Risk Premia



Gresham’s absolute return risk premia strategy uses state-of-the-art quantitative trading models that focus less on asset classes and more on risk premia that investors can gain from these classes. Gresham’s risk premia strategy seeks to isolate those risk premia that can be found in commodity futures.

Commodity Multi-Strategy (CMS)

CMS is a carefully crafted selection of complementary alternative risk premia commodity-focused strategies. Portfolio construction focuses on dynamic risk allocation and results in low correlation to risk premia in other asset classes and traditional beta. Gresham's unparalleled experience across three decades of generating alpha in diversified institutional commodity portfolios allows us to isolate a wider set of commodity risk premia by leveraging the firm’s research efforts and extensive trading expertise.

This diversified set of strategies captures value, carry, momentum, volatility, as well as other discrete asset-specific risk premia. CMS employs a multitude of modeling frameworks including time-series, cross-sectional, statistical arbitrage and other quantitative techniques instead of relying on any single approach. Ongoing research yields a growing portfolio of strategies that differentiates CMS from traditional CTAs and more traditional risk premia strategies



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