Summary

The BAY HILL COMMODITY ALPHA ("BHCA") strategy is a quantitative commodity futures trading program. The strategy seeks to generate returns that are uncorrelated to traditional benchmarks and the managed futures industry as a whole by quantitatively modeling fundamental and behavioral conditions of individual commodity markets. The BHCA program is a unique offering in the CTA space. The strategy is commodities only and approaches the market using a diversified inter-commodity relative value approach. Bay Hill has identified multiple uncorrelated alpha signals that have predictive value for forecasting the movement of commodities relative to one another on multiple timeframes. This approach creates an opportunity to realize a high Sharpe Ratio (>1.5 expected) and also allows for the targeting of a more consistent volatility profile when compared with other futures strategies. The BHCA strategy utilizes rigorous portfolio construction and risk control algorithms to combine the signals into a dynamic, well diversified portfolio which targets an annualized volatility of 12%.