Mount Lucas engages in comprehensive and ongoing risk management, looking beyond conventional measures such as Value at
Risk or historical volatility. The inherent diversity of the MLM Macro-Peak™ portfolio, which includes a wide range of
asset classes, geographic markets, and trading styles, is an important factor in limiting risk.
Distinguishing volatility from risk is a key tenet of the Mount Lucas methodology. In evaluating potential investments,
principals focus more on the fundamental, real risk that is inherent in each asset class, market or instrument, and place
less emphasis on short-term volatility. As a result, the MLM Macro-Peak™ strategy is designed for investors with a 3-5
year time horizon.
Information is critical to risk management and the achievement of investment objectives. Mount Lucas uses a third-party
accounting firm, BNY Mellon Asset Servicing, to price the MLM Macro-Peak™ portfolio on a nightly basis. To ensure that
principals remain aware of market fluctuations, the firm prices more than 95 percent of positions on a real-time basis
through an internally developed application. Mount Lucas also partners with a leading risk analytics firm, Investor Analytics,
to quantify and manage risk. Clients can access daily Investor Analytics reports that provide net asset values and detailed
At Mount Lucas, we believe that risk should be identified across all of its channels. In the following list, we present the
risks associated with MLM Macro-Peak™, and our response to these risks: