Long and Short positions in 14 liquid commodities
QLAB Conviction Score Model to control selective exposure
QLAB DCRM to optimise commodity futures selection
Max gross exposure Long and Short = 100%
Risk budget driven weighting process
The QLAB Quadrant L/S index represents a 3rd generation commodity index solution that seeks to offer stable absolute returns compared to the commodity and CTA hedge fund space. The economic exposure to commodities varies between 50% - 100% driven by a proprietary short term horizon risk budgeting process. The index uses QLABs proprietary Conviction Score Model to select L/S commodity exposures from its opportunity set where investor sentiment is strong or weak. The index updates its allocation periodically and weights are driven by a combination of conviction score and risk, where higher risk penalises weight. Index exposures are utilising QLAB DCRM to maximise performance by systematic selection of commodity futures contracts.