Welcome to Graham Capital

1994

Year Founded

22

Years of Experience

200

Number of Personnel

$13B

Total Firm Assets

$9B

Quantitative Assets

$4B

Discretionary Assets

What We Do

Graham Capital Management ("GCM") manages assets on behalf of global pensions, sovereign wealth funds, endowments and foundations, investment management advisors and qualified individual investors. GCM manages quantitative and discretionary trading portfolios with a variety of return and volatility objectives, as well as blended portfolios that include a combination of quantitative and discretionary strategies. Strategies trade a broad range of markets spanning global interest rates, currencies, commodities and equities and are designed to produce attractive absolute and risk-adjusted returns with low correlation to traditional assets and other alternative strategies.
 

 

Quantitative

 
  • Strategies include trend-following, quantitative macro and risk premia strategies which utilize multiple proprietary trading signals to capture alpha.
  • Sophisticated risk management techniques are used to optimize portfolio construction and enhance returns.
  • The firm’s approach to quantitative research is process driven and is based on a rigorous application of the scientific method.
  • The team utilizes advanced infrastructure and focuses on high performance computing and big data to generate research in areas including machine learning, signal processing, and deep learning.
  • Investment vehicles offered include private investment funds, managed accounts, sub-advised mutual funds and UCITS vehicles.
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Discretionary

 
  • Graham employs a multi-portfolio manager approach, allocating to a diverse roster of internal portfolio managers trading across liquid global markets.
  • Notably, the firm does not impose a “house view” and allows its portfolio managers to establish their own views within their trading mandate and the firm’s disciplined risk management infrastructure.
  • These portfolios are generally macro-oriented, following numerous markets at any given time, or sector specific, capitalizing on opportunities within a single sector.
  • The largest allocations have generally been stable over time; core strategy allocations have a weighted average tenure at GCM of approximately five years.
  • Graham’s portfolio managers tend to trade tactically, often taking more concentrated risk on high conviction opportunities and reducing risk during challenging performance periods or times of low market directionality.

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Our Leadership

Executive Committee

The firm’s Executive Management Committee is comprised of Ken Tropin, Pablo Calderini, Paul Sedlack and Bob Murray and is responsible for the overall management of the firm.

Investment Committee

The firm’s Investment Committee is responsible for the oversight of the firm’s portfolios and manages a thorough process for vetting discretionary and quantitative investment strategies. Investment Committee members manage and oversee the various departments within the firm. The Investment Committee meets formally each month to determine portfolio allocations and meets throughout each month as necessary to discuss ongoing issues that may arise.

Risk Committee

The members of the Investment Committee are also members of the firm’s Risk Committee, which meets daily to review position-level information and related risks for each of the firm’s strategies within the context of prevailing market conditions. The daily Risk Committee process is designed to inform members of the firm’s senior management team of the various risks to which the firm is exposed and, if appropriate, the Risk Committee will effect a reduction in risk within a particular strategy, or across a specific portfolio of strategies.

Compliance Committee

In addition to maintaining a compliance department staffed by members of GCM’s legal department, GCM utilizes a Compliance Committee with overall responsibility for monitoring compliance with the policies and procedures detailed in the firm’s Compliance Manual and Code of Ethics as well as other matters that it believes are within its oversight. The firm’s Compliance Committee, made up of senior representatives from Trading Services, Legal and GCM’s management team, meets on a monthly basis to review all compliance-related issues that require firm-wide cooperation, including trading efficiency and best execution.

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Investment Strategies

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Quantitative Trend Following

Utilizes quantitative algorithms to take directional long and short positions in markets based upon prevailing price trends.

Quantitative Macro and Risk Premia

Captures diversified sources of alpha by employing quantitative models that incorporate fundamental, value, carry and momentum based data.

Discretionary

Diversified, multi-portfolio manager portfolios. Portfolio managers use discretion to trade their views within their trading mandate and the firm’s disciplined risk management infrastructure.

Blended

Provides an efficient means of allocating to GCM’s quantitative and discretionary capabilities in one investment vehicle.

Customized Portfolios and Managed Accounts

May accomodate client requirements, including volatility targets, portfolio composition, market universe, ‘40 Act or UCITS restrictions, and exposure, risk or beta constraints.

OUR PHILOSOPHY

 

Our philosophy is that attractive absolute and risk-adjusted returns can be best achieved through diversified investment strategies across a broad range of markets, while employing rigorous risk management and portfolio construction techniques.

 

• Strategy Diversification

 

• Disciplined Risk Management

 

• Robust Portfolio Construction

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Strategy Diversification | Disciplined Risk Management | Robust Portfolio Construction