Strategy Description

The risklab Commodity 4 Seasons Long Short SRI Index (C4S Long Short SRI Index) strategy provides a long/short exposure to the commodity market (excluding Agriculture and Livestock) by exploiting performance differentials between the commodity subsectors energy, precious metals and industrial metals in different periods.

The fully rules-based C4S Long Short SRI strategy derives long and short allocations of the commodity subsectors by following a momentum driven strategy that includes a risk management component. Its implementation is designed to avoid negative roll returns.

Any remaining share of the index is invested into EUR denominated money market instruments and serves as collateral for the derivative based implementation.

Bloomberg Ticker RLABC4S1 <Index>

Strategy Documents

Index Description