RQSI: Commodity Prime Alpha
This program trades commodity futures contracts on both a long and short basis. This includes energies, industrial
metals, precious metals, meats, grains and soft commodities.
The program targets a 7% annualized volatility, but can vary over time. The portfolio will not have exposure greater
than 100% long or 100% short and net exposure will rarely be greater than 30% of invested capital in either direction.
For instance, the portfolio as of January 18, 2016 is 50% long (Soybeans, Copper, Lean Hogs, Soy Oil, Platinum, Cotton, Tin, Nickel, Sugar, Corn, Gasoline, and Brent Crude) and 70% short (Aluminum, Lead, Cattle, Heating Oil, Coffee, Copper, Gold, Wheat, Zinc, Crude Oil, Natural Gas, Cocoa and Soy Meal) for a net short exposure of 20% of invested capital. The program is expected to have little correlation to Global Stocks and Bonds, but be positively correlated to Global Commodities.
The underlying exposure is comprised of models from all 3 silos of GAA.