CP Capital LLC : Commodity Process Strategy

Summary

CP Capital's Commodity Process Strategy is a diversified rules-based investment strategy to invest in liquid commodity futures. The program is designed to generate absolute returns with low correlation to other commodity products, traditional financial benchmarks and fund strategies. The portfolio is managed by two experienced commodity and hedge fund professionals with diverse and complementary skills. The portfolio managers have substantial experience trading and managing risk in a CTA environment.

Investment Strategy

CP Capital's investment strategy is based upon fundamental research of each commodity that drives the modelling process. The investment managers draw upon an established global network of commodity industry professionals; ranging from producers and consumers to industry consultants and traders. The investment manager utilizes a formalized, proprietary, quantitative analysis to provide scoring for each commodity traded in the program. The scoring is designed to neutralize or enhance bias. The Process Strategy utilizes a proprietary, back-tested technical model for enhanced trade execution. No subjectivity deciding where to enter and exit trades. This discipline also creates better risk management.

Risk Management

CP Capital’s proprietary VaR model is engineered to measure and quantify the level of financial risk of the portfolio. The model uses the exponential historical volatility with a decay factor of .94 and a confidence level of 95%. It is designed to measure each specific commodity independently. The model produces a conservative daily portfolio VaR by cumulating the calculated VaR’s of each instrument without the consideration for correlation. CP Capital wants to limit VaR exposure to 10%. However, during periods of volatility expansion, we want our allocation model to take advantage of these opportunities.