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Parametric launches structured commodity strategy fund

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Parametric Portfolio Associates LLC (Parametric) has launched the Parametric Structured Commodity Strategy Fund (EIPCX), a non-diversified open-end mutual fund targeted at the institutional, family office and registered investment advisor markets.

 

The fund seeks total return primarily through exposure to commodities-linked derivative instruments backed by a portfolio of fixed-income securities. The Fund is co-managed by Parametric investment professionals David Stein, PhD, chief investment officer, and Thomas Seto (pictured), managing director, portfolio management of Parametric, which is a subsidiary of Boston-based investment manager Eaton Vance Corp.  

The fund intends to employ a top-down, disciplined and structured investment process that emphasises broad exposure among individual commodities and commodity sectors. By following a rules-based strategy that incorporates targeted allocations and systematic rebalancing, the Fund seeks to exploit certain quantitative and behavioural characteristics of the commodity asset class to generate incremental returns over its benchmark. Commodity exposures are selected based on factors such as volatility, liquidity, diversification, and perceived risk and potential benefit. The frequency of rebalancing will vary with changes in the correlation between, and volatility of, individual commodities.  

"Major commodities benchmarks and many active strategies within the category are heavily concentrated in particular commodity groups," says Timothy Atwill, PhD, director, research and strategy for Parametric. "Relative to other commodity investment strategies, we seek to enhance risk-adjusted returns through re-weighting and rebalancing to take advantage of diversification, correlation and volatility."

Parametric has garnered significant institutional support of its suite of structured investment strategies, with nearly $12 billion in existing institutional assignments.

"Parametric has developed robust capabilities in structured, volatility-capture strategies and has successfully applied these across a range of asset categories," says Scott Ruddick, Eaton Vance’s head of institutional. "We are excited to offer this strategy to institutional investors at a time when many are actively researching thoughtful commodity exposure."

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