The J8 Global Absolute Return Strategy (“J8 GARS”) as an alternative investment vehicle is a systematic diversified program focused on liquid alternative risk premia and systematic global macro strategy sets. The strategy is live since 1st January 2015.
The objective of the J8 GARS is to methodically deliver portfolio protection, portfolio diversification, and capital appreciation in capturing alternative streams of returns within a systematic and formulaic investment process. J8 GARS aims to achieve the stated objective through a proprietary construct that focuses on:
The strategy is derived from our original research. |
Strategy description
The J8 Global Absolute Return Strategy (J8 GARS) trades commodity, currency, and government bond futures only (no equities!). As a systematic program, J8 GARS utilizes trend-following, carry, term-structure arbitrage, and inventory basis signals in a risk-weighted diversified portfolio to systematically generate returns which are managed to a target volatility. It has the ability to close-out and reduce exposures in response to changes in the market environment. Enhancing the tactical risk-premia signals to traditional CTA beta trend-following signals stabilizes the returns, reduces drawdown severity and shortens recovery periods. As such, J8 GARS invests to preserve capital and diversify alternative and traditional investment portfolios.
The J8 Global Absolute Return Strategy (J8 GARS) trades commodity, currency, and government bond futures only (no equities!). As a systematic program, J8 GARS utilizes trend-following, carry, term-structure arbitrage, and inventory basis signals in a risk-weighted diversified portfolio to systematically generate returns which are managed to a target volatility. It has the ability to close-out and reduce exposures in response to changes in the market environment. Enhancing the tactical risk-premia signals to traditional CTA beta trend-following signals stabilizes the returns, reduces drawdown severity and shortens recovery periods. As such, J8 GARS invests to preserve capital and diversify alternative and traditional investment portfolios.
|
|
The risk of loss in commodity interest trading can be substantial.