GT Capital CTA

Systematic Day Trading Program

Investment Strategy

The GT Systematic Day Trading Program relies primarily technical indicators, specifically the Elliot Wave Principle, in determining positions.  The Elliott Wave Principle is a form of technical analysis used by trader to analyze financial market cycles and forecast market trends by identifying extremes in investor psychology, highs and lows in prices, and other collective factors.  The Elliott Wave Principle posits that collective investor psychology, or crowd psychology, moves between optimism and pessimism in natural sequences. These mood swings create patterns evidenced in the price movements of markets at every degree of trend or time scale.  The program will result on both trend following and counter trend following position.   

Performance (VAMI)

Monthly Returns

Fund Manager

Guerman Teitelbaoum is the sole principal and President of GT Capital CTA.  He is responsible for all aspects of the firm’s operation, including market research, trading, operation and management. He  holds  a  degree  in  Industrial  Economics  &  Electronics  from  the  Russian  Aerospace  University.   From July 1998 through September 1999, Mr. Teitelbaoum was the chief executive officer of the International Entrepreneurial Institute, a business consulting and management firm, where he was involved in the development of industrial and aviation projects, storage facilities and marketing.  In October 1999, he became the Chief Financial Officer, Secretary and Director of PowerSource Corporation, a company active in the deregulation of electricity in California and providing consumers more options in choosing electricity providers.  After leaving PowerSource Corporation in April 2001, Mr. Teitelbaoum joined Dighton Group, an investment management company, in May 2001 where he acted as a risk manager, trading system developer and back office manager until August 2011.   On August 14, 2008, he became registered as an Associated Person (“AP”) and was approved as Principal of Dighton Capital USA, a registered CTA and Commodity Pool Operator, where he acted as a risk manager and assisted with back office operations such as accounting, updating databases and bill processing.     On July 6, 2009, he withdrew his AP registration and Principal listing with Dighton Capital USA, and was listed as a Principal of Dighton Capital CTA Limited, a registered CTA, from July 8, 2009 until his withdrawal from the company on October 20, 2011.  While at Dighton Capital CTA Limited, he assisted in risk management and acted in an administrative capacity by coordinating with and assisting the company’s accountants, attorneys and vendors in performing their services for the company.
 

General Information

Inception DateAug 2017
Minimum Investment60,000 USD
Management Fee2.00%
Performance Fee33.00%
Highwater MarkYes
Phone+1 310-7298750
E-mail[email protected]
Websitehttp://www.gtcapitalcta.com/

Statistics

Total Return Cumulative -9.77%
Sharpe Ratio 0.05
Sortino Ratio -0.10
Winning Months (%) 51.95%
Correlation vs. S&P 500 TR -0.32

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 -9.09 -4.00 3.18 7.77 -3.20 2.49 1.26 -12.23 2.72 12.90 2.43 -3.23 -1.64
2022 8.30 -5.53 2.83 -1.71 7.70 4.87 -1.91 7.21 5.72 -13.89 4.47 -2.56 13.82
2021 -3.68 4.73 5.91 -3.73 -1.01 -1.07 -6.15 -0.17 -0.97 0.30 5.04 -11.58 -12.94
2020 -9.62 12.22 19.57 3.18 0.20 -6.66 -7.33 -9.34 6.18 1.18 -1.35 -6.89 -2.98
2019 9.65 4.21 -9.57 0.48 2.60 -3.18 -2.10 2.70 2.70 3.22 -1.69 2.13 10.37
2018 -11.10 14.10 -5.60 7.59 4.70 0.63 2.81 -7.80 -5.85 17.54 1.01 -15.48 -2.79
2017 4.21 -2.49 -4.13 -4.01 -4.90 -11.07
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
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Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month -
Year To Date -1.64%
3 Month ROR 11.91%
12 Months ROR -1.64%
36 Month ROR -2.53%
Total Return Cumulative -9.77%
Total Return Annualized -1.59%
Best Month 19.57%
Winning Months (%) 51.95%
Gain Deviation 4.58

Risk Statistics

Standard Deviation Annualized 23.83%
Max Drawdown (Monthly) -34.39%
Max Drawdown Length 39
Worst Month -15.48%
Losing Months (%) 48.05%
Average Losing Month -5.54%
Loss Deviation 3.90
Correlation vs S&P 500 -0.32
Correlation vs DJ/CS MF -0.32

Risk/Reward Statistics

Sharpe Ratio 0.05
Sortino Ratio -0.10
Omega Ratio 0.76
Skewness 0.25
Kurtosis 0.45

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -34.39% 39 0 06/2020 -
2 -24.14% 5 26 09/2017 03/2020
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 19.57%-15.48%0.10%0.30%-3.23%51.95%
3 Months 38.45%-21.58%0.07%-2.40%11.91%46.67%
6 Months 28.05%-21.07%-0.29%-1.37%2.16%43.06%
1 Year 33.02%-22.95%-0.75%-2.35%-1.64%39.39%
2 Years 35.88%-30.20%-1.60%-2.44%11.96%42.59%
3 Years 16.15%-28.61%-5.10%-4.19%-2.53%33.33%
5 Years 5.48%-14.22%-4.93%-6.95%4.38%27.78%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg-1.59%-5.05%-10.75%-16.69%-25.16%-50.74%
% Positive51.95%46.67%43.06%39.39%42.59%33.33%
Avg. Pos. Period5.32%8.72%10.08%11.51%9.43%6.45%
Avg. Neg. Period-5.54%-7.51%-8.13%-8.72%-9.78%-10.88%
Sharpe Ratio0.050.02-0.09-0.21-0.44-1.64
Sortino Ratio-0.10-0.23-0.43-0.62-0.89-1.81
Standard Deviation6.88%10.19%11.57%12.50%12.56%10.75%
Downside Deviation4.69%6.42%7.67%8.39%9.30%10.97%
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Company Information

Minimum Investment60,000 USD (notional funding: )
AUM135,000 USD
Management Fee2.00%
Performance Fee33.00%
Highwater MarkYes
RT per Million16000
Margin to Equity30.00%
Legal StructureManaged Account
Investment RestrictionUS Only, Non US Only

Company Information

CompanyGT Capital CTA
PrincipalGuerman Teitelbaoum
Phone+1 310-7298750
E-mail[email protected]
License NumberNFA 410680
LocationPacific Palisades, United States
Performance Compiled byMichael Doherty

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 -9.09 -4.00 3.18 7.77 -3.20 2.49 1.26 -12.23 2.72 12.90 2.43 -3.23 -1.64
2022 8.30 -5.53 2.83 -1.71 7.70 4.87 -1.91 7.21 5.72 -13.89 4.47 -2.56 13.82
2021 -3.68 4.73 5.91 -3.73 -1.01 -1.07 -6.15 -0.17 -0.97 0.30 5.04 -11.58 -12.94
2020 -9.62 12.22 19.57 3.18 0.20 -6.66 -7.33 -9.34 6.18 1.18 -1.35 -6.89 -2.98
2019 9.65 4.21 -9.57 0.48 2.60 -3.18 -2.10 2.70 2.70 3.22 -1.69 2.13 10.37
2018 -11.10 14.10 -5.60 7.59 4.70 0.63 2.81 -7.80 -5.85 17.54 1.01 -15.48 -2.79
2017 4.21 -2.49 -4.13 -4.01 -4.90 -11.07
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

The GT Systematic Day Trading Program relies primarily technical indicators, specifically the Elliot Wave Principle, in determining positions.  The Elliott Wave Principle is a form of technical analysis used by trader to analyze financial market cycles and forecast market trends by identifying extremes in investor psychology, highs and lows in prices, and other collective factors.  The Elliott Wave Principle posits that collective investor psychology, or crowd psychology, moves between optimism and pessimism in natural sequences. These mood swings create patterns evidenced in the price movements of markets at every degree of trend or time scale.  The program will result on both trend following and counter trend following position.   

Return Statistics

Last Month -
Year To Date -1.64%
3 Month ROR 11.91%
12 Months ROR -1.64%
36 Month ROR -2.53%
Total Return Cumulative -9.77%
Total Return Annualized -1.59%
Best Month 19.57%
Winning Months (%) 51.95%
Gain Deviation 4.58

Risk Statistics

Standard Deviation Annualized 23.83%
Max Drawdown (Monthly) -34.39%
Max Drawdown Length 39
Worst Month -15.48%
Losing Months (%) 48.05%
Average Losing Month -5.54%
Loss Deviation 3.90
Correlation vs S&P 500 -0.32
Correlation vs DJ/CS MF -0.32

Risk/Reward Statistics

Sharpe Ratio 0.05
Sortino Ratio -0.10
Omega Ratio 0.76
Skewness 0.25
Kurtosis 0.45

Monthly Returns

Performance (VAMI)

Fund Manager

Guerman Teitelbaoum is the sole principal and President of GT Capital CTA.  He is responsible for all aspects of the firm’s operation, including market research, trading, operation and management. He  holds  a  degree  in  Industrial  Economics  &  Electronics  from  the  Russian  Aerospace  University.   From July 1998 through September 1999, Mr. Teitelbaoum was the chief executive officer of the International Entrepreneurial Institute, a business consulting and management firm, where he was involved in the development of industrial and aviation projects, storage facilities and marketing.  In October 1999, he became the Chief Financial Officer, Secretary and Director of PowerSource Corporation, a company active in the deregulation of electricity in California and providing consumers more options in choosing electricity providers.  After leaving PowerSource Corporation in April 2001, Mr. Teitelbaoum joined Dighton Group, an investment management company, in May 2001 where he acted as a risk manager, trading system developer and back office manager until August 2011.   On August 14, 2008, he became registered as an Associated Person (“AP”) and was approved as Principal of Dighton Capital USA, a registered CTA and Commodity Pool Operator, where he acted as a risk manager and assisted with back office operations such as accounting, updating databases and bill processing.     On July 6, 2009, he withdrew his AP registration and Principal listing with Dighton Capital USA, and was listed as a Principal of Dighton Capital CTA Limited, a registered CTA, from July 8, 2009 until his withdrawal from the company on October 20, 2011.  While at Dighton Capital CTA Limited, he assisted in risk management and acted in an administrative capacity by coordinating with and assisting the company’s accountants, attorneys and vendors in performing their services for the company.
 

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -34.39% 39 0 06/2020 -
2 -24.14% 5 26 09/2017 03/2020
3 - - - - -
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 19.57%-15.48%0.10%0.30%-3.23%51.95%
3 Months 38.45%-21.58%0.07%-2.40%11.91%46.67%
6 Months 28.05%-21.07%-0.29%-1.37%2.16%43.06%
1 Year 33.02%-22.95%-0.75%-2.35%-1.64%39.39%
2 Years 35.88%-30.20%-1.60%-2.44%11.96%42.59%
3 Years 16.15%-28.61%-5.10%-4.19%-2.53%33.33%
5 Years 5.48%-14.22%-4.93%-6.95%4.38%27.78%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg-1.59%-5.05%-10.75%-16.69%-25.16%-50.74%
% Positive51.95%46.67%43.06%39.39%42.59%33.33%
Avg. Pos. Period5.32%8.72%10.08%11.51%9.43%6.45%
Avg. Neg. Period-5.54%-7.51%-8.13%-8.72%-9.78%-10.88%
Sharpe Ratio0.050.02-0.09-0.21-0.44-1.64
Sortino Ratio-0.10-0.23-0.43-0.62-0.89-1.81
Standard Deviation6.88%10.19%11.57%12.50%12.56%10.75%
Downside Deviation4.69%6.42%7.67%8.39%9.30%10.97%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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