THEAM Quant - Alpha Commodity

The THEAM Quant - Alpha Commodity strategy seeks to generate absolute performance in commodities markets by accessing three main sources of commodity alpha (carry, momentum, backwardation) via uncorrelated and diversified quantitative strategies and combining them within a risk-balanced portfolio. Dynamic Roll Alpha (carry) is generated by enhanced positioning on the forward curve vs. the positioning of benchmark indices. Over time, being invested further along the curve generally results in significantly lower costs of carry, and thus outperformance vs. an investment in a benchmark. Alpha Momentum exploits persistent commodity price trends. Finally, Alpha Backwardation capitalises on the typical outperformance in backwardated market conditions. The Carry, Momentum, and Backwardation strategies within the portfolio serve different functions, aligning with market signals. The Carry strategy offers a defensive position during market downturns, while Momentum and Backwardation strategies are signal-based and are expected to perform when markets favour their respective conditions. Portfolio construction is systematic in nature and adheres to an Equally-Weighted Risk Contribution model. The strategy is 2x leveraged, with weight allocation rebalanced on a monthly basis.