Graham Capital Management, L.P.
Characteristics of Trend Following
Returns
Presentation to FIA Expo Conference
November 6, 2003
Graham Capital Management, L.P.
NAV Chart
Jan 1, 1983 - Sep 30, 2003
18000
16000
14000
12000
10000
8000
6000
4000
2000
0
83
84
85
86
87
Lehman Brothers Treasury Bond Index
88
89
90
91
92
93
94
S&P 500 Total Return Index
95
96
97
98
99
00
01
02
03
ZCM/MAR-Trend-Follower Advisors Index
Graham Capital Management, L.P.
ZCM/MAR Trend Following Index
Key Statistics
Jan 1, 1983 - Sep 30, 2003

Compound Annual Return

Standard Deviation of Monthly Returns
6.34%

Volatility of Up Months
5.63%

Volatility of Down Months
3.16%

Annualized Volatility of Monthly Returns

Efficiency Ratio
13.20%
21.97%
0.60%
Graham Capital Management, L.P.
Correlation of Trend Following Returns
Correlation Analysis
Jan. 1, 1994 - Sept. 30, 2003
ZCM/MAR Trend-Follower Advisors Index Versus:
S&P 500 Total Return Index
Lehman Brothers Treasury Bond Index
CSFB/Tremont Convertible Arbitrage
CSFB/Tremont Dedicated Short Bias
CSFB/Tremont Emerging Markets Index
CSFB/Tremont Equity Market Neutral
CSFB/Tremont Event Driven
CSFB/Tremont Fixed Income Arbitrage
CSFB/Tremont Global Macro
CSFB/Tremont Long/Short Equity
CSFB/Tremont Multi-Strategy
Monthly Annual
-0.25
-0.24
0.39
0.50
-0.10
-0.15
0.28
0.40
-0.18
-0.14
0.16
-0.12
-0.21
-0.20
0.00
0.04
0.33
0.29
-0.09
-0.43
-0.05
-0.14
Correlation Analysis
Jan. 1, 1994 - Sept. 30, 2003
Down
Up
Difference
S&P 500 Total Return Index Versus:
Months Months
ZCM/MAR-Trend-Follower Advisors Index
CSFB/Tremont Equity Market Neutral
CSFB/Tremont Dedicated Short Bias
CSFB/Tremont Multi-Strategy
CSFB/Tremont Global Macro
CSFB/Tremont Long/Short Equity
CSFB/Tremont Convertible Arbitrage
CSFB/Tremont Emerging Markets Index
CSFB/Tremont Event Driven
CSFB/Tremont Fixed Income Arbitrage
-0.52
0.23
-0.58
0.00
0.13
0.41
0.31
0.51
0.59
0.28
-0.09
0.32
-0.48
-0.08
-0.02
0.26
0.11
0.14
0.16
-0.19
0.43
0.09
0.10
-0.08
-0.15
-0.15
-0.20
-0.37
-0.43
-0.47
Graham Capital Management, L.P.
Trend Following Returns During Worst/Best S&P 500 Months
S&P Total
Return Index
MONTHLY
Oct-87
Aug-98
Sep-02
Feb-01
Aug-90
Nov-87
Sep-01
Nov-00
Jul-02
Jun-02
Jan-90
Mar-01
Aug-01
Apr-02
Dec-02
Aug-97
Sep-00
Jan-00
Average:
-21.59%
-14.46%
-10.87%
-9.12%
-9.04%
-8.32%
-8.08%
-7.88%
-7.80%
-7.12%
-6.71%
-6.34%
-6.26%
-6.06%
-5.88%
-5.60%
-5.28%
-5.02%
-8.41%
Correlation Coefficient:
S&P Total
Return Index
MONTHLY
ZCM/MAR TrendFollower Advisors
MONTHLY
1.84%
11.49%
4.81%
1.03%
8.81%
11.33%
6.03%
6.79%
6.79%
10.75%
3.13%
8.17%
3.04%
-2.16%
5.65%
-4.77%
-3.79%
1.60%
4.47%
-0.206
Jan-87
Dec-91
Mar-00
May-90
Jul-89
Oct-02
Apr-03
Oct-98
Jul-97
Dec-87
Apr-01
Nov-01
Nov-96
Jan-89
Feb-98
Feb-91
Nov-90
Sep-98
Average:
13.51%
11.44%
9.78%
9.75%
9.03%
8.80%
2.00%
8.13%
7.96%
7.78%
7.77%
7.67%
7.56%
7.33%
7.21%
7.15%
6.46%
6.41%
8.10%
Correlation Coefficient:
ZCM/MAR TrendFollower Advisors
MONTHLY
10.01%
22.03%
-2.73%
-7.06%
1.20%
-4.80%
8.24%
-0.19%
8.64%
8.18%
-7.42%
-10.02%
7.02%
7.03%
-0.55%
-0.68%
0.32%
6.21%
2.52%
0.137
Graham Capital Management, L.P.
Rolling Returns
Jan 83 to Sep 03
Rolling window size of 12 months
70
60
50
40
30
20
10
0
-10
-20
-30
84
85
86
87
88
89
90
91
S&P 500 Total Return Index
92
93
94
95
96
97
98
99
00
ZCM/MAR-Trend-Follower Advisors Index
01
02
03
Graham Capital Management, L.P.
Characteristics of Trend Following Returns
Long 10-year UST Futures
with a Stop Loss
Long a Call Option
2000
2000
“Low
Volatility”
“Option
Premium”
1500
HIGH Profit Potential
Profit / Loss
Profit / Loss
1500
“High Volatility”
“High Volatility”
Low Profit
Potential
1000
500
“Limited Loss”
500
0
-500
-500
90
95
100
Price
105
110
115
120
HIGH Profit Potential
Low Profit
Potential
1000
0
85
“Low Volatility”
85
90
95
100
102 103
Price
105
110
115
120
Graham Capital Management, L.P.
Characteristics of Trend Following Returns
Key Takeaways :
 Trend Following has produced long-term double digit annualized returns
 Trend Following has higher volatility on a stand alone basis than many other
hedge fund strategies
 Trend Following returns have been an excellent source of diversification for
long only strategies and most other hedge fund strategies

Trend Following has provided diversification when you need it most
 Trend Following tends to create a long option profile, high upside volatility with
limited downside losses