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  • CTA Name : Graham Capital Management, L.P.
  • Program Name : K5
  • Start Date : 2002-10-01
  • Trading Strategy
  • Systematic : 50%
  • Discretionary : 0%
  • Fundamental : -
  • 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.


There is no performance data for this program

Program Description: GCM's K5 trading program is a broadly diversified systematic global macro trend following program which uses volatility, price, multiple time horizons and recent market behavior to identify trend-following opportunities in nearly 60 markets including global interest rates, foreign exchange, global stock indices, and world commodities. K5 uses two discrete trading systems, which are equally weighted in terms of risk allocation. One system is relatively quick and is intended to participate in new market trends earlier than other Graham trend following models. The second K5 system is very long term in nature; it tends to be slow to react to new price trends as they develop and will stay with its positions for relatively long periods of time. In general, the two systems complement each other and are designed to reduce risk exposure following periods of very positive performance results.

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