The Comac strategy uses specialist active commodities manager Tiberius Group to provide technical and fundamental recommendations with a systematic overlay strategy designed to enhance returns.
The new product aims to achieve absolute performance through taking both long and short positions on 25 commodities, based on weekly recommendations by Tiberius. The recommendations are then checked for consistency and success on the individual commodities over the previous six weeks. Weightings are determined according to each ones score before being fitted into the allocation model.
Commodities arent really a single asset class, says Ryan Rogowski, the head of Harewood Solutions. Its not just that they are uncorrelated to other assets, theyre not even correlated to each other.
While Brent crude has risen 340% over the past 10 years, natural gas prices have fallen 93%. The trend is equally true of soft commodities, with corn losing 73% over 10 years while soya has risen 67%.
It is because of this degree of differentiation in performance that Harewood chose an active long/short strategy that is reactive to weekly changes in momentum drivers or shifts in the fundamentals. Since April 2008 the strategy has returned about 65%. It is up 4.3% year to date.
The concept has already received significant interest from investors: the product was launched with 25.5m shares at listing. Rogowski says that demand was even greater but he was constrained by the price of collateral as investors capital is fully collateralised with AAA rated G7 government bonds.
What is interesting about that is if you look at the investor split for this launch they include multi-managers and institutions, including two pension funds, he says. As soon as I see stocks getting low Ill instigate the process to issue a new share class.
In addition to the launch of the Comac strategy, Harewood has filed for regulatory approval on a US Enhanced product. Rogowski says he hopes to receive approval some time in the middle of this month