Schroders AS Commodity aims to give investors diversified exposure to commodities, primarily through commodity futures. Although index unconstrained, this is an enhanced beta product with the return objective of outperforming the average of the four main commodity indices (S&P Goldman Sachs Commodity Index, Reuters / Jeffries CRB, Dow Jones AIG, Rogers Int comm), with lower volatility. Investments will be made in futures (50-100%), commodity swaps, equities (0-25%) and T-bills. Positions will be determined firstly through fundamental analysis including a supply / demand model for each commodity. Quantitative analysis then follows which includes a model featuring the 3-10 factors that have been determined to be most responsible for driving the commodity price. The final step involves technical analysis (including seasonal patterns) which aids with timing the entry / exit of positions.
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