Lenapi Advisors, LLC : Lenapi Quantitative Long/Short Commodity 2X

Summary

Quantitative Long/Short Commodities: The strategy utilizes eight models across 32 global commodity futures. The trading approaches employed include: short term technical counter-trend (three models), fundamental based (one model), spread (one model), and trend oriented (three models). The strategy provides direct exposure to global commodities for those investors looking to take advantage of the expected inflation and re-emergence of economic growth. For those with existing long-only commodity exposure, this Strategy takes advantage of both long and short positions and provides good diversification.

Investment Strategy

Lenapi Quantitative Commodities Strategy is a systematic managed futures program that specializes in trading a portfolio of 32 global commodity futures markets. Through diversified time horizons and trading styles, the manager believes portfolio risk can be reduced as strategy returns are not dependant on the profitability of single factor exposures. The strategy incorporates investment approaches that focus on holding periods of multiple days to multiple months. In addition to multiple time horizons, multiple model styles are employed including counter-trend, intra-commodity, quantitative macro and trend oriented approaches.

Risk Management

Position sizing- volatility based. There are 4 main elements to managing position risk.
1 - Vol based trailing protective stop- Full risk comes off.
2 - Momentum/vol filter- Extreme measures can warrant scale outs.
3 - Trend strength filter- Impact both scaling in (as trend improves) and scaling out (trend deteriorates).
4 - Time/signal decay filters- Scale outs may form based on factor of performance/time.