Fact sheet: LO Commo Risk Prem

Fund information

Fund name
LO Commodity Risk Premia (USD) N
Fund company manager
Lombard Odier
Fund type
SIB
Fund manager(s)
Laurent Joue
since 06/07/2011
Marc Pellaud
since 06/07/2011
Fund objective
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 risk-adjusted 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.
Benchmark
Bloomberg Commodity Index Total Return CHF HDG
Investment style
Passive/Tracking
Investment method
Synthetic,Futures

Quick stats

1 Year return

8.28 %

1 Year rank in sector

-

Sector

FO Commodity & Energy

Yield
-
Fund size

£ 361.6 m

FE Risk score

86

NAV
-
Discount/Premium
-
Gearing
-

Top in sector

Holdings snapshot

  • Metal Products
    43.3%
  • Energy
    28.7%
  • Fishery, Agriculture & Forestry
    28%
  • Commodity & Energy
    100%

Performance vs. Sector

Cumulative performance

1m6m1y3y5y
Fund2.82 %8.56 %8.28 %-15.37 %-26.46 %
Sector0.67 %3.03 %4.91 %-5.6 %-14.36 %
Rank within sector / / / / /
Quartile th th th th th th

Calendar performance

YTD-20172016201520142013
Fund9.72 %8.17 %-20.99 %-13.84 %-7.92 %
Sector2.77 %23.06 %-19.83 %-8.99 %-6.61 %
Rank within sector / / / / /
Quartile th th th th th th

Risk statistics

Alpha-4.99
Beta0.7
Sharpe-0.01
Volatility11.37
Tracking error7.59
Information ratio-0.6
R-Squared0.67

Price movement

52 week high6.4672
52 week low5.5804
Current bid price0
Current offer price0
Current mid price6.4015

Holdings by region

-

Holdings by sector

  • 43.3% Metal Products
  • 28.7% Energy
  • 28% Fishery, Agriculture & Forestry

Holdings by asset type

  • 100% Commodity & Energy

Individual holdings

-