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

26 years of industry experience

17 years with Parametric

BS, University of Washington

MBA, University of Chicago


Greg Liebl, CFA, Portfolio Manager, Parametric Minneapolis

7 years of industry experience

6 years with Parametric

BS, North Dakota State University


 

Benchmark

Bloomberg Commodity Index Total Return