Bache Commodity Index
Bache Commodity Index
®
April 2011 Return
Factsheet
Risk
Apr
YTD
1-Yr
3-Yr
5-Yr
10-Yr
Standard Deviation 3-Yr 5-Yr 10-Yr
Sharpe Ratio 3-Yr 5-Yr
10-Yr
Correlation with BCI*
Bache Commodity Index
4.0%
13.2%
25.8%
3.0%
7.2%
10.8%
16.4%
15.0%
14.6%
0.16
0.35
0.59
1.00
DJ UBS Commodity Index
3.5%
8.1%
30.4%
-5.2%
1.9%
7.1%
23.4%
20.6%
17.6%
-0.24
0.00
0.28
.93
S&P GS Commodity Index
4.4%
16.5%
24.7%
-13.4%
-3.7%
3.9%
31.2%
27.2%
25.0%
-0.44
-0.20
0.07
.95
S&P 500 Index
3.0%
9.1%
17.2%
1.7%
3.0%
2.8%
21.8%
17.9%
15.8%
0.06
0.06
0.05
.27
Barclays US Aggregate Index
1.3%
1.7%
5.4%
5.8%
6.3%
5.7%
4.2%
3.6%
3.8%
1.29
1.19
0.95
-.05
* Correlation over 10-year period.
Cumulative Return
Investment Strategy The Bache Commodity Index (“BCI”) provides institutional investors longonly, broad-based commodity exposure to nineteen commodities across the Energy, Metals and Agriculture Sectors. The Bache Commodity Index utilizes the BCI methodology, which is a proprietary approach developed to combine the benefits of transparency, liquidity and risk reduction while providing additional sources of return beyond the commodity beta offered by traditional commodity indices.
Summary • •
Invests in exchange-traded transparency and liquidity.
futures
contracts,
offering
3 Year
Bache Commodity Index (BCI)
DJ UBS Commodity Index (DJ UBS)
S&P GS Commodity Index (S&P GSCI)
S&P 500 Index (S&P 500)
Barclays US Aggregate Index (Barc US Agg)
both
Sets maximum and minimum allocation targets to preserve broad diversification.
•
Reduces transaction costs through a proprietary transaction minimizing strategy.
•
Provides multiple sources of return and risk control by uniquely combining four return factors: Dynamic Asset Allocation The algorithm-based model increases commodity exposure when prices are rising and reduces exposure when prices are in decline. The model employs clearly defined rules, which control the maximum and minimum levels of exposure by sector and by individual commodity. Daily Roll The daily rolling of commodity exposure from front month to nextout futures contracts seeks to generate roll return and increase the potential for favorable pricing while smoothing price volatility. Beta The beta factor provides broad-based exposure to the diversification benefits and potential profit opportunities of a long/short commodity investment. Cash In declining commodity markets the underlying exposure to commodities is reduced and the cash position is increased.
10 Year
Attribution Analysis
Gasoil
3.10% Silver
Natural Gas -.75% Energy
Rolling 12 Month Return Attribution
-5%
Energy 1.04%
Copper
2.77% .84%
Heating Oil
.63%
Gasoil Energy Energy
5%
2.87%
Silver
2.56%
10%
.42% Beta Factor
22.83%
-.01%
2.87%
Silver 0.68%
2.56%
Daily Roll Factor
Metals
6.69% 0%
0%
10% Allocation Factor
-5%
0%
-5%
3 Year
0%
5%
10%
10 Year
10%
-5%
.25% 3.07% 1.76% .84% 1.78% 2.11% 1.69% 11.48% 0%
5%
10%
15%
Average Weight in Month
Maximum Long Weight
10%
0%
5%
10%
15%
Rolling 12 Month Standard Deviation
15%
15%
BCI
S&P GSCI
DJ UBS
S&P 500
Barc US Agg
BCI
10%
Annualized Return
10%
Aluminum Nickel 15% Gold Silver Lean Hogs Live Cattle Corn Soybeans Wheat Coffee Cotton Sugar
5%
Agriculture
Lean Hogs -.02% Live Cattle .25% Corn 3.07% Soybeans 1.76% 25.80% BCI Total Return Wheat .84% Coffee 1.78% 2.11% 0 % Cotton 8% 16% 24% 32% Sugar 1.69% Agriculture 11.48%
Risk vs Return
5%
.25% 3.07% WTI Crude Oil 1.76% Brent Crude .84% Gasoline 1.78% Heating Oil Gasoil 2.11% 1.69% Natural Gas Copper 11.48%
Collateral
0.12%
5%
Previous Month Commodity Weights
-.02%
Live Cattle Corn Soybeans Wheat Coffee Cotton Sugar Agriculture
Dynamic Asset
5%
6.69% -5%
Rolling 12 Month Style.86% Factor DecompositionLean Hogs Copper
Gold
-.01%
Gold
Metals Metals
7.63%
0%
Lean Hogs -.02% Live Cattle Corn Soybeans Wheat Coffee Cotton Sugar Agriculture Agriculture
.42%
Nickel
Natural Gas -.75%
0%
.86%
Aluminum
3.10%
2.14% -5%
-5%
Energy
Gasoline
Nickel
10%
Agriculture
Metals
Brent Crude
Aluminum
5%
6.69%
Metals
WTI Crude Oil
-5%
0%
2.56%
Metals
7.63%
30%
DJ UBS
Barc US Agg Barc US Agg
5%
S&P 500
BCI
S&P GSCI 20%
S&P 500
0%
-5%
DJ UBS 10%
-10% S&P GSCI 0%
-15% 0%
5%
10%
15%
20%
25%
30%
35%
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
Standard Deviation
Note: All data as of April 29, 2011. Slight differences are due to rounding. All indices are total return.
New York
London
Sales and Marketing
Sales and Marketing
Head of Commodity Asset Management
Laryssa Temnycky [email protected] Tel. 212.778.1091
Simon Smith [email protected] Tel. +44 207.548.5110
Rupert Allan [email protected] Tel. 212.778.1855
Mitzi Noma [email protected] Tel. 212.778.4205
Marc Fisher [email protected] Tel. +44 207.548.5110
www.bache.com
Bache Commodity Index returns prior to February 2007 are based on simulated or hypothetical performance that has certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity and trading expenses. Simulated or hypothetical trading programs in general are also subject to the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to the ones shown above as past performance is not indicative of future results. The comments, opinions and estimates contained in this document are based on, or derived from publicly available information from sources that Bache Commodities Group believes to be reliable. We do not guarantee their accuracy. This information is provided for informational purposes only and sets forth our views as of this date. Bache Commodities Limited is regulated by the Financial Services Authority, and Prudential Bache Asset Management is registered with the US Securities and Exchange Commission and the US Commodity Futures Trading Commission. The source for all charts and graphs is Bache Commodities Group, Bloomberg, LP and DJIndexes.com unless otherwise stated. Bache Commodity Index (BCI) and Bache Commodity Green Index (BCGI) are registered service marks of the Prudential Insurance Company of America, Newark, NJ and its affiliates. The methodology of, and intellectual property rights in, the Bache Commodity Index are proprietary to, and owned by, PFDS Holdings, LLC., and may be covered by one or more pending patent applications. Bache and the Rock symbol are service marks of PFI and its related entities, registered in many jurisdictions worldwide. Prudential Financial, Inc. is not affiliated with Prudential, plc a company headquartered in the United Kingdom. © 2011 Prudential Financial, Inc and its related entities. BCIFSV0411
®
April 2011 Return
Factsheet
Risk
Apr
YTD
1-Yr
3-Yr
5-Yr
10-Yr
Standard Deviation 3-Yr 5-Yr 10-Yr
Sharpe Ratio 3-Yr 5-Yr
10-Yr
Correlation with BCI*
Bache Commodity Index
4.0%
13.2%
25.8%
3.0%
7.2%
10.8%
16.4%
15.0%
14.6%
0.16
0.35
0.59
1.00
DJ UBS Commodity Index
3.5%
8.1%
30.4%
-5.2%
1.9%
7.1%
23.4%
20.6%
17.6%
-0.24
0.00
0.28
.93
S&P GS Commodity Index
4.4%
16.5%
24.7%
-13.4%
-3.7%
3.9%
31.2%
27.2%
25.0%
-0.44
-0.20
0.07
.95
S&P 500 Index
3.0%
9.1%
17.2%
1.7%
3.0%
2.8%
21.8%
17.9%
15.8%
0.06
0.06
0.05
.27
Barclays US Aggregate Index
1.3%
1.7%
5.4%
5.8%
6.3%
5.7%
4.2%
3.6%
3.8%
1.29
1.19
0.95
-.05
* Correlation over 10-year period.
Cumulative Return
Investment Strategy The Bache Commodity Index (“BCI”) provides institutional investors longonly, broad-based commodity exposure to nineteen commodities across the Energy, Metals and Agriculture Sectors. The Bache Commodity Index utilizes the BCI methodology, which is a proprietary approach developed to combine the benefits of transparency, liquidity and risk reduction while providing additional sources of return beyond the commodity beta offered by traditional commodity indices.
Summary • •
Invests in exchange-traded transparency and liquidity.
futures
contracts,
offering
3 Year
Bache Commodity Index (BCI)
DJ UBS Commodity Index (DJ UBS)
S&P GS Commodity Index (S&P GSCI)
S&P 500 Index (S&P 500)
Barclays US Aggregate Index (Barc US Agg)
both
Sets maximum and minimum allocation targets to preserve broad diversification.
•
Reduces transaction costs through a proprietary transaction minimizing strategy.
•
Provides multiple sources of return and risk control by uniquely combining four return factors: Dynamic Asset Allocation The algorithm-based model increases commodity exposure when prices are rising and reduces exposure when prices are in decline. The model employs clearly defined rules, which control the maximum and minimum levels of exposure by sector and by individual commodity. Daily Roll The daily rolling of commodity exposure from front month to nextout futures contracts seeks to generate roll return and increase the potential for favorable pricing while smoothing price volatility. Beta The beta factor provides broad-based exposure to the diversification benefits and potential profit opportunities of a long/short commodity investment. Cash In declining commodity markets the underlying exposure to commodities is reduced and the cash position is increased.
10 Year
Attribution Analysis
Gasoil
3.10% Silver
Natural Gas -.75% Energy
Rolling 12 Month Return Attribution
-5%
Energy 1.04%
Copper
2.77% .84%
Heating Oil
.63%
Gasoil Energy Energy
5%
2.87%
Silver
2.56%
10%
.42% Beta Factor
22.83%
-.01%
2.87%
Silver 0.68%
2.56%
Daily Roll Factor
Metals
6.69% 0%
0%
10% Allocation Factor
-5%
0%
-5%
3 Year
0%
5%
10%
10 Year
10%
-5%
.25% 3.07% 1.76% .84% 1.78% 2.11% 1.69% 11.48% 0%
5%
10%
15%
Average Weight in Month
Maximum Long Weight
10%
0%
5%
10%
15%
Rolling 12 Month Standard Deviation
15%
15%
BCI
S&P GSCI
DJ UBS
S&P 500
Barc US Agg
BCI
10%
Annualized Return
10%
Aluminum Nickel 15% Gold Silver Lean Hogs Live Cattle Corn Soybeans Wheat Coffee Cotton Sugar
5%
Agriculture
Lean Hogs -.02% Live Cattle .25% Corn 3.07% Soybeans 1.76% 25.80% BCI Total Return Wheat .84% Coffee 1.78% 2.11% 0 % Cotton 8% 16% 24% 32% Sugar 1.69% Agriculture 11.48%
Risk vs Return
5%
.25% 3.07% WTI Crude Oil 1.76% Brent Crude .84% Gasoline 1.78% Heating Oil Gasoil 2.11% 1.69% Natural Gas Copper 11.48%
Collateral
0.12%
5%
Previous Month Commodity Weights
-.02%
Live Cattle Corn Soybeans Wheat Coffee Cotton Sugar Agriculture
Dynamic Asset
5%
6.69% -5%
Rolling 12 Month Style.86% Factor DecompositionLean Hogs Copper
Gold
-.01%
Gold
Metals Metals
7.63%
0%
Lean Hogs -.02% Live Cattle Corn Soybeans Wheat Coffee Cotton Sugar Agriculture Agriculture
.42%
Nickel
Natural Gas -.75%
0%
.86%
Aluminum
3.10%
2.14% -5%
-5%
Energy
Gasoline
Nickel
10%
Agriculture
Metals
Brent Crude
Aluminum
5%
6.69%
Metals
WTI Crude Oil
-5%
0%
2.56%
Metals
7.63%
30%
DJ UBS
Barc US Agg Barc US Agg
5%
S&P 500
BCI
S&P GSCI 20%
S&P 500
0%
-5%
DJ UBS 10%
-10% S&P GSCI 0%
-15% 0%
5%
10%
15%
20%
25%
30%
35%
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
Standard Deviation
Note: All data as of April 29, 2011. Slight differences are due to rounding. All indices are total return.
New York
London
Sales and Marketing
Sales and Marketing
Head of Commodity Asset Management
Laryssa Temnycky [email protected] Tel. 212.778.1091
Simon Smith [email protected] Tel. +44 207.548.5110
Rupert Allan [email protected] Tel. 212.778.1855
Mitzi Noma [email protected] Tel. 212.778.4205
Marc Fisher [email protected] Tel. +44 207.548.5110
www.bache.com
Bache Commodity Index returns prior to February 2007 are based on simulated or hypothetical performance that has certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity and trading expenses. Simulated or hypothetical trading programs in general are also subject to the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to the ones shown above as past performance is not indicative of future results. The comments, opinions and estimates contained in this document are based on, or derived from publicly available information from sources that Bache Commodities Group believes to be reliable. We do not guarantee their accuracy. This information is provided for informational purposes only and sets forth our views as of this date. Bache Commodities Limited is regulated by the Financial Services Authority, and Prudential Bache Asset Management is registered with the US Securities and Exchange Commission and the US Commodity Futures Trading Commission. The source for all charts and graphs is Bache Commodities Group, Bloomberg, LP and DJIndexes.com unless otherwise stated. Bache Commodity Index (BCI) and Bache Commodity Green Index (BCGI) are registered service marks of the Prudential Insurance Company of America, Newark, NJ and its affiliates. The methodology of, and intellectual property rights in, the Bache Commodity Index are proprietary to, and owned by, PFDS Holdings, LLC., and may be covered by one or more pending patent applications. Bache and the Rock symbol are service marks of PFI and its related entities, registered in many jurisdictions worldwide. Prudential Financial, Inc. is not affiliated with Prudential, plc a company headquartered in the United Kingdom. © 2011 Prudential Financial, Inc and its related entities. BCIFSV0411
