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Global Diversified Program

  • CTA Name : T.N.T. Investments, Inc.
  • Program Name : Global Diversified Program
  • Start Date : 2007-10-01
  • Trading Strategy
  • Systematic : 90%
  • Discretionary : 10%
  • 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 : -
  • Currencies : Yes
  • Metals : Yes
  • Energy : Yes
  • Grains : Yes
  • Meats : Yes
  • Softs : Yes

T.N.T. Investments, Inc.

Global Diversified Program

There is no performance data for this program

The Global Diversified Program consists of two components: the T.N.T. CT 500 Trading System and the TNT Diversified Trends Indicator. Approximately 30% of the assets allocated to the Global Diversified Program will be allocated to the T.N.T. CT 500 Trading System, with the other 70% of the assets being used to replicate the movements of the S&P Diversified Trends Indicator. The allocations made to each component of the Global Diversified Program may vary. As a result, the amount of assets allocated to each--both on a dollar amount and percentage basis--will vary greatly over the life of an account. A portion of the assets traded pursuant to the Global Diversified Program will be used to replicate the movements of the Standard & Poor's Diversified Trends Indicator (the “S&P DTI”) by buying and selling the futures contracts that compose the S&P DTI in the same proportions as the indicator. The S&P DTI is calculated and maintained by Standard & Poor's. It follows a quantitative methodology to track prices of a diversified portfolio of 24 commodity and financial futures contracts. The contracts (also called components) are grouped into sectors and each sector is represented on either a "long" or "short" basis, depending on recent price trends of that sector. With the ability to go either long or short, the S&P DTI is designed to capture the economic benefit derived from both rising and declining trends within a cross-section of futures markets. The primary objective of the indicator is to measure in aggregate the component trends based on the price movement and premium discount expansion and contraction of certain futures and to serve as an investment tool. Limiting the volatility of the indicator was a guide in the determination of the methodology. The methodology is implemented in a rules-based, systematic manner. Sectors are rebalanced monthly to their fixed weights. Rebalancing monthly helps to keep volatility low since otherwise an extended move in one group or sector would overweight the S&P DTI and potentially lead to significantly higher volatility of the indicator. Because the sectors are rebalanced, it follows that every month the aggregate markets are rebalanced to equal weighting (e.g., 50% commodities/50% financials). An exception to this is when the Energy sector has a neutral position. Contracts are limited to those traded on U.S. exchanges to minimize any impact from major differences in trading hours, avoid currency exchange calculations, and allow for similar closing times and holiday schedules.

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