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

26 distinct underlying commodities, including 6 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, Managing Director, Portfolio Manager - Parametric
25 years of industry experience
17 years with Parametric
BS, University of Washington
MBA, University of Chicago
Timothy Atwill, CFA, PhD, FCAS, Managing Director, Investment Strategy - Parametric
16 years of industry experience
6 years with Parametric
BA, Reed College
PhD, Dartmouth College
James Reber, Portfolio Manager, Parametric
11 years of industry experience
11 years with Parametric
BS, Michigan State University
MBA, University of Washington
Jeffrey Rogers, CFA, Portfolio Manager - Clifton
11 years of industry experience
11 years with Clifton
BSB, University of Minnesota


Bloomberg Commodity Index Total Return