Summary

GMI’s multi decade mission has been to quantify the inputs and drivers that directly and indirectly control equity prices. The mission is to discover all quantitative factors than in particular environments provide predictive forecast for stock prices. Once identified, a driver is deconstructed and tested at inception and on an ongoing basis, leading to an evolving and robust system.
Differentiator
One way to differentiate myself from other CTA’s is the through very limited use of leverage. The program is often leveraged less than 1:1 and rarely more than 1.3:1. My alpha is not derived from leverage or diversification, but from my entry and exit points. Two key alpha factors are to identify low risk entry points and then risk management with regard to the exit. By limiting leverage I expand my possible trading bands and avoid potential pitfalls that will produce false signals and unnecessary exits and poor entries. From 2002 to the present, the S&P is higher by 2% per annum VS GMI‘s 14% per annum gains with a beta at .45 or roughly a 13% per annum alpha return.