LO Funds (CH)
Commodity Risk Premia ex
Agri

ISINCH0417085260

General information

Asset Class Alternatives
Category Commodities
Share Class reference currency EUR Hedged
Dividend Policy Distribution
Total Assets (all classes) in mn EUR 38.42 31.03.2020
Assets (share class) in mn EUR 0.03 31.03.2020
Number of positions 12 31.10.2018
TER 1.14% 31.01.2020

Documents

KIID
Prospectus
Fact Sheet (marketing document)
Newsletter IM - Professional

Risk rating

Lower risk Higher risk
1
2
3
4
5
6
7
Typically lower reward Typically higher reward

Past performance is not a guide to future performance. The performance data do not take account of the commissions and costs incurred on the issue and redemption of units, performance is presented net of fees. The NAV of fund units and official prices of benchmarks are used for performance comparison purposes. Source of the figures: Lombard Odier.

Performance & statistics

Fund
Total Return -34.30%
Annualized Return -20.13%
Annualized Volatility -
Sharpe Ratio -
Downside Deviation 14.86%
Positive Months 29.17%
Maximum Drawdown -34.30%
*  Risk-Free Rate -0.44% Target Rate -0.44%
Calculations based on monthly time series
Earliest Date: 24.05.2018, Latest date: 02.04.2020

Highlights

LO Funds (CH) - Commodities Risk Parity ex-Agri is a rule-based portfolio. Its long-only commodity strategy has been in place since October 2012. It offers exposure to commodities in the energy and metal sectors. It seeks to deliver stronger risk-adjusted returns over an economic cycle than traditional indices such as the Bloomberg Commodity ex Agri & Livestock Index. The investment approach seeks to replicate, through a Total Return Swap, the LOIM Commodities Risk Parity ex-Agri index. This index equalises the risk contribution of two sectors (energy and metal) and of individual commodities within each of these. The cost of rolling forward future contracts is optimised taking into account the shape of forward curves in commodity markets. Risk management is performed by fund managers at a portfolio level, alongside independent teams who oversee investment, counterparty and operational risks.

Breakdowns

PERFORMANCE CONTRIBUTION (IN %)

Metals 0.00%
Energy 0.00%

FUND WEIGHTS (IN %)

Metals 0.00%
Energy 0.00%

PERF. ATTRIBUTION (IN %) - ALLOCATION EFFECT

Metals 0.00%
Energy 0.00%

PERF. ATTRIBUTION (IN %) - SELECTION EFFECT

Metals 0.00%
Energy 0.00%

Managers

Marc Pellaud, Ph.D. Investment Management (Systematic Strategies & Alternatives)
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Laurent Joué Investment Management (Systematic Strategies & Alternatives)
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Security numbers

Dealing

Subscriptions and redemptions frequency Daily
Subscriptions and redemptions cut-off day T-1
Subscriptions and redemptions cut-off time 15:00 CET
Subscriptions and redemptions settlement date T+2
NAV valuation point T
NAV calculation day T+1
NAV calculation frequency Daily
Minimum Investment One share
Management Fee 0.825%
Distribution Fee 0.00%

Security Numbers

BLOOMBERG LCRPSEM SW
ISIN CH0417085260
TELEKURS 41708526

Prices

Export

Prices over selected period

Last EUR 0.00 02.04.2020
First EUR 0.00 24.05.2018
Highest EUR 0.00 07.06.2018
Lowest EUR 0.00 18.03.2020
* Earliest Date: 24.05.2018, Latest date: 02.04.2020

Documents

Professional investors only

Newsletter IM - Professional
31.03.2020

Annexe

Index Rule Book: LOIM Commodity Index
15.01.2015

Reporting

Performance Review
29.02.2020
Fact Sheet (marketing document)
29.02.2020

Legal Documents

Prospectus
19.03.2020
Semi-Annual Report
31.01.2020
Key Investor Information Document
16.01.2020
Annual Report
31.07.2019