LO Funds - Commodity Risk Premia

Investment 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 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 optimisedwhilstaking into account the shape of
forward curves in commodity markets.

Reference Index

Bloomberg Commodity Index Total Return

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.0 0.9 0.3 0.9 0.1 0.9 0.2 1.0 0.2 0.6 0.4 0.6 1.0
2018 0.7 0.2 0.1 0.7 0.7 0.5 0.1 0.8 0.4 0.7 0.1 0.0 0.9

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