Global Tactical Allocation Program – GTAP
Executive Summary
The GLOBAL TACTICAL ALLOCATION PROGRAM (GTAP) is a systematic managed futures program. It combines a risk parity methodology to form a balanced core portfolio together with a dynamic multi-strategy overlay to control absolute asset exposure.
The tactical overlay component of the program gives GTAP the ability to exit the entire exposure of an individual asset or sector from the core portfolio with the objective of protecting returns together with helping avoid negative tail events in risk-off environments.
The objective of GTAP is to produce superior risk-adjusted returns over that of its traditional investment peer group by capturing positive global macro capital flows within a balanced asset portfolio while engaging a multi-strategy overlay to exit exposure and protect returns during risk-off environments.
Created as a high capacity, low turnover, low margin 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.
GTAP targets a long-term annualized volatility of 7%, while having an average margin-to-equity ratio of approximately 5% (with a historical maximum ME of less than 7.5%).
Mr. Doyle is the creator and portfolio manager of GTAP and a Principal of Katonah EvE LLC.
Mr. Doyle has over 30 years of financial industry experience covering trading, money management and system and portfolio development and implementation. Starting his career with Cargill on the floor of the London International Financial Futures Exchange (LIFFE), Mr. Doyle has had long tenures working for Trout Trading Management Company, Bermuda, in strategy development and implementation, and Crabel Capital Management Company as a Senior Portfolio Manager, developing and managing short and long-term trading systems and portfolios.
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Disclaimer Info
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
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