NALT implements what is called a Systematic Global Macro investment
strategy. The quantitative models aim to potentially achieve the best
performance given the investment objective, while avoiding emotional
and irrational human reactions.
In the case of NALT, different types of quantitative models recommend investments in 22 futures contracts on 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 these indices.
On top of the asset allocation functions, different types of risk-controls are also embedded in the QI models to maintain the highest possible level of consistency for NALT’s risk-return-decorrelation profile.
In this document, we look at what’s under NALT’s hood by first presenting the portfolio construction process and then explaining the QI models that drive NALT’s momentum.
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