Spread Momentum Program

The Takahē Spread Momentum Program trades intra-market commodity calendar spreads. It is a quantitative, process-driven system which trades spreads as well as options to better manage the risk on certain open positions. Generically, the program is designed to buy spreads which show positive recent price momentum coupled with a particular level of return skewness – and vice versa. Numerous single spread permutations are analyzed for each market, essentially across the entire liquid futures curve.

The Spread Momentum Program started trading in November 2017 and offers monthly liquidity.

Highlights

• Exploits momentum in intra-market commodity calendar spreads
• Attractive risk-adjusted returns regardless of the overall macro environment
• Momentum-based, yet uncorrelated to other CTA strategies
• Analysis of numerous spread combinations for each market
• Option-based exposure management on certain positions (discretionary)
• Effective diversification for traditional and alternative portfolios
• Consistent investment process

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