Summary

To use a diversified set of trading strategies to trade a diversified group of the most liquid commodity futures contracts while carefully limiting risk. By trading diversified strategies over a diversified set of commodities and managing the risk allocated an uncorrelated and robust return stream is sought that captures much of the upside in commodity bull markets and limits the downside in the inevitable deep corrections in commodity markets. The strategies traded, the regime identification risk allocation and the risk management have been used and proven while running the QDRA Dynamic Macro strategy since 2007. Whilst this strategy is relatively new as a standalone strategy, the trading models, dynamic risk allocation and systems used to create the strategy have all been part of another program that has generated significant alpha for over 14 years.