Commodity Futures Fund Gains Traction

Apr 4 2007 | 10:44am ET

J.E. Moody & Company’s JEM Commodity Relative Value Fund’s assets under management soared three-fold last month as high net-worth and funds of funds investors poured into the statistical arbitrage strategy. The 11 month-old futures fund is currently managing $21 million and has returned 28.9% since inception, according to public databases.

The Commodity Relative Value Fund employs systematic strategies to detect and exploit mis-pricings between related instruments in the energy, metal, grain, livestock, food and fiber markets, while maintaining approximate market or sector neutrality, according to fund documents. It does not make un-hedged directional bets and its trades are implemented using offsetting long and short positions in futures and futures options.

The CRV Fund charges a 2% management fee and 20% performance fee, with a $1 million minimum investment requirement for institutional investors.

Portland, Ore.-based J.E. Moody is the asset management affiliate of Nonlinear Prediction Systems, a research and development firm founded by John Moody in January 1992. Moody is a principal investigator at the University of California, Berkeley’s International Computer Science Institute and a former member of the computer science and neuroscience faculties at Yale University. He took leave from full-time academics in 2003 to focus on trading and building JEM’s asset management business.

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