Abraham Trading Company Performance

Current Assets Under Management: $436mm

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 2010 -0.86% -0.36% 1.42% -2.54% -3.92% -1.73% -1.92% 3.72% - - - - -6.21% 2009 -0.74% 0.12% -1.82% -3.12% 3.89% 0.53% -2.30% 1.48% 0.07% -1.12% 1.55% -3.97% -5.55% 2008 6.44% 6.57% -0.21% 0.34% -0.94% 2.04% -4.19% 0.08% 5.55% 4.73% 2.01% 3.76% 28.80% 2007 - - - - - - - - 5.20% 4.32% 1.16% 6.47% 18.20%   Abraham S&P 500 GSCI Average Annual ROR: 10.48% -4.02% -8.86% Last 12 months ROR: -9.50% 13.54% 24.97% 3 Year Average Annual ROR: 10.48% -4.02% -8.86% Winning Months: 58.33% 57.14% 54.84% Highest 12 Month Return: 32.17% 52.97% 42.99% Lowest 12 Month Return:  -11.80% -38.77% -57.14% Average Monthly Return: 0.88% -0.17% -0.31% Highest Monthly Return: 6.57% 9.39% 19.67% Lowest Monthly Return: -4.19% -16.80% -27.77% Average Winning Month: 2.93% 4.11% 6.13% Average Losing Month: -1.98% -5.24% -8.15% Annualized Standard Deviation: 10.81% 20.46% 32.71% Downside Standard Deviation: 1.76% 4.78% 7.38% Sharpe Ratio (RFR: 3.46%): 0.65 -0.37 -0.38 Sortino Ratio (RFR: 3.46%): 2.63 -0.65 -1.00 Max Drawdown: -14.60 -45.23 -65.41   Abraham S&P 500 GSCI Sharpe Ratio (Annualized): 0.97% -0.44% -0.42% Sortino: 2.63% 0.08% 0.01% Beta: 0.15% -0.15% 0.03% Alpha: 0.91% 0.86% 0.89% R: 0.28% -0.29% 0.09% R Squared: 0.08% 0.08% 0.01% NAV Growth   Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 2010 -0.86% -0.36% 1.42% -2.54% -3.92% -1.73% -1.92% 3.72% - - - - -6.21% 2009 -0.74% 0.12% -1.82% -3.12% 3.89% 0.53% -2.30% 1.48% 0.07% -1.12% 1.55% -3.97% -5.55% 2008 6.44% 6.57% -0.21% 0.34% -0.94% 2.04% -4.19% 0.08% 5.55% 4.73% 2.01% 3.76% 28.80% 2007 -1.08% -4.00% -2.32% 6.50% 4.96% 3.66% -2.54% -3.73% 5.20% 4.32% 1.16% 6.47% 19.20% 2006 2.56% -1.53% 5.71% 2.75% -1.70% -2.32% -5.26% 2.72% -1.51% 4.08% 2.23% 1.41% 8.93% 2005 -5.48% -8.95% -1.00% -10.04% 1.93% 6.66% -12.16% 15.74% -5.79% -5.98% 14.15% 3.96% -10.95% 2004 0.47% 8.38% 0.88% -6.22% 2.53% 1.37% 6.74% -12.25% 7.84% 4.32% 2.79% -0.51% 15.38% 2003 24.18% 13.18% -4.73% 2.02% 5.59% -7.06% -4.86% -3.54% 7.02% 22.09% -0.03% 8.69% 74.66% 2002 -1.73% 1.33% -6.62% 4.99% 1.51% 7.75% -3.97% 9.86% 3.29% -10.19% -1.80% 18.41% 21.51% 2001 2.28% 2.99% 15.17% -10.20% 5.13% 4.47% -2.85% 4.89% 9.28% 4.13% -13.68% -0.50% 19.16% 2000 8.02% -9.05% -4.16% 5.48% -2.58% -2.19% -5.26% 11.76% -4.53% 9.51% 8.58% -0.18% 13.54% 1999 -11.56% 13.35% -9.43% 7.52% -6.09% -0.68% -0.83% 3.12% 0.99% -9.57% 13.64% 8.41% 4.76% 1998 -0.90% 4.09% -4.45% -4.45% 2.61% -2.34% -0.83% 23.24% -3.33% -11.39% 0.94% 4.67% 4.39% 1997 5.28% 9.15% -1.50% -5.16% -1.32% 0.38% 4.11% -8.08% 4.95% -5.37% 2.10% 7.46% 10.88% 1996 -6.85% -13.78% 9.66% 14.27% -9.41% 1.52% -6.30% -3.34% 6.03% 16.84% 2.45% -6.41% -0.42% 1995 -7.91% 1.24% 6.63% 4.73% 8.22% 0.11% -8.75% -5.34% -1.84% -6.67% -0.19% 19.11% 6.12% 1994 -1.45% -4.16% 2.87% -8.39% 15.01% 1.47% 0.98% -7.38% 5.05% 5.43% 14.24% 1.06% 24.22% 1993 -4.21% 6.10% 4.57% 9.24% 4.88% -1.22% 6.60% -5.28% 1.16% -6.59% 3.71% 12.83% 34.29% 1992 -12.60% -6.00% -5.47% 0.31% -5.71% 6.58% 16.52% 1.92% -0.34% -3.31% 4.65% -4.54% -10.50% 1991 -15.94% 1.30% 2.43% -13.70% 2.94% 2.11% -1.52% -6.33% 11.61% 16.61% -2.09% 33.75% 24.39% 1990 3.65% 1.81% 9.45% 12.90% -7.90% 2.49% 20.08% 18.54% 8.57% -0.36% 0.31% -0.09% 89.95% 1989 -8.05% -12.64% 13.91% -20.08% 38.65% -4.40% 16.08% -13.84% -7.75% -14.40% 10.30% 39.52% 17.81% 1988 4.17% -2.59% -8.78% -12.35% 32.34% 71.99% -2.82% 3.45% -1.98% 8.01% 17.83% 4.51% 142.04%   Abraham S&P 500 GSCI Average Annual ROR (since 1988): 19.46% 9.80% 4.17% Last 12 months ROR: -9.50% 13.54% 24.97% 3 Year Average Annual ROR: 10.48% -3.43% -5.92% 5 Year Average Annual ROR: 9.26% 1.96% 0.32% Winning Months: 55.52% 64.21% 55.06% Highest 12 Month Return: 191.68% 52.97% 76.40% Lowest 12 Month Return:  -26.11% -38.77% -57.14% Average Monthly Return: 1.90% 0.87% 0.52% Highest Monthly Return: 71.99% 11.44% 19.84% Lowest Monthly Return: -20.08% -16.80% -27.77% Average Winning Month: 7.54% 3.34% 4.52% Average Losing Month: -5.14% -3.48% -4.38% Annualized Standard Deviation: 33.13% 14.66% 20.68% Downside Standard Deviation: 4.61% 2.98% 4.17% Sharpe Ratio (RFR: 3.46%): 0.48 0.43 0.03 Sortino Ratio (RFR: 3.46%): 2.99 2.01 0.65 Max Drawdown: -31.96 -45.23 -65.41   Abraham S&P 500 GSCI Sharpe Ratio (Annualized): 0.59% 0.33% -0.04% Sortino: 2.99% 0% 0.02% Beta: -0.13% -0.14% 0.21% Alpha: 2.01% 2.02% 1.79% R: -0.06% -0.06% 0.13% R Squared: 0% 0% 0.02% NAV Growth