Trading Strategies

The Fund trades two main types of strategies: commodity spreads and medium-term algorithmic models.

Commodity spreads are represented by several approaches: calendar spreads, fundamentally related spreads, statistically related spreads, and spatial commodity arbitrages.

Algorithmic trade is based on recognizing short-term trend movements in which positions in any instrument are open and generally held for a period of tens of minutes to several hours.

Commodity trading is one of our essential competitive advantages. The highly qualified mathematicians and traders with more than 15 years of overall experience in commodity markets work for us.

Commodity spreads are represented by three different portfolios of trading strategies implemented by Finartel Capital's team of traders and quants.

All three types of strategies are similar in terms of ideology: convergence to the mean on commodity assets. However, each team trades completely uncorrelated instruments on fundamentally different exchanges in practice. As a result of combining these types of strategies into one portfolio, we gain a remarkable improvement in trading performance.

The main instruments are commodity futures traded on exchanges: CME, CBOT, COMEX, EURONEXT Paris, ICE US, ICE EU, LIFFE, NYMEX, SGX, TOCOM.

The Fund has an independent algorithmic team specializing in trading patterns. These strategies are based on short and medium-term trend trading with instruments in the global and Russian markets as well as in currency and commodity derivatives markets.

The strategies are highly stable in the long term, despite the periods of local drawdowns. In addition, the behavior of these strategies shows an antiphase with the volatility of the major stock indices. In moments of solid market instability, income from the strategy reaches its maximum. The strategy can be implemented as a protective tool in an extensive portfolio.

The main instruments are the most liquid futures traded on exchanges: CME, NYMEX, COMEX, CBOT, ICE US, ICE EU, MOEX.

Сurrent portfolio structure

The proportion of each strategy in our portfolio is determined through a comparative assessment of returns, the degree of risk correlation between different strategies, and the relative capacity of each strategy.*

Type of strategy Target
annual return, %
Average
estimated drawdown, %
Maximum
estimated drawdown, %
Portfolio
 share**, %
Calendar commodity spreads 29,62 1,6 22,45 15
Fundamentally related commodity spreads 37,11 4,38 30,45 10
Statistically related commodity spreads 46,38 1,71 22,76 20
Algorithmic trading 13,71 3,51 12,18 15
Type of strategy Target
annual return, %
Average
estimated drawdown, %
Maximum
estimated drawdown, %
Portfolio
 share**, %
Calendar commodity spreads 29,62 1,6 22,45 15
Fundamentally related commodity spreads 37,11 4,38 30,45 10
Statistically related commodity spreads 46,38 1,71 22,76 20
Algorithmic trading 13,71 3,51 12,18 15
Type of strategy Target
annual return, %
Average
estimated drawdown, %
Maximum
estimated drawdown, %
Portfolio
 share**, %
Calendar commodity spreads 29,62 1,6 22,45 15
Fundamentally related commodity spreads 37,11 4,38 30,45 10
Statistically related commodity spreads 46,38 1,71 22,76 20
Algorithmic trading 13,71 3,51 12,18 15
* Further details are available in the fund Prospectus sections: Investment Objectives and Policy, Risk Factors.

** Part of the funds that remain free are invested in low-yield risk-free instruments, such as US short-term treasury bonds; part are kept in currency.