ABR 50/50 Volatility Fund (ABRSX)
The investment seeks long-term capital appreciation. Under normal market conditions, manage the fund's assets so that fifty percent (50%) of its net assets are managed in accordance with the Adviser's proprietary "long" volatility strategy, and the remaining fifty percent (50%) of its net assets are managed in accordance with the Adviser's proprietary "short" volatility strategy.
Fund Info
| ISIN | US34984Y6582 |
|---|---|
| CUSIP | 34984Y658 |
| Issuer | ABR |
| Inception Date | Oct 1, 2017 |
| Category | Long-Short |
| Minimum Investment | $100,000 |
| Asset Class | Equity |
Expense Ratio
The ABR 50/50 Volatility Fund has a high expense ratio of 2.00%, indicating higher-than-average management fees.
Share Price Chart
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Performance
The chart shows the growth of an initial investment of $10,000 in ABR 50/50 Volatility Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
Compare to other instruments
Return
ABR 50/50 Volatility Fund had a return of 17.77% year-to-date (YTD) and 19.12% in the last 12 months. Over the past 10 years, ABR 50/50 Volatility Fund had an annualized return of 2.58%, while the S&P 500 had an annualized return of 9.43%, indicating that ABR 50/50 Volatility Fund did not perform as well as the benchmark.
| Period | Return | Benchmark |
|---|---|---|
| 1 month | -1.11% | 0.86% |
| Year-To-Date | 17.77% | 9.53% |
| 6 months | 19.12% | 6.09% |
| 1 year | 19.12% | 1.14% |
| 5 years (annualized) | 8.34% | 9.10% |
| 10 years (annualized) | 2.58% | 9.43% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 14.56% | -2.15% | -2.19% | 8.62% | ||||||||
| 2022 | 7.11% | 9.46% | -2.76% |
Risk-Adjusted Performance
This table presents a comparison of risk-adjusted performance metrics for ABR 50/50 Volatility Fund (ABRSX) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
ABRSX ABR 50/50 Volatility Fund | 0.67 | ||||
^GSPC S&P 500 | 0.27 |
Dividend History
ABR 50/50 Volatility Fund granted a 0.00% dividend yield in the last twelve months. The annual payout for that period amounted to $0.00 per share.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|
| Dividend | $0.00 | $0.00 | $3.79 | $0.00 | $0.85 | $0.64 | $0.10 |
Dividend yield | 0.00% | 0.00% | 47.19% | 0.00% | 15.72% | 21.31% | 1.81% |
Monthly Dividends
The table displays the monthly dividend distributions for ABR 50/50 Volatility Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||||
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.79 |
| 2020 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2019 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.85 |
| 2018 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.64 |
| 2017 | $0.10 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the ABR 50/50 Volatility Fund. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the ABR 50/50 Volatility Fund is 49.78%, recorded on Dec 24, 2018. It took 289 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -49.78% | Dec 18, 2017 | 256 | Dec 24, 2018 | 289 | Feb 19, 2020 | 545 |
| -44.57% | Jan 13, 2022 | 104 | Jun 13, 2022 | — | — | — |
| -43.66% | Jun 8, 2020 | 4 | Jun 11, 2020 | 199 | Mar 26, 2021 | 203 |
| -29.59% | Feb 20, 2020 | 43 | Apr 21, 2020 | 32 | Jun 5, 2020 | 75 |
| -13.62% | Nov 15, 2021 | 14 | Dec 3, 2021 | 20 | Jan 3, 2022 | 34 |
Volatility Chart
The current ABR 50/50 Volatility Fund volatility is 5.45%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.