Moody Soft Closes $203M Commodity Stat Arb Strategy

Jun 10 2008 | 11:09am ET

Portland, Ore.-based JE Moody & Co. is soft closing its $203 million JEM Commodity Relative Value Program, which celebrated its second anniversary last month and is up an estimated 7.54% year-to-date.

“Due to recent capital inflows, we have decided to soft close the JEM CRV Program while we work on adding new markets/models and continue our research on execution/liquidity/capacity and risk management,” according to the firm.  “We think it's prudent to take a conservative approach, and to pause in accepting new investments for now.”

JEM CRV is a statistical arbitrage commodity strategy. It employs systematic strategies to detect and exploit distortions and shifts in relative price between related instruments in the energy, metal, grain, livestock and food and fiber markets, while maintaining market or sector neutrality.

JE Moody was founded by John Moody, who previously consulted for the Defense Intelligence Agency, Dept. of Energy and financial institutions.

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