The fund aims to generate absolute return from three sources of commodity alpha: Curve, Momentum and Backwardation.
Objective:
The THEAM Quant Alpha Commodity fund aims to generate absolute performance, and increase the value of its assets over the medium term, by providing exposure to commodity futures contracts, via three risk-premia (alpha) factors identified in the Commodity space: Carry, Momentum and Value.
Key points:
- Access to commodity alpha sources via three market-neutral quantitative strategies, broadly uncorrelated with each other in order to benefit from diversification.
- Harvesting performance by capturing carry differentials that arise across commodity forward curves, in addition to the alpha derived from commodity markets’ inefficiencies and opportunities (supply-demand imbalances, price-driven trends, etc.).
- Dynamic and risk-balanced allocation between the three strategies, which is updated on a monthly basis.
- Aim to deliver a volatility level ranging from 3% to 6%.
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