|Overview (vs Benchmark: Refinitiv-CoreCommodity CRB(R) Index)
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.
Disclosures: Nothing on this factsheet shall be considered a solicitation to buy or an offer to sell a security, or any other product or service, to any person in any jurisdiction where such offer, solicitation, purchase or sale would be unlawful under the laws of such jurisdiction. Neither RQSI nor any of its licensors makes any warranties or representations, express or implied, to the user with respect to any of the data contained herein. The performance shown above is hypothetical and NET of all associated fees and expenses. You cannot invest directly in this series. Hypothetical or model performance results have certain limitations including, but not limited to: hypothetical results do not take into account actual trading and market factors (such as liquidity disruptions, etc.). Simulated performance is designed with the benefit of hindsight and there can be no assurance that the strategy presented would have been able to achieve the results shown. There are frequently large differences between hypothetical performance results and actual results from any investment strategy. While data was obtained from sources believed to be reliable, RQSI and its affiliates provide no assurances as to its accuracy or completeness.