X-Asset Risk Premia controlling volatility & drawdown through an innovative risk allocation, as well focusing on absolute return
Objective:
The Alpha Commodity Fund’s objective (the “Fund”) is to generate absolute performance.
This performance is generated thanks to a synthetic exposure to a portfolio of quantitative strategies aiming at benefiting from key Commodity markets’ specificities.
Key points:
- Firstly, access, on a pure-Alpha basis, to similar Commodity Alpha sources as the ones used by our flagship in-house commodity strategy, BNP Paribas® Oscillator Commodity strategy (live since October 2007). Additional source of Alpha: backwardation.
- Moreover, non directional, market-neutral portfolio of non directional, market-neutral underlying quantitative strategies, broadly uncorrelated with each other in order to benefit from diversification.
- In addition, a dynamic and risk-balanced allocation.
- At last, the funds aims at delivering a level of volatility ranging from 3% to 6% .
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