Investment Overview

Long-only commodity exposure
The strategy employs a top-down, rules-based approach that emphasizes broad exposure and diversification among individual commodities and commodity sectors (e.g. energy, agriculture, industrial metals)
Highly correlated commodities are removed; diversifying non-Index commodities are added
Target weights are designed to reduce the highest Index concentrations
Trigger-based rebalancing designed to systematically avoid build-ups, reduce portfolio concentration and attempt to enhance returns
Based on mathematical principles of diversification, compounded growth, and volatility capture

Portfolio Construction

Typically 30 distinct underlying commodities, including 8 non-index exposures
Four liquidity tiers based on daily trading volume of the commodity contracts and “upstream” nature of commodities
Modified equal weight strategy to maintain commodity diversity
Collateral is maintained in U.S. Treasury bills

Investment Team

Thomas Seto, Head of Investment Management, Parametric Seattle Investment Center
26 years of industry experience
17 years with Parametric
BS, University of Washington
MBA, University of Chicago
Timothy Atwill, CFA, PhD, FCAS, Head of Investment Strategy, Parametric Seattle Investment Center
17 years of industry experience
6 years with Parametric
BA, Reed College
PhD, Dartmouth College
Greg Liebl, CFA, Portfolio Manager, Parametric Minneapolis Investment Center
7 years of industry experience
6 years with Parametric
BS, North Dakota State University

Benchmark

Bloomberg Commodity Index Total Return