Emil van Essen : Global Tactical Allocation Program (GTAP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 5.32% Aug Performance 0.52% Min Investment $ 2,000k Mgmt. Fee 1.00% Perf. Fee 10.00% Annualized Vol 5.12% Sharpe (RFR=1%) 1.10 CAROR 6.68% Assets $ 60.0M Worst DD -3.54 S&P Correlation 0.41 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since4/2017 Global Tactical Allocation Program (GTAP) 0.52 4.21 5.32 3.41 21.87 - - 24.72 S&P 500 7.01 14.98 8.34 19.61 40.39 - - 45.32 +/- S&P 500 -6.49 -10.77 -3.02 -16.20 -18.52 - - -20.60 Strategy Description SummaryThe Global Tactical Allocation Program (GTAP) is a long-bias, systematic managed futures program. It utilizes a dynamic risk parity methodology to form a balanced core model portfolio. A systematic multi-strategy overlay then works to control individual asset positioning and overall... Read More Account & Fees Type Managed Account Minimum Investment $ 2,000k Trading Level Incremental Increase $ 250k CTA Max Funding Factor Management Fee 1.00% Performance Fee 10.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 300 RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD Worst Peak-to-Trough 3.54% Sector Focus Diversified Traders Holding Periods Over 12 Months 20.00% 4-12 Months 50.00% 1-3 Months 20.00% 1-30 Days 10.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Other 100.00% Composition Interest Rates 40.00% Currency Futures 20.00% Stock Indices 20.00% Industrial Metals 7.00% Energy 7.00% Precious Metals 6.00% SummaryThe Global Tactical Allocation Program (GTAP) is a long-bias, systematic managed futures program. It utilizes a dynamic risk parity methodology to form a balanced core model portfolio. A systematic multi-strategy overlay then works to control individual asset positioning and overall sector exposure beyond this core model portfolio. Our term for this hybrid approach is Tactical Parity. With over 28 years’ experience within the managed futures and portfolio management industry, Kevin Doyle is the creator and portfolio manager of the Global Tactical Allocation Program. Investment StrategyGTAPs’ objective is to produce superior risk-adjusted returns over that of traditional investments by capturing positive macro capital flows within a balanced asset portfolio while engaging a multi-strategy overlay to exit exposure and protect against negative tail risk. Created as a high capacity, low turnover portfolio, GTAP takes positions in only the most liquid exchange traded futures contracts covering Asia, Europe and the USA, with exposure in stock indices, bonds, interest rates, currencies, energies and metals. Risk ManagementGTAP targets a long-term annualized volatility of 7%, while having an average margin-to-equity ratio of approximately 5%. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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=1%) 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=1%) 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 -3.54 2 12 1/1/2018 3/1/2018 -1.81 4 2 8/1/2019 12/1/2019 -1.41 1 1 4/1/2019 5/1/2019 -1.35 3 2 2/1/2020 5/1/2020 -1.26 1 2 5/1/2017 6/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 12.76 7 7/1/2017 1/1/2018 7.00 3 6/1/2019 8/1/2019 5.40 6 11/1/2018 4/1/2019 4.21 3 6/1/2020 8/1/2020 2.91 6 4/1/2018 9/1/2018 2.45 2 1/1/2020 2/1/2020 0.56 2 4/1/2017 5/1/2017 0.45 1 4/1/2020 4/1/2020 0.02 1 11/1/2019 11/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -3.54 2 2/1/2018 3/1/2018 -2.40 1 10/1/2018 10/1/2018 -1.77 2 9/1/2019 10/1/2019 -1.41 1 5/1/2019 5/1/2019 -1.27 1 3/1/2020 3/1/2020 -1.26 1 6/1/2017 6/1/2017 -0.53 1 5/1/2020 5/1/2020 -0.06 1 12/1/2019 12/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods41.0039.0036.0030.0024.0018.00 Percent Profitable75.6174.3694.4493.33100.00100.00 Average Period Return0.551.633.286.109.4512.81 Average Gain1.122.633.576.629.4512.81 Average Loss-1.23-1.26-1.62-1.17 Best Period4.097.0011.4710.3113.3918.16 Worst Period-3.23-3.53-2.57-1.914.637.34 Standard Deviation1.482.473.283.252.123.10 Gain Standard Deviation1.111.983.142.672.123.10 Loss Standard Deviation0.970.991.341.04 Sharpe Ratio (1%)0.320.560.851.573.743.48 Average Gain / Average Loss0.922.092.205.67 Profit / Loss Ratio2.846.0537.4379.39 Downside Deviation (10%)0.941.381.452.020.770.82 Downside Deviation (5%)0.790.900.550.59 Downside Deviation (0%)0.760.800.440.36 Sortino Ratio (10%)0.150.290.560.542.423.12 Sortino Ratio (5%)0.591.545.068.62 Sortino Ratio (0%)0.732.057.4117.10 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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