Investment Approach
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Strategy selection remains an important factor driving diversification. Almanac Capital utilizes
a qualitative evaluation of the market, trends, trader dialogues etc., to ensure
that exposures are balanced in an effort to maximize the best
opportunities provided by the markets, i.e. relative value vs. directional macro;
European energy vs. North American energy.
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Portfolio construction consists of both qualitative inputs and quantitative
optimization. Qualitatively, Almanac Capital seeks to maximize diversification of the commodity
asset base as well as seeks to diversify among trading methodologies while minimizing
the number of manager allocations. Optimizations utilizing returns, volatility structures
and correlation structures are modeled when qualitative discretion does not
provide clear portfolio reasoning.
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Sourcing of Managers is predominantly achieved through existing industry network
and relationships developed over 10 years of commodity experience by the Portfolio
Manager. The fund remains fairly concentrated with respect to the number of managers
and seeks to leverage exclusive industry relationships to access "Best of Class"
managers in very specific niche markets.
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Critical to Almanac Capital's approach to portfolio construction, filtering includes standard
team and operational due diligence, as well as a very comprehensive investigation
and evaluation of the manager's strategy, investment, trading and risk methodologies.
Combining this sound investment judgment determines whether the methodologies
of the funds match that of the structure and whether the fund creates
value in our overall portfolio, (i.e., improving the risk return profile of the portfolio).
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The monitoring process concentrates on evaluating changes in managers, strategies,
markets and the portfolio. Key attention will be given to manager focus drift, changes
to operations/staffing, changing market opportunities, risk exposures, market capacity
and liquidity parameters, market competition, shock risk, asset flows and general
investment environment. Finally, this will be done in connection with changes in
Almanac Capital's own portfolio, whether caused by correlations, strategy and underlying aggregation
shifts, or new internal risk targets.