Absolute Return Capital Management LLC

ARCM Ionic Strategy *QEP* *PROP* *Pro Forma*


Monthly Performance (%)

Date Range: 06/19 - 09/21
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2021 -0.70 5.09 1.36 8.09 2.21 1.34 1.27 1.92 -0.75   21.31 
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 
2019 -0.21 1.55 -5.52 -3.36 3.85 1.96  -2.03 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The ARCM Ionic Strategy is a “WholePortfolio” multi-strategy concept designed to deliver superior returns and lower drawdowns than a traditional investment portfolio. It is composed 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. Ionic’s purpose is to deliverthe aggregate return/risk of a diversified Core Holdings Investment Strategy AND an Alternative Managed Futures Strategy within a single futures-based account. The Diversified Momentum Component uses a systematic quantitative approach, to trade and strictly manage risk across a current universe of 29 futures contracts in 8 market sectors (Financial Instruments - Govt. Securities, Foreign Currencies, Stock Indexes, Grains, Metals, Energies, Meats, and Soft Commodities).

Performance Statistics

Date Range: 06/19 - 09/21
  Program S&P 500 Coquest 40 
Total Return 47.19% 63.01% 12.39% 
Annualized Return 18.74% 23.30% 5.13% 
Annualized Std. Deviation 10.03% 17.74% 5.85% 
Correlation 0.40 0.63 
Sharpe Ratio (rf=2.5%) 1.62 1.17 0.45 
Worst Month -5.52% -12.35% -2.77% 
Date of Worst Month 09/2019 03/2020 09/2019 
Worst Drawdown -8.69% -19.60% -7.96% 
Date of Worst Drawdown 8/19 - 10/19 12/19 - 3/20 8/19 - 10/20 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 06/19 - 09/21
Year or YTD Program S&P 500 Coquest 40 
2021 21.31 15.93 6.73 
2020 23.84 18.40 0.97 
2019 -2.03 10.94 2.24 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 06/19 - 09/21
Date: 9/30/2021
Perf: $1,101.85 Date: 8/31/2021
Perf: $1,096.36 Date: 7/31/2021
Perf: $1,096.14 Date: 6/30/2021
Perf: $1,091.34 Date: 5/31/2021
Perf: $1,095.51 Date: 4/30/2021
Perf: $1,079.74 Date: 3/31/2021
Perf: $1,061.07 Date: 2/28/2021
Perf: $1,047.04 Date: 1/31/2021
Perf: $1,023.00 Date: 12/31/2020
Perf: $1,032.39 Date: 11/30/2020
Perf: $994.88 Date: 10/31/2020
Perf: $986.20 Date: 9/30/2020
Perf: $989.37 Date: 8/31/2020
Perf: $1,004.03 Date: 7/31/2020
Perf: $1,015.50 Date: 6/30/2020
Perf: $996.47 Date: 5/31/2020
Perf: $1,009.39 Date: 4/30/2020
Perf: $1,021.34 Date: 3/31/2020
Perf: $1,017.98 Date: 2/29/2020
Perf: $1,017.37 Date: 1/31/2020
Perf: $1,032.76 Date: 12/31/2019
Perf: $1,022.43 Date: 11/30/2019
Perf: $1,028.81 Date: 10/31/2019
Perf: $1,018.83 Date: 9/30/2019
Perf: $1,041.85 Date: 8/31/2019
Perf: $1,071.53 Date: 7/31/2019
Perf: $1,034.10 Date: 6/30/2019
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,522.75 Date: 8/31/2021
Perf: $1,597.01 Date: 7/31/2021
Perf: $1,549.89 Date: 6/30/2021
Perf: $1,513.86 Date: 5/31/2021
Perf: $1,479.39 Date: 4/30/2021
Perf: $1,469.11 Date: 3/31/2021
Perf: $1,394.64 Date: 2/28/2021
Perf: $1,336.12 Date: 1/31/2021
Perf: $1,300.23 Date: 12/31/2020
Perf: $1,313.50 Date: 11/30/2020
Perf: $1,264.92 Date: 10/31/2020
Perf: $1,140.08 Date: 9/30/2020
Perf: $1,171.24 Date: 8/31/2020
Perf: $1,217.50 Date: 7/31/2020
Perf: $1,135.84 Date: 6/30/2020
Perf: $1,075.20 Date: 5/31/2020
Perf: $1,054.22 Date: 4/30/2020
Perf: $1,006.32 Date: 3/31/2020
Perf: $891.97 Date: 2/29/2020
Perf: $1,017.65 Date: 1/31/2020
Perf: $1,108.91 Date: 12/31/2019
Perf: $1,109.35 Date: 11/30/2019
Perf: $1,076.83 Date: 10/31/2019
Perf: $1,039.11 Date: 9/30/2019
Perf: $1,017.04 Date: 8/31/2019
Perf: $998.37 Date: 7/31/2019
Perf: $1,014.40 Date: 6/30/2019
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,471.86 Date: 8/31/2021
Perf: $1,482.99 Date: 7/31/2021
Perf: $1,455.05 Date: 6/30/2021
Perf: $1,436.80 Date: 5/31/2021
Perf: $1,417.80 Date: 4/30/2021
Perf: $1,387.15 Date: 3/31/2021
Perf: $1,283.33 Date: 2/28/2021
Perf: $1,266.11 Date: 1/31/2021
Perf: $1,204.78 Date: 12/31/2020
Perf: $1,213.28 Date: 11/30/2020
Perf: $1,144.60 Date: 10/31/2020
Perf: $1,097.62 Date: 9/30/2020
Perf: $1,104.14 Date: 8/31/2020
Perf: $1,136.88 Date: 7/31/2020
Perf: $1,135.63 Date: 6/30/2020
Perf: $1,094.06 Date: 5/31/2020
Perf: $1,086.13 Date: 4/30/2020
Perf: $1,076.55 Date: 3/31/2020
Perf: $1,023.43 Date: 2/29/2020
Perf: $1,009.30 Date: 1/31/2020
Perf: $1,009.40 Date: 12/31/2019
Perf: $979.72 Date: 11/30/2019
Perf: $960.88 Date: 10/31/2019
Perf: $925.26 Date: 9/30/2019
Perf: $957.43 Date: 8/31/2019
Perf: $1,013.37 Date: 7/31/2019
Perf: $997.90 Date: 6/30/2019
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 06/19 - 09/21
Date: 9/30/2021
Return: -0.75 % Date: 8/31/2021
Return: 1.92 % Date: 7/31/2021
Return: 1.27 % Date: 6/30/2021
Return: 1.34 % Date: 5/31/2021
Return: 2.21 % Date: 4/30/2021
Return: 8.09 % Date: 3/31/2021
Return: 1.36 % Date: 2/28/2021
Return: 5.09 % Date: 1/31/2021
Return: -0.70 % Date: 12/31/2020
Return: 6.00 % Date: 11/30/2020
Return: 4.28 % Date: 10/31/2020
Return: -0.59 % Date: 9/30/2020
Return: -2.88 % Date: 8/31/2020
Return: 0.11 % Date: 7/31/2020
Return: 3.80 % Date: 6/30/2020
Return: 0.73 % Date: 5/31/2020
Return: 0.89 % Date: 4/30/2020
Return: 5.19 % Date: 3/31/2020
Return: 1.40 % Date: 2/29/2020
Return: -0.01 % Date: 1/31/2020
Return: 3.03 % Date: 12/31/2019
Return: 1.96 % Date: 11/30/2019
Return: 3.85 % Date: 10/31/2019
Return: -3.36 % Date: 9/30/2019
Return: -5.52 % Date: 8/31/2019
Return: 1.55 % Date: 7/31/2019
Return: -0.21 % Date: 6/30/2019
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 06/19 - 09/21
Return: 8.00 %
Count: 1 Return: 6.00 %
Count: 1 Return: -1.00 %
Count: 3 Return: 5.00 %
Count: 2 Return: 1.00 %
Count: 6 Return: 3.00 %
Count: 1 Return: 4.00 %
Count: 3 Return: -3.00 %
Count: 2 Return: -6.00 %
Count: 1 Return: 2.00 %
Count: 4 Return: 0.00 %
Count: 4

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 06/19 - 09/21
Date: 9/30/2021
Drawdown: -0.75 % Date: 8/31/2021
Drawdown: 0.00 % Date: 7/31/2021
Drawdown: 0.00 % Date: 6/30/2021
Drawdown: 0.00 % Date: 5/31/2021
Drawdown: 0.00 % Date: 4/30/2021
Drawdown: 0.00 % Date: 3/31/2021
Drawdown: 0.00 % Date: 2/28/2021
Drawdown: 0.00 % Date: 1/31/2021
Drawdown: -0.70 % Date: 12/31/2020
Drawdown: 0.00 % Date: 11/30/2020
Drawdown: 0.00 % Date: 10/31/2020
Drawdown: -3.45 % Date: 9/30/2020
Drawdown: -2.88 % Date: 8/31/2020
Drawdown: 0.00 % Date: 7/31/2020
Drawdown: 0.00 % Date: 6/30/2020
Drawdown: 0.00 % Date: 5/31/2020
Drawdown: 0.00 % Date: 4/30/2020
Drawdown: 0.00 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: -0.40 % Date: 1/31/2020
Drawdown: -0.39 % Date: 12/31/2019
Drawdown: -3.32 % Date: 11/30/2019
Drawdown: -5.18 % Date: 10/31/2019
Drawdown: -8.69 % Date: 9/30/2019
Drawdown: -5.52 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: -0.21 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Absolute Return Capital Management LLC
Address: 1121 Lake Cook Road, Suite P
City: Deerfield
State: IL
Zip: 60015
Country: US

Key People

Name:  Lawrence Abrams
Position:  Principal
Biography: 

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.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Trend Following Yes 
 Systematic Yes 
 Diversified Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Medium Term Yes 
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $500,000 
 Margin / Equity Ratio: 10% 
 Managed Account Availability: Open 
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