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NALT: What’s Under the Hood

27 May 2022 by National Bank Investments
Séries Glass Box

Highlights

  • The portfolio is composed of long and short futures contract positions.
  • Quantitative investment (QI) models determine allocation.
  • Their application aims at maintaining a low correlation with the stock markets and controlling risks.

Introduction

NALT implements a Systematic Global Macro investment strategy. The quantitative models aim to achieve the best performance given the investment objective while avoiding emotional factors that can lead to irrational decisions.

The QI models used recommend investments in 22 futures contracts among the five following asset classes: 5 U.S. government bonds, 4 currencies, 3 metal commodities, 5 agricultural commodities, and 5 energy commodities. The absence of equity index futures contracts contributes to NALT’s decorrelation to the stock markets.

In addition to asset allocation, the QI models include control features designed to preserve the uncorrelated risk/return profile of the fund.

In this document, we explain the portfolio construction process and discuss the QI models that drive NALT’s momentum.

Download the full document to continue reading.

Legal notes

The information and opinions herein are provided for information purposes only and are subject to change. The opinions are not intended as investment advice nor are they provided to promote any particular investments and should in no way form the basis for your investment decisions. National Bank Investments Inc. has taken the necessary measures to ensure the quality and accuracy of the information contained herein at the time of publication. It does not, however, guarantee that the information is accurate or complete, and this communication creates no legal or contractual obligation on the part of National Bank Investments Inc.

NBI ETFs are offered by National Bank Investments Inc., a wholly owned subsidiary of National Bank of Canada. Management fees, brokerage fees and expenses all may be associated with investments in exchange-traded funds (“ETFs”). Please read the prospectus or ETF Facts document(s) before investing. ETFs are not guaranteed, their values change frequently and past performance may not be repeated. ETF units are bought and sold at market price on a stock exchange and brokerage commissions will reduce returns. NBI ETFs do not seek to return any predetermined amount at maturity.

National Bank Investments is a member of Canada’s Responsible Investment Association and a signatory of the United Nations-supported Principles for Responsible Investment.

© 2022 National Bank Investments Inc. All rights reserved. Any reproduction, in whole or in part, is strictly prohibited without the prior written consent of National Bank Investments Inc.

® NATIONAL BANK INVESTMENTS is a registered trademark of National Bank of Canada, used under license by National Bank Investments Inc.

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