We’ve had alternative risk premia strategies in our diversified portfolios for many years. They’ve been a great asset through the pandemic, with positive returns and low correlations to traditional asset classes, but most of all against equities (where, in turn, most of the portfolio risk sits).

Aspect, a CTA with ARP strategies (value, momentum) has performed very well, and we’ve been using the opportunity to lighten, and eventually exit, after this spurt of good performance.

What’s the point of the note. Well, in part, we were worried that the positive momentum strategies in commodities would peak, and fade, given our view that such pricing was unsustainable, and perhaps at the least, would prove highly volatile in the interim.

This would create a difficult environment for CTAs.

So, we took the money and reallocated elsewhere. So far, that looks like the right decision.

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This document is based on information available at the time of publishing, information which we believe is correct and any opinions, conclusions or forecasts are reasonably held or made as at the time of its compilation, but no warranty is made as to its accuracy, reliability or completeness. To the extent permitted by law, neither Aequitas nor any of its affiliates accept liability to any person for loss or damage arising from the use of the information herein.

Please note that past performance is not a reliable indicator of future performance.

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