CT (Lux) Enhanced Commodities

WSP commentary

Draft commentary, machine-generated from the fund's monthly factsheet dated 31.08.2026; monthly factsheet; key information document (PRIIPs), not yet reviewed by WSP.

Investment rationale

The fund is designed to increase the value of an investment over the long term through commodity exposure implemented with derivatives. It is intended for investors seeking capital appreciation and portfolio diversification through commodities, who have a high risk tolerance, can tolerate potentially high volatility, and can invest for at least 5 years. The PRIIPS summary risk indicator for the ZU USD share class is 4 out of 7, described as a medium risk class, while the fund documentation also states that the fund typically carries high volatility because of its portfolio composition and management techniques. Given its specialist commodity exposure, use of derivatives and active positioning versus a commodity index, it fits a distinct portfolio role as a commodity allocation rather than a broad multi-asset core holding.

Investment strategy

The stated objective is to increase the value of investors’ capital over the long term. The fund invests in commodities such as oil, agricultural products and metals using derivatives, taking long and short positions in diversified commodity indices to create underweights and overweights in individual commodities and sectors and to alter curve positioning; it is not intended that derivatives create any net short positions in commodities. The fund may also use derivatives for hedging or more efficient portfolio management, may create leverage, and may invest in other asset classes and instruments different from those stated above. It is actively managed in reference to the Bloomberg Commodity Index, which is used as a target benchmark for performance measurement and evaluation over time, but the managers can select investments with different weightings from the index and securities not in the index, so the portfolio may diverge significantly. Income is accumulated into the share price, and the recommended holding period stated in the KID is 5 years.

Investment philosophy

• The managers describe commodity markets as individual and distinct markets with characteristics that constantly change and evolve, and state that investing in commodities requires specialist skills and experience that can adapt to these changes.

• The process is actively managed and is not constrained by the static index weighting and rigid rolling rules of passive strategies; the team seeks sustained long-term outperformance through fundamentally driven active management across all commodity markets.

• The strategy aims to exploit market inefficiencies created by different market participants, including speculators, investors, producers and consumers, with opportunities arising in both flat price and along the term structure.

• Stated alpha sources are relative value/pairs trading, capturing curve volatility and uncorrelated alpha, intra-sector relative value and across-sector relative value; the strategy is expected to generate between half and two thirds of alpha from weights and the balance from curve positioning, with no active collateral management.

• As at 31 August 2026 the portfolio held 77 securities and was overweight Energy at 44.1% versus 35.5% in the index and Livestocks at 8.8% versus 4.3%, while underweight Grains at 14.4% versus 22.6% and Base Metals at 9.8% versus 14.1%; the largest named positions included Brent Crude Oil (13.8%), Gold (12.3%), Natural Gas (8.1%), RBOB (8.1%) and Heating Oil (6.1%), with 0.8% in cash.

Management team

The fund managers are Marc Khalamayzer and Matt Ferrelli. Both are shown as managing the fund since August 2022.

The asset manager

The management company is Threadneedle Management Luxembourg S.A. The fund is a sub-fund of Columbia Threadneedle (Lux) I, a Luxembourg-domiciled SICAV, and Columbia Threadneedle Investments is identified as the global brand name of the Columbia and Threadneedle group of companies. The documents also name SS&C Administration Services Luxembourg S.A. in Luxembourg as the contact and administration point for enquiries.

Performance analysis

Source: manager factsheet dated 31 August 2026. Over three months, positive allocation effects were led by energy and some base metals, while selection effects detracted in energy and precious metals; RBOB and Coffee were positive contributors, while Soybean Oil, Gas Oil, Gold and Sugar detracted. Current positioning remains overweight energy and livestocks versus the benchmark and underweight grains and base metals. At individual commodity level, the largest active overweights include RBOB, Feeder Cattle, Brent Crude Oil, Coffee and Heating Oil, while notable underweights include Copper, Crude Oil, Corn, Sugar and Soybean.

Strengths

A distinguishing feature of the fund is its specialist active commodity approach, which combines commodity allocation and curve positioning rather than simply following the Bloomberg Commodity Index’s static weights and rolling rules. The portfolio can use both long and short derivative positions in diversified commodity indices to create active underweights and overweights by commodity and sector, while avoiding intended net short commodity exposure. The managers explicitly target multiple alpha sources including relative value, intra-sector and cross-sector trades, and curve volatility, with expected alpha split between weights and curve positioning. The fund also offers broad commodity exposure across energy, precious metals, grains, base metals, livestocks and softs in a single Luxembourg UCITS structure.

Risks

The KID classifies the ZU USD share class at 4 out of 7 on the summary risk indicator, described as a medium risk class, assuming a 5-year holding period. The documents state that the value of investments can fall as well as rise, and investors could lose some or all of their investment; capital is not guaranteed. Named risks include currency risk from holdings or investor payments in different currencies, counterparty risk on financial transactions, economic and regulatory risk in the markets where the fund invests, liquidity and settlement risk, and valuation risk where assets may be difficult to value objectively. The fund invests materially in derivatives rather than physical securities, so it is exposed to derivatives basis risk, leverage risk and the possibility that a small move in the underlying investment has a much larger impact on the derivative position; the use of short-selling techniques and leverage can lead to losses in excess of the amount initially invested. As a commodities strategy, it is also exposed to factors affecting particular industries and commodities, including weather, embargoes, tariffs, political and economic developments and trading activity in commodity-related contracts, and the report states that the fund typically carries high volatility due to its portfolio composition and portfolio management techniques.