Summary

The County Cork Diversified Commodity Long/Short Strategy uses the relationship between cash and futures prices to establish directional positions in the futures markets. It is fully systematic and focuses on timing as well as magnitude of basis changes allowing for continuous risk management of the positions. The Program trades futures contracts in three market sectors: agriculture, metals, and energy. It combines commercial logic with quantitative algorithms using fundamental price data. It leverages the decades of experience of Robert J. O’Brien Jr. in the agriculture space. Our model was developed for an under exploited niche market sector.