NALT: What’s Under the Hood

27 May 2022 by National Bank Investments

Highlights

The portfolio is composed of long and short futures contract positions.
Quantitative investment (QI) models determine allocation.
Their application aims at maintaining a low correlation with the stock markets and controlling risks.

Introduction

NALT implements a Systematic Global Macro investment strategy. The quantitative models aim to achieve the best performance given the investment objective while avoiding emotional factors that can lead to irrational decisions.

The QI models used recommend investments in 22 futures contracts among the five following asset classes: 5 U.S. government bonds, 4 currencies, 3 metal commodities, 5 agricultural commodities, and 5 energy commodities. The absence of equity index futures contracts contributes to NALT’s decorrelation to the stock markets.

In addition to asset allocation, the QI models include control features designed to preserve the uncorrelated risk/return profile of the fund.

In this document, we explain the portfolio construction process and discuss the QI models that drive NALT’s momentum.

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