The Multi-Asset Carry Program seeks to identify risk premium opportunities in futures and forward markets based primarily on information embedded in or conceptually linked to the futures/forward term structure. In contrast to directional strategies, carry strategies are constructed to profit when spot prices remain the same. The strategies seek compelling long-term performance through multiple economic cycles, while maintaining a low correlation to traditional and alternative investments. The portfolio is diversified over approximately 60 markets including fixed income, commodities, equity indicies and foreign exchange and is designed to be lowly correlated to traditional strategies.
The Multi-Asset Carry Portfolio seeks to generate attractive risk-adjusted returns by evaluating "carry premium" in different asset classes. Carry premium is the economic benefit that one can achieve by holding or "carrying" a particular investment, less the costs associated with holding that asset. The Multi-Asset Carry Portfolio is diversified across global, liquid futures and forwards markets covering fixed income, equity indexes (including equity volatility index), foreign exchange and commodities.