Parametric Commodity Strategy Fund

Risk

Volatility Measurements

Updated 06.30.2014

Standard Deviation 14.3
Mean -0.34
Sharpe Ratio -0.29
Bear Market Decile Rank 10

Modern Portfolio Theory Statistics

Updated 06.30.2014

Standard Index
Morningstar Long-Only Commodity TR
Best Fit Index
R-Squared 85.8
Beta 0.89
Alpha -4.99