Emil van Essen : Global Tactical Allocation Program (GTAP)

Year-to-Date
1.61%
Apr Performance
0.45%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
5.23%
Sharpe (RFR=0%)
0.99
CAROR
6.18%
Assets
$ 27.0M
Worst DD
-3.54
S&P Correlation
0.42

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/2017
Global Tactical Allocation Program (GTAP) 0.45 -0.83 1.61 6.75 19.65 - - 20.32
S&P 500 12.68 -9.71 -9.85 -1.14 20.91 - - 26.39
+/- S&P 500 -12.23 8.88 11.46 7.88 -1.27 - - -6.07

Strategy Description

Summary

The 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

Counter-trend
10.00%
Momentum
45.00%
Trend-following
45.00%
Strategy Pie Chart

Composition

Interest Rates
40.00%
Currency Futures
20.00%
Stock Indices
20.00%
Industrial Metals
7.00%
Energy
7.00%
Precious Metals
6.00%
Composition Pie Chart

Summary

The 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 Strategy

GTAPs’ 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 Management

GTAP targets a long-term annualized volatility of 7%, while having an average margin-to-equity ratio of approximately 5%.

   

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

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
-1.27 1 - 2/1/2020 3/1/2020
-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
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
-0.06 1 12/1/2019 12/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable75.6874.2993.7592.31100.00100.00
Average Period Return0.511.623.406.348.9512.89
Average Gain1.102.613.746.978.9512.89
Average Loss-1.30-1.25-1.62-1.17
Best Period4.097.0011.4710.3111.3118.16
Worst Period-3.23-3.53-2.57-1.914.637.34
Standard Deviation1.512.503.463.401.883.45
Gain Standard Deviation1.142.043.292.681.883.45
Loss Standard Deviation0.991.051.341.04
Sharpe Ratio (1%)0.280.550.841.573.973.15
Average Gain / Average Loss0.842.092.305.97
Profit / Loss Ratio2.626.0334.5771.68
Downside Deviation (10%)0.971.391.522.110.840.93
Downside Deviation (5%)0.830.910.580.64
Downside Deviation (0%)0.790.810.470.38
Sortino Ratio (10%)0.110.280.610.641.622.84
Sortino Ratio (5%)0.521.504.988.41
Sortino Ratio (0%)0.652.007.2416.56

Top Performer Badges

Index Award Type Rank Performance Period

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