The risklab Commodity 4 Seasons Long Short Index strategy provides a long/short exposure to the commodity market by exploiting performance differentials between the commodity subsectors energy, precious metals, industrial metals and agriculture (excluding livestock) in different periods.
The fully rules-based C4S Long Short 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. The C4S LS Index is the total return index.
The corresponding excess return version, Commodity Long-Short ER Index (MLCXRLUE <Index>), is provided by Merrill Lynch.
Bloomberg Ticker RLABC4S2 <Index>