading Company is manned by a trading desk that monitors the markets 24 hours a day. Whenever the market is open, instead of placing stop loss or stop limit orders, the desks utilize exit levels.
Salem Abraham is the President and Founder of Abraham Trading Company. For more than 25 years, he has been trading in the global futures markets using these quantitative models. Even when he was still attending Notre Dame, he has already begun trading. In 1987, he graduated with B.B.A. in Finance, cum laude.
In January 1988, he used his trading approach for managed accounts. In October 1988, he became registered as a Commodity Trading Advisor. In 1990, he organized the Abraham Trading Company. Today, he still helms the research efforts of the company.
Mark Abraham is the Director of Research in the Austin Branch of Abraham Trading Company. In May 1995, he graduated from the University of Texas at Austin. He completed a B.B.A. in Finance. Even while attending the University, he joined Salem as his research assistant. Today, Mark contributes by developing; testing and refining Salem’s trading strategies through research platforms.
Larry Smith is part of the Research team of Abraham Trading Company. He is CFTC registered as an associate of Abraham Trading Company. In 1993, he graduated from West Texas A&M University with a B.B.A. in Finance. In 1995, he joined ATC with the responsibility of supervising the trading desk and developing improvements for ATC’s trading strategies.
Barry Sims is the CEO of Abraham Trading Company. He is also CFTC registered as an associated of Abraham Trading Company. From 1976 to 1979, he attended the Texas Tech University. In 1980, he was developing software for various financial institutions. As a specialist in computer programming and hardware, he ushered ATC t o become the very first firm to automate order entry to the Chicago Mercantile Exchange.
Chris Barney joined Abraham Trading Company in 2008. His task is to assist in the developing, testing and refining ATC’s trading systems. In 1999, he completed his BS in Mathematics from the Massachusetts Institute of Technology. In 2002, he completed his Masters degree with specialization in mathematical logic in Kobe University, Japan. He published in The Journal of Symbolic Logic new results for the field of set theory.
Andrew Zachary is also part of Abraham Trading Company Research. He received his degree in Astronomy and Astrophysics from Harvard University, magna cum laude. He received his Ph. D. at U.C. Berkeley. At the University of Chicago, he was a Post-doctoral researcher in Astronomy and at the Lawrence Livermore National Laboratory he did consulting work.
He began his career in finance at LTCM as a senior strategist. There he developed models for the firm’s fixed income, stat arb and equity derivative. From RGM Advisors in Austin, he developed models that allowed machines to learn to trade high frequency futures, bonds and equities. From there he joined Abraham Trading Company.
Abraham Trading Company offers managed account. Management fee is 2%, performance fee is 20% and the minimum investment is $10 million. It also offers to US investors and there are no high watermarks.
Frequency of trading is at 1500 RT/YR/$M. Average margin to equity is 9% with a targeted worst DD at -25%. There is a 1 to 3 months of holding period of trades at 64% and 4 to 12 months for the remaining 36%. This makes Abraham Trading Company a medium to long term program. The ATC program is 100% systematic, 45% is dedicated to the following of trends, 34% to counter-trends and 21% to other strategies.
The composition of the assets are: 22% to interest rates, 17% for currency futures, 16% for soft commodities, 11% for precious metals, 10% for stocks, 10% for gains, 8% for energy and the remaining 6% for livestock.
1988 to 2014 Performance Statistics
Abraham Trading Company has a cumulative total return of 7003.26%. Annualized compound return is at 17.10%. Annualized standard deviation is at 30.70%. Monthly correlation to S&P 500 TRI is at -0.06. Annualized sharpe ratio (0%) is at 0.65. Apr 1989 monthly maximum loss is at -20.08%. From July to October 1989, there is a maximum drawdown of -31.96%. By 2014, it is21.20% up
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