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New Frontier

  • CTA Name : Graham Capital Management, L.P.
  • Program Name : New Frontier
  • Start Date : 2000-04-01
  • 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.

New Frontier

There is no performance data for this program

Program Description: The Graham Capital Management, L.P. ("GCM") New Frontier program is a comprehensive disciplined investment strategy designed to provide attractive risk-adjusted returns compared to a benchmark consisting of 60% U.S. Stocks and 40% U.S. Government Bonds. The New Frontier program combines indexed investments in the S&P 500 and JP Morgan U.S. Government Bond Index with an investment in GCM's Global Diversified program (GDP). New Frontier seeks to improve upon the static benchmark portfolio by dynamically adjusting the weightings of each through the application of a proprietary Tactical Asset Allocation (TAA) methodology. This allocation model is grounded in modern portfolio theory and is designed to increase relative returns while decreasing volatility. While a stable allocation among these three asset classes has produced an attractive portfolio, the New Frontier program offers further enhancements. New Frontier starts with allocations that produce historically efficient portfolios, i.e., those that lie on the efficient frontier. The program then systematically incorporates proprietary forecasts of stock and bond market performance to adjust asset allocations among stocks, bonds, and GDP. This allows the portfolio to be forward looking. The New Frontier program thus combines the historical view of portfolio performance utilized by static allocation models with the benefits of dynamic model forecasting. An important differentiating characteristic of New Frontier is that its model utilizes a trend following methodology as opposed to "traditional" asset allocation strategies, which typically use mean reverting methodologies.

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