Commodity Trading Advisors

TRADING STRATEGY
The program is designed around a portfolio of commodity-based markets, including: energies, agriculturals including softs, industrial and precious metals, and commodity-related currencies. Approximately half of the trading will be focused on premium capture strategies established with the aim of generating income from such positions. Average trade time horizon is between 6 weeks and 24 weeks with market diversification taking into consideration potential correlations among the different commodities, as well as diversification of option strategies and time horizons utilizing different option expirations. The remainder of the portfolio will be dedicated to speculative directional trades in the form of debit spreads, synthetic futures and occasionally outright long option positions. Premium option strategies may on occasion be converted into directional bets. The objective of the program will be to generate an annualized gross return of 15-30% in an uncorrelated fashion relative to conventional equity/bond portfolios. Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is portfolio construction and diversification; second is controlling leverage through position sizing adjusted according to account size, volatility and risk-reward analysis; and third is stops based on money management rules. Trading decisions are based on a blended analytical process combining quantitative analysis, fundamental studies, and technical and sentiment indicators.

TRADING STYLE: Options / diversified / multistrategy