J8 Global Absolute Return Strategy
An enhanced CTA beta stratgey
Our J8 Global Absolute Return Strategy (J8 GARS) is an enhancement over CTA beta, using a multi-factor model. Our strategy outperformed the SG CTA Index in 54% and the SG Trend Index in 57% of the months since January 2015.
We add tactical risk premia strategies to a traditional CTA beta momentum allocation. This multi-factor approach creates opportunities for additional upside and stabilizes the return stream. The objective is capital preservation, portfolio diversification, and capital appreciation.
The J8 Global Absolute Return Strategy (J8 GARS) is formulaic and fully systematic. We replace traditional black-box CTAs with a transparent and formulaic investment strategy.
We achieve enhancement over CTA beta returns by adding tactical risk premia strategies to a traditional CTA beta allocation:
The sub-strategies only trade liquid exchange-traded futures in 20 commodity markets, futures on G10 currencies, and futures on North American and German government bond markets. This provides daily liquidity. The strategies do not trade futures on equity markets.
The sub-strategies use long-term price trends, demand and supply dislocations in the term structure, interest rate differentials, and inventory signals to generate returns. When combined, the sub-strategies can achieve an overall balanced performance, even during different market phases. The risk-weighted portfolio returns are managed to a target volatility.
The investment process is governed by rigorous risk management rules. Multi-level risk management aims to reduce the likelihood of excessive losses.
The market-independent return profile may help investors diversify portfolio risk and stabilize long-term investment performance to meet their overall investment objective.
The strategy fits into the strategic long-term asset allocation of professional and institutional investors. It replaces black-box CTAs with a transparent and formulaic investment strategy.
The risk of loss in commodity interest trading can be substantial.