GT CAPITAL CTA : GT CAPITAL CTA

Year-to-Date
2.23%
Jun Performance
-0.29%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
33.00%
Annualized Vol
13.82%
Sharpe (RFR=1%)
0.20
CAROR
2.92%
Assets
$ 4.4M
Worst DD
-19.75
S&P Correlation
-0.21

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2009
GT CAPITAL CTA -0.29 -4.86 -2.23 -0.86 -15.80 -8.44 - 22.64
S&P 500 0.09 1.90 2.69 1.73 30.67 58.90 - 128.27
+/- S&P 500 -0.38 -6.76 -4.92 -2.59 -46.47 -67.34 - -105.62

Strategy Description

Summary

The GT Dynamic Trading Program employs a proprietary trading technique developed by GT Capital’s Principal in which fundamental factors, such as market psychology, and technical indicators are combined in an attempt to forecast market direction.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 150k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
33.00%
Average Commission
$11.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
3700 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
5.00%
1-3 Months
10.00%
1-30 Days
30.00%
Intraday
50.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Composition

Stock Indices
70.00%
Grains
5.00%
Interest Rates
5.00%
Softs
5.00%
Energy
5.00%
Currency Futures
5.00%
Precious Metals
3.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

The GT Dynamic Trading Program employs a proprietary trading technique developed by GT Capital’s Principal in which fundamental factors, such as market psychology, and technical indicators are combined in an attempt to forecast market direction.

Investment Strategy

The Advisor looks to enter markets which appear to be overbought or oversold and exploit these conditions by taking the appropriate side in the market. In determining which direction of the market to trade, the Advisor uses technical indicators such as Elliot Wave counts, Fibonacci retracements, moving averages, and stochastics to determine appropriate entry and exit levels. For instance, if a market appears to be in a bearish trend, the Advisor waits until all of the program’s indicators show the market as being oversold and that a trend reversal is likely to occur before placing an order to go long in the market. In assessing the number of contracts to trade, the Advisor examines the volatility and volume of the market in order to avoid having to liquidate a position prematurely due to temporary price reversals. In a trending market, the program is also designed to take partial profits by exiting portions of positions at pre-determined retracement levels, while leaving the remainder of the position open to take advantage of a continuation in the trend. GT Capital may also trade accounts using options strategies, including purchasing options to initiate positions or manage risk on open futures positions, selling uncovered or “naked” options for the purpose of generating additional income and using both credit and debit spread strategies.

Risk Management

For the GT Dynamic Trading Program, the Advisor will generally attempt to limit risk between three percent (3%) and ten percent (10%) of an account’s equity per trade. However there is no guarantee that losses on any given trade will be limited to these amounts. Stop loss points are determined at the time a trade is initiated. Please note that stop loss orders become market orders when activated and therefore, there is no guarantee that such orders will be filled at the stop loss points. Further, stop loss orders may not necessarily limit losses to the determined amounts in the event that market conditions make it impossible to execute such orders. Options may also be used in an attempt to protect existing futures positions. Please note that while GT Capital adheres to certain risk management techniques, there can be no guarantee that these techniques will be successful.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Statistics & Ratios

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-19.75 8 - 4/1/2014 12/1/2014
-11.79 5 3 9/1/2010 2/1/2011
-9.08 5 5 6/1/2013 11/1/2013
-8.84 15 4 10/1/2011 1/1/2013
-7.52 2 2 2/1/2010 4/1/2010
-0.55 1 1 6/1/2011 7/1/2011
-0.04 1 1 7/1/2010 8/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
21.00 2 5/1/2011 6/1/2011
19.81 9 6/1/2009 2/1/2010
11.70 1 3/1/2011 3/1/2011
11.51 5 2/1/2013 6/1/2013
10.09 5 12/1/2013 4/1/2014
9.68 3 5/1/2010 7/1/2010
7.57 3 8/1/2011 10/1/2011
6.97 1 2/1/2016 2/1/2016
5.34 3 4/1/2012 6/1/2012
5.33 3 6/1/2015 8/1/2015
4.87 1 10/1/2014 10/1/2014
3.59 1 1/1/2015 1/1/2015
2.26 1 12/1/2015 12/1/2015
2.24 2 12/1/2010 1/1/2011
2.07 2 3/1/2015 4/1/2015
1.36 1 5/1/2016 5/1/2016
1.29 1 9/1/2010 9/1/2010
1.12 3 10/1/2012 12/1/2012
0.61 1 8/1/2014 8/1/2014
0.32 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.72 2 11/1/2014 12/1/2014
-9.08 5 7/1/2013 11/1/2013
-8.69 1 4/1/2011 4/1/2011
-8.18 3 5/1/2014 7/1/2014
-7.62 2 10/1/2010 11/1/2010
-7.58 5 11/1/2011 3/1/2012
-7.52 2 3/1/2010 4/1/2010
-6.61 1 2/1/2011 2/1/2011
-6.00 2 3/1/2016 4/1/2016
-5.48 1 7/1/2012 7/1/2012
-3.95 3 9/1/2015 11/1/2015
-3.79 1 1/1/2016 1/1/2016
-1.92 1 1/1/2013 1/1/2013
-1.71 1 5/1/2015 5/1/2015
-0.55 1 7/1/2011 7/1/2011
-0.54 1 9/1/2014 9/1/2014
-0.43 1 9/1/2012 9/1/2012
-0.29 1 6/1/2016 6/1/2016
-0.27 1 2/1/2015 2/1/2015
-0.04 1 8/1/2010 8/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods85.0083.0080.0074.0068.0062.0050.0038.0026.00
Percent Profitable57.6556.6352.5056.7658.8259.6854.0063.1692.31
Average Period Return0.320.851.612.553.014.896.638.8710.71
Average Gain2.565.037.619.4910.6314.8819.4719.3212.21
Average Loss-2.73-4.60-5.03-6.55-7.88-9.88-8.45-9.05-7.21
Best Period18.1820.5429.4525.8529.3330.9136.3345.2743.13
Worst Period-12.73-13.73-14.34-15.38-19.68-16.77-18.20-14.28-8.44
Standard Deviation3.996.178.3210.2111.4314.4415.8717.2812.67
Gain Standard Deviation3.094.256.557.207.379.429.0512.7612.00
Loss Standard Deviation2.913.383.745.096.073.984.923.801.74
Sharpe Ratio (1%)0.060.100.130.150.130.200.230.280.44
Average Gain / Average Loss0.941.091.511.451.351.512.302.131.69
Profit / Loss Ratio1.271.431.671.901.932.232.703.6620.32
Downside Deviation (10%)2.774.435.788.3810.9013.2517.0720.1120.74
Downside Deviation (5%)2.623.884.585.967.137.958.458.293.73
Downside Deviation (0%)2.583.744.305.426.346.746.605.932.03
Sortino Ratio (10%)-0.03-0.09-0.15-0.29-0.42-0.40-0.54-0.63-0.82
Sortino Ratio (5%)0.090.160.240.260.210.360.430.581.50
Sortino Ratio (0%)0.120.230.370.470.470.731.001.505.28

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 4.87 10/2014
Diversified Trader Index Month 10 4.87 10/2014
Discretionary Trader Index Month 9 2.24 4/2014
Discretionary Trader Index Month 6 4.07 1/2014
Discretionary Trader Index Month 4 6.02 4/2013
Discretionary Trader Index Month 2 18.18 5/2011
IASG CTA Index Month 3 18.18 5/2011
Diversified Trader Index Month 3 18.18 5/2011
Diversified Trader Index Month 2 11.70 3/2011
Discretionary Trader Index Month 5 11.70 3/2011
IASG CTA Index Month 6 11.70 3/2011
Discretionary Trader Index Month 6 5.92 5/2010
IASG CTA Index Sharpe 6 5.01 2008 - 2009

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.