Thursday, 21 August 2014
Last updated 1 hour ago
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.
Aug 4 2014 | 7:42am ET
By now, U.S. and international subscribers have received their home or office delivery of the special 500th issue of Futures magazine. You can too!—a very special offer follows. The issue is the largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders. Read more…
The July/August 2014 issue is our largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders.
The Alpha Pages Editor's Note