Managed Futures

 

 

Gresham Managed Futures is the continuing evolution of the firm’s mission to deliver investor solutions across the commodity and managed futures universe. We are a research-driven investment team with a singular focus on systematic absolute return strategies. Our approach combines the rigorous application of statistics and data science to a diverse set of markets, coupled with respect for the inherent uncertainties of forecasting financial markets. The Gresham Managed Futures team couples deep cross-asset and alternative markets experience with modern trend following technology, robust risk management and portfolio construction, and proprietary alpha research. Led by Gresham’s Head of Systematic Strategies, J. Scott Kerson, and Chief Scientist, Dr. Thomas Babbedge, our skill set and investing experience extends far beyond the traditional commodity markets. And, as with all of Gresham products, our clients can rely on an institutional asset management framework, including regulatory, compliance, and security controls.

 

ACAR

The Alternative Commodity Absolute Return (ACAR) strategy is an alternative markets CTA. The strategy systematically applies modern trend-following technology to a globally diversified set of commodity markets. These markets exist at the periphery of the established futures landscape, and feature participants whose incentives hinge on production and consumption decisions, rather than speculation. Our focus on this specific market universe derives directly from one of the core tenets of our investment thesis: expected returns from trend-following should be higher, and correlations lower, across markets in which there is less capital competing for the same source of return. The ACAR team believes this is a defining characteristic of the alternative commodity markets, due to their operational complexity, limited transparency, and liquidity constraints—features which create fertile ground for the systematic harvesting of trend-following alpha, while simultaneously presenting significant barriers to entry.

 

STRATEGY HIGHLIGHTS

  • Portfolio Diversification
    • A high degree of physical, temporal, and geographical heterogeneity across more than 60 markets yields a significant number of independent factors and portfolio diversification.
  • Low Correlation to CTAs
    • A singular focus on alternative commodity markets translates into lower correlations to traditional managed futures programs.
  • Frontier Market Access
    • Gresham has a specialized facility for gaining exposure to highly access-constrained, "frontier" commodity markets.

COMPETITIVE EDGE

  • Alternative Market Pioneers
    • The ACAR team helped pioneer the application of trend following systems to alternative commodity markets.
  • Extensive Experience
    • Together with its original parent company, The Falconwood Corporation, Gresham has more than 30 years’ experience in trading and operational aspects of implementing and risk-managing commodity futures portfolios.
  • Institutional Infrastructure
    • Clients can rely on Gresham’s operational experience and blue-chip systems and controls to alleviate barriers to entry.

CONTACT US

For additional information on how to invest in one of our strategies, please contact Gresham at +1 212-984-1430, or email us at investorrelations@greshamllc.com


Gresham Investment Management LLC

257 Park Avenue South, 7th floor

New York, NY 10010