COMPASS
Active Commodity Strategies
STRATEGIES DESCRIPTION
Multiple sources of alpha
The COMPASS Active Commodity Strategies aim to generate absolute return by combining successful alpha engines.
Our strategies uses three sources of information in a systematic way to generate three unique sources of alpha :
- commodity price forward curves optimization
- assessment of supply and demand situation based on fundamental indicators
- positioning of markets participants through commitment of traders data
Those information are processed through a systematic approach to generate trading signals on individual commodity contract or on calendar spread. The result is a set of single strategies based on diversified sources of information.
Proprietary portfolio construction models are then applied to generate optimal portfolios based on investors constraints.
Customizable active index platform
Benchmark
Our COMPASS Active Commodity Strategies can be implemented in relation to:
- global index weights (BCOM®, S&P GSCI®, RICI®, tailor-made indices…)
- a commodity basket
- a single commodity index
- an absolute return portfolio
Guidelines
Based on clients needs and requirements, we setup on the index construction the following guidelines:
- minimum and maximum global allocation/leverage. For example 70% – 130%
- Maximum exposure on a single commodity compared to its initial weight on the chosen benchmark. By default, the level is set at 2.
- UCITS rules : we can implemented UCITS rules in the portfolio in order to respect the ESMA/UCITS requirements
SMART BETA STRATEGIES
A robust alpha
As an example, we present here the COMPASS Active Commodity Strategies with the following parameters:
- No commodity short exposure
- Global exposure should stay between 70% and 130%
- For each commodity, the exposure cannot exceed 2 times the exposure of this commodity in the corresponding benchmark (BCOM® Index for example)
ABSOLUTE RETURN STRATEGIES
A decorrelated return
The Compass Absolute Return Strategies aim to generate uncorrelated return in a risk adjusted approach by using Compass Active Commodity Strategies.
Our model parameters can be adjusted to fit clients requirements.
We present here two examples with a portfolio construction based on 2 different risk targets:
- Compass Absolute Return 10% Volatility Target Index
- Compass Absolute Return 15% Volatility Target Index
STRATEGIES TECHNICAL DESCRIPTION
This document is available under request. Please leave us your email.
