Commodities

Our Commodities Strategy seeks to avoid the concentrations that occur in mainstream commodity indexes by investing broadly across commodity types. Our active reweighting and systematic rebalancing seek to capture a diversification premium.

Strategy goals

Parametric’s Systematic Alpha strategies are broadly diversified and dynamically rebalanced portfolios designed to outperform capitalization-weighted approaches over the long term, with less risk. We establish diversification via a system of portfolio target weights. As market forces move the portfolios’ holdings away from the target weights, we reestablish diversification using a trigger-based rebalancing process. Our active reweighting and rebalancing have the potential to generate excess returns. Parametric’s experience constructing and managing portfolios for over 25 years has informed and enhanced the development of our Systematic Alpha strategies.

The Parametric Commodities Strategy seeks to add value through disciplined portfolio construction and rebalancing among individual commodities while maintaining the diversifying and inflation-fighting characteristics that may make the commodity asset class appealing. By capitalizing on commodity-specific volatility and the low level of cross-correlation prevalent in commodity markets, the strategy seeks to allow long-term exposure to the commodity asset class with more consistent returns than the Bloomberg Commodity Index Total Return.

Investment philosophy

We employ an engineered and disciplined approach to exploit the unique characteristics of the commodity asset class.

Reweight

Increase diversification by reweighting
Split into tiers by liquidity; equally weight all contracts in each tier
Scale upstream and similar commodities down a tier

Rebalance

Rebalance to target weights monthly as contracts are rolled
Rebalance to target when portfolio weights fall below 80% or exceed 120% of target weight

Collateral

Invest in US Treasury bills with three-to-12-month maturities
Avoid risky investments

How to invest and related products

The Parametric Commodities Strategy is designed to be implemented in a separately managed account (SMA) maintained by a qualified custodian. Investors should contact their financial advisor to establish an SMA. Parametric also subadvises a fund with a similar strategy, offered and distributed by our affiliate, Eaton Vance Distributors Inc., a registered broker-dealer.
Learn more^*

*We provide a link to the Eaton Vance website for your convenience only. It is for informational purposes only and is not an offer to buy or sell any security. Although Parametric is an affiliate of Eaton Vance, Parametric does not administer the website or control any of its content. Accordingly, this link is provided as is, without representation or warranty, express or implied, as to the accuracy of such content or its completeness or timeliness, all of which (including, without limitation, any implied warranties of merchantability or fitness for a particular purpose) Parametric expressly disclaims. This link’s appearance on Parametric’s website should not imply our endorsement of the linked site or its content. Parametric is not responsible for your use of the linked site, its content, or any other resources (including, without limitation, other linked sites and their contents) accessible through it. If you choose to leave this website and visit the linked site, you will be subject to its terms of use and privacy policies. By continuing to the linked site, you acknowledge and agree to the foregoing.

Investing in a commodities strategy has certain risks. The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, which may include weather, embargos, tariffs, health, and political, international, and regulatory developments. Economic events and other events (whether real or perceived) can reduce the demand for commodities, which may reduce market prices and cause their value to fall. The use of derivatives can lead to losses or adverse movements in the price or value of the asset, index, rate, or instrument underlying a derivative due to failure of a counterparty or due to tax or regulatory constraints.

For additional information please visit the Disclosure page.

Connect with our team on this strategy

Investment advisory services offered through Parametric Portfolio Associates^® LLC ("Parametric"), an investment advisor registered with the US Securities and Exchange Commission (CRD #114310). Parametric is also registered as a portfolio manager with the securities regulatory authorities in certain provinces of Canada (National Registration Database No. 42850) with regard to specific products and strategies. Parametric provides advisory services directly to institutional investors and indirectly to individual investors through financial intermediaries. The information on this website does not constitute an offer to sell, or a solicitation of an offer to purchase, securities in any jurisdiction to any person to whom it is not lawful to make such an offer. Investing entails risks, and there can be no assurance that Parametric (and its affiliates) will achieve profits or avoid incurring losses. All investments are subject to potential loss of principal. Parametric does not provide tax or legal advice. Prospective investors should consult with a tax or legal advisor before making any investment decision. Please refer to the disclosure page for important information about investments and risks.

S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P^® indexes are registered trademarks of S&P DJI; Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones, and their respective affiliates do not sponsor, endorse, sell, or promote Parametric and its strategies, will not have any liability with respect thereto, and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices.