Transcription of Systematic Global Macro - Graham Capital
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Systematic Global Macro - Graham Capital
Systematic Global Macro : Performance, Risk, and Correlation Characteristics April 2013 Prepared by: Graham Capital Management, Quantitative Research Department Lead Contact: Pablo Calderini Chief Investment Officer and President Graham Capital Management, MS Universidad del Cema, 1988 BA Universidad Nacional de Rosario, 1987 PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION.
- 4 - asset allocations by investment style as of Q4 2012 is presented in Exhibit II. More than $334 billion is allocated to the CTA or systematic global macro industry as of this date.3 Exhibit II: Industry Asset Allocation (Q4 2012)
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