The AIS Optimized Commodity strategy is a quantitative, long-short strategy that invests primarily in commodities, as well as currencies and fixed income, to capture returns that are uncorrelated with equities, fixed income and some alternatives. The strategy is implemented by an experienced quantitative investment team that has broad experience in these types of strategies and assets.
The AIS Optimized Commodity strategy seeks to capture investment returns across 16 different commodities in four key areas: energy, metals, agriculture, and livestock/meats, along with currencies and bonds.
Long-, medium-, and short-term proprietary quantitative signals that have been developed and refined by our team over the past 15 years drive long and short portfolio positioning. The model-generated signals combined with our risk management framework drive exposure to the commodity, currencies and fixed income markets.
The portfolio takes advantage of diversification across both assets and signals. It is regularly rebalanced to maintain diversification and reach its target volatility profile. Leverage is used as required to reach target volatility.
The strategy’s potential benefit to an asset allocator is its ability to improve the risk/return profile of an investor’s overall portfolio.
The strategy has its origins in an investment index developed for the life insurance industry featuring a 15-year live track record with around $600 million in assets currently under management.