Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Emil van Essen
Strategy: Systematic / Macro Trends / Diversified
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Investment Restrictions: 4.7 Exempt - QEPs Only++
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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 <7.5%).
Core positions tend to be held long-term with a low portfolio turnover of approximately 350 round turns per-$million.
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR* | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.00% | 0.02% | 2.02% | 0% | ||||||||||
| 2024 | -0.44% | 0.03% | 3.53% | 0.74% | 0.49% | 0.26% | -1.11% | -0.41% | 2.72% | -3.69% | 0.45% | -0.28% | 2.29% | -3.69% |
| 2023 | 1.57% | -1.23% | -0.13% | -0.14% | -0.05% | 1.25% | 1.28% | -1.67% | -0.79% | -1.21% | 1.10% | 1.53% | 1.51% | -3.63% |
| 2022 | -1.28% | 0.89% | 3.18% | -0.62% | -1.09% | -0.32% | 0.08% | -0.38% | -0.44% | 0.45% | -1.24% | -2.48% | -3.25% | -5.91% |
| 2021 | -1.10% | 0.82% | 0.84% | 1.31% | 2.37% | -2.01% | 1.75% | -0.64% | -1.59% | 1.88% | -1.63% | 1.23% | 3.23% | -2.49% |
| 2020 | 1.49% | 0.95% | -1.27% | 0.45% | -0.53% | 1.15% | 2.49% | 0.52% | -0.86% | -0.99% | 3.43% | 2.40% | 9.23% | -1.84% |
| 2019 | 0.96% | 0.14% | 3.05% | 0.87% | -1.41% | 4.09% | 0.49% | 2.29% | -1.15% | -0.63% | 0.02% | -0.06% | 8.66% | -1.82% |
| 2018 | 2.48% | -3.23% | -0.32% | 0.01% | 0.10% | 0.37% | 0.52% | 0.22% | 1.66% | -2.40% | 0.21% | 0.08% | -0.3% | -3.54% |
| 2017 | 0.11% | 0.45% | -1.26% | 1.16% | 1.88% | 0.27% | 3.73% | 1.21% | 1.42% | 8.97% | -1.26% | |||
*The Annual ROR (Rate of Return) for Fixed Trade Level Accounts has been calculated by adding each monthly return.
| Years | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 |
|---|---|---|---|---|---|---|
| ROR | 8.97% | -0.29% | 8.65% | 9.23% | 3.27% | -3.25% |
| Max DD | -1.26% | -3.54% | -1.82% | -1.84% | -2.49% | -5.91% |
| Years | 2023 | 2024 | 2025 YTD |
|---|---|---|---|
| ROR | 1.51% | 2.30% | 2.02% |
| Max DD | -3.63% | -3.69% | 0.00% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
