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GST Portfolio

  • CTA Name : Graham Capital Management, L.P.
  • Program Name : GST Portfolio
  • Start Date : 1998-01-01
  • Trading Strategy
  • Systematic : 50%
  • Discretionary : 50%
  • Fundamental : Yes
  • Technical : Yes
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : Yes
  • Energy : Yes
  • Grains : Yes
  • Meats : Yes
  • Softs : Yes

Graham Capital Management, L.P.

GST Portfolio

There is no performance data for this program

Program Description: The GST program utilizes computerized models to identify certain price patterns that have specific characteristics indicating a high probability that a significant directional move will occur. The GST, which is not a traditional trend-following system, is based on unique methodology which only allows it to enter markets that experience a significant acceleration in volatility coupled with a sharp directional move. As a result, it frequently will not enter into market trends in which virtually all trend-following systems would participate. The GST has the characteristic of becoming involved in market trends somewhat late in the move, but has the advantage of missing choppy market environments better than most trend following systems. The program trades in approximately 65 markets. Due to the extremely selective criteria of the GST model, the program will normally maintain a neutral position in approximately 50% to 60% of the markets in the portfolio.

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