Chart of the month: Graham Capital Management Fed Policy Portfolio


In a flat month for CTAs, when Absolute Return's managed futures index fell 0.18%, Graham Capital Management's Fed Policy Portfolio returned 1.55%. Year to date, the fund has trounced our index, gaining 12.34% compared to 0.51%.

With GCM's chief economist Fred Levin at the helm since its inception in 2000, the Fed Policy Portfolio has grown to over $1.1 billion with an annualized return of 15.92%. Trading short-term interest-rate futures and options in the U.S. based on predictions of the Fed's monetary policy, the fund has produced positive monthly results 81% of the time, including eight