LO Funds - Commodity Risk Premia is a rule-based long-only commodity strategy launched in July 2011. It offers exposure to commodities in the energy, agriculture and metal sectors. It seeks to deliver stronger riskadjusted returns over an economic cycle than traditional indices such as the Bloomberg Commodity Index. The investment approach seeks to replicate, through a Total Return Swap, LOIM Commodity index. This index equalises the risk contribution of three sectors (energy, metal, agriculture) and of individual commodities within each of these. The cost of rolling forward future contracts is optimised whilst taking into account the shape of forward curves in commodity markets.
Bloomberg Commodity Index Total Return