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Bloomberg Commodity Index (BCOM) Tables & Charts – September 2016 Edition
Commodities the Top Asset Class in September
- Led by Base Metals, Commodities Beat Most Assets in September
- The potential end of “pump at will” leads energy to be most significant major sector gainer
- A copper rebound follows nickel and zinc boosting industrial metals
- Sugar sweetens the Ags as grains buck harvest pressure to recover from 10-year lows
- Metals reflect a potential inflection point in downtrend
Mike McGlone – BI Senior Analyst; Commodities
Led by Base Metals, Commodities Beat Most Assets in Sept. Performance: September +3.1%, 3Q -3.9%,YTD +8.8% (returns are total return (TR) unless noted)
Industrial metals and soft commodities, notably sugar, led September's broader rally. On the month, the Bloomberg Commodity Index gain of 3.1% lessened the 3Q decline to 3.9%. Up 8.9% in 2016, BCOM's total return is over 100 bps above the S&P 500's. The spot BCOM, up 16.5%, is on pace for the best annual increase since 2010. Looking back, the one-year roll yield remained high near minus 11%, but is on the road to recovery.
Energy commodities top the leaderboard of commodity futures curves shifting away from contango, a good indication that high negative roll yields should be declining. For comparison, the BCOM roll yield was minus 22% in the aftermath of the financial crisis at the end of 2009.
Soft Commodities Steal the Show
MACRO OUTLOOK
Commodities Move Step Ahead of Major Asset Classes in September. Range-bound bond yields and the flat U.S. dollar had little sway over commodities in 3Q, but 4Q could fuel macro recovery. Bonds remain the best performer among the major asset classes, based on a 17% gain in 2016 in the Bloomberg Barclays US Treasury
20+ Year Index. The 1.36% U.S. 10-year yield on July 8 was the lowest in history, but well above negative yields in Europe and Japan. Historic levels of negative interest rates should lay a good foundation for hard assets, as would some inflation.
Asset Class Performance: Commodities Prevail
The 2016 trend of rallying commodities and declining bond yields appears unsustainable. Inflation is traditionally a notable support for commodities, which may have reached an inflection point in 2016 on the back of multiyear declines.
CURVES & FLOWS
High Negative Commodity Roll Yields on Path to Recovery. Futures curves are shifting back from the steep contangos of 2015 and early 2016, notably in energy. It is a good indication that expensive roll yields should diminish. The energy sector roll yield of minus 26% has been a primary drag on broad index returns; two years ago it was positive 2%. Brent crude's roll yield near minus 18% is on the back of a one-year futures curve that averaged over 13% in contango over that period. At the end of Sept., the one-year brent curve declined to near 9% contango.
The featured chart (next page) depicts the lagging measure of roll yields and forward-looking indication from the one-year futures curve. Brent spent most of 2012-14 in backwardation (when futures prices further out are lower), which resulted in a positive roll yield. The recent
Market Commentary 1 Energy 2 Metals 3 Ags & Livestock 5 Performance 8Attribution & Weights 11Volatility 13Correlation 17Commitment of Traders 20Inventories & Sales 23Term Structures 27Research Dashboards 29Cheat Sheet 30
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Bloomberg Commodity Index (BCOM) Tables & Charts – September 2016 Edition
trend is toward backwardation.
Brent Crude Roll Yield and One-Year Futures Curve
ATTRIBUTION
Energy Surpasses Precious Metals as Largest Return Catalyst. The energy sector surpassed precious metals in September as the largest contributor to the Bloomberg Commodity Index, accounting for two-fifths of its 8.9% return in 2016. Brent crude (140 bps) was the largest energy contributor. Precious metals accounted for 280 bps, led by gold (150 bps), the single-most significant commodity contributor. Agriculture was good for just over 200 bps, led by soft commodities (160 bps), namely sugar (100 bps).
BCOM 2016 Performance Through September
Note, PORT data for the BCOM is a rough approximation
Base metals' 150-bp contribution accounted for the remainder of positive index returns in 2016. Livestock was the only detractor, subtracting a percentage point from BCOM total returns after a 22% 2016 decline in the Bloomberg Livestock Subindex.
Energy (Index weight: 29.3% of BCOM.
Performance: September +4.2%, 3Q -3.7%, YTD +5.1%) *Note index weights are the YTD average
Energy Leads Major Sector Gainers in September
PERFORMANCE DRIVERS
Energy Best Major Sector in September as Roll Yields
Show Improvement. Flattening energy futures curves
are showing a shift in the rapidly increasing supply trend. An indication from OPEC that the "pump at will" trend has ended appeared to fit the bill, boosting the Bloomberg Energy subindex to tie the Ags as the month's best-performing major sector with a gain of 4.2%. In 3Q, the energy sector declined 3.7%, reducing the year-to-date gain to 5.1%, but the spot index ended 3Q with an increase of almost 27%. Negative roll yields have been quite expensive, but are improving.
At the end of 3Q, energy commodity futures curves led the trend away from contango as crude oil remained locked within the $40-$50 a barrel range. Unleaded gas was the top performer. Looking ahead, the U.S. dollar may be an energy price driver when it finally breaks out of its range.
Unleaded Gas Leads Energy Gains, September & 3Q
Unleaded Gas Leads Energy Recovery, Range-Bound Until It Isn't. U.S. East Coast supply disruptions sparked unleaded gasoline to be the best performing energy commodity in September with a gain of 10.7%, as measured by the Bloomberg Unleaded Gas subindex. In 3Q, unleaded was the only gainer, with a 3.9% increase, as crude oil remained locked within the $40-$50 a barrel range. For astute traders focused on that range, energy markets appear to have been lucrative in 3Q, notably for those biased to shorting. The Bloomberg Energy subindex declined 3.7% in 3Q.
On a spot change basis, the energy index fell less than 1%. Annualized, the gross energy sector roll yield in 3Q
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Bloomberg Commodity Index (BCOM) Tables & Charts – September 2016 Edition
was close to minus 14%, better than the one-year measure of minus 26%. Long consolidation periods often lead to extended breakouts as some range traders eventually get caught wrong-footed.
ENERGY - CURVES & FLOWS
Contango This: Energy Commodities Lead the Charge Back. Indicating rebalancing in a well-supplied market, energy commodities top the leader board of markets shifting away from contango in 2016. Brent crude ended 3Q near 9% in contango on a one-year curve measure, compared with 22% at the end of 2015. Heating season is here, with heating oil prices about the same as a year ago, near $1.50 a gallon, yet the one-year future curve has shifted to a 6% contango compared with 10% at the end of 3Q15. Contango occurs when further-out prices are higher.
Energy Commodities Lead Drive Away From Contango
Measured on a percentage basis of the spread between the first futures contract minus the one-year out, divided by the first.
The shifting of futures curves from contango is an indication of tightening supply-demand conditions. The Bloomberg Heating Oil subindex neared the end of 3Q with a one-year decline near 16%, indicating a gross roll yield near minus 16% -- high but improving, as evidenced by flattening futures curves.
ENERGY – OUTLOOK When the U.S. dollar breaks out of its consolidation range, it could fuel crude to move the other way. Plunging crude oil prices in 2014-15 coincided with the dollar's rally on the back of Fed tightening expectations. Optimistic projections of a normal tightening cycle have met new-world reality in 2016: the 4% decline this year in the Bloomberg Dollar Spot index has coincided with a 30% increase in spot crude oil. The monthly crude oil to dollar beta in 2016 has been close to minus 2.
Strong Inverse Relationship - Dollar and Crude
Supply-demand forces are primary drivers of oil prices, but in the post-crisis world, crude's correlation to changes in the value of the dollar has increased. In the 10 years prior to 2008, the crude- dollar correlation was minus 0.1. Since 2008, it's almost minus 0.6 (monthly vs. U.S. dollar index).
Metals
Industrial (Index weight: 14.7% of BCOM.
Performance: September +5.2%, 3Q +4.1, YTD +13.0%)
Precious (Index weight: 14.7% of BCOM.
Performance: September +1.1%, 3Q +0.2,YTD +27.4%)
Copper Rebound Boosts Industrial Metals in September
PERFORMANCE DRIVERS
Precious Metals Pass Baton to Industrials in September, 3Q. There are indications of green shoots in the global economy. Precious metals are up slightly in September and 3Q, yet the month's star has been the Bloomberg Industrial Metals Subindex, which sprinted 5.2% higher and hit the plus column for 3Q. For the year, this index is up 13% vs. 27.4% in the Bloomberg Precious Metals Subindex. Nickel and zinc shined in September and 3Q, but the recovery in 2016's laggard -- copper -- appears potentially more significant.
Metals were little influenced by the consolidating U.S. dollar in 3Q and September. Strong vehicle sales in China and signs of increasing housing demand supported
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Bloomberg Commodity Index (BCOM) Tables & Charts – September 2016 Edition
industrial metals. Precious metals ended 3Q with record ETF inflows as open interest set new highs, then tapered.
The Hardest of Liquid Alternative Assets Show Solid Returns. Nickel and zinc were the best-performing metals in 3Q, each up over 11% as measured by the Bloomberg Nickel and Zinc Subindexes. Increasing prices were due mostly to supply disruptions, mine closures and Chinese demand. Yet, the most significant story may be reversion from the past few years of sharp declines. On a two-year basis, zinc is the only all industrial metal that did not track lower in 3Q. Nickel's was sharpest, at minus 37% and aluminum at minus 22%. Copper has been a key laggard, down about 28%.
September Bolstered 2016 Metals Gain
The Bloomberg Copper Subindex rose 6.4% in September, its best month since February 2015, but is off 7% on a one-year basis. Sustained recovery in the industrial metals sector is unlikely without copper, the most widely traded and highest weight among industrial metals in the BCOM, averaging 6.2% in 2016.
METALS - CURVES & FLOWS
Record Interest in Precious Metals: ETF Flows and Open Interest. Precious metals ETF inflows were near $6.8 billion in 3Q. It was the third successive quarter of net inflows, totaling almost $31 billion -- the greatest three-quarter sum in history. The prior record was $19.4 billion in the first three quarters of 2009. Gold heads the 2016 commodity futures leaderboard in percentage open interest (OI) changes, up near 40%. Gold and silver futures OI extended new records in 3Q, but pulled back as the markets consolidated.
Precious Metals ETF Inflows Reach New Record
Gold and silver futures curves have shifted steeper into contango despite a lower expectation of tightening in 2016. This anomaly is rare, absent higher base interest rates. The gross roll yield for the Bloomberg Industrial Metals Subindex ended September near minus 2.3%, about half the cost of storage.
METALS - OUTLOOK
Metals Reflect Potential Inflection Point in Downtrend. The precious and industrial metals downtrend appears to have shifted on a dime, coinciding with the Fed tightening and 2015 year end. Under pressure in the run-up to tightening, the aftermath of the "buy the rumor, sell the fact" in the value of the U.S. dollar has benefited metals, notably precious. Sustainability will be the key. Resuming the downtrend would probably take more of the same from the past few years and the Fed focusing on tightening in a global deflationary environment.
Apparent Shift in Bear Metal Trends
Historic levels of negative interest rates should be a good foundation for hard assets like metals, as would some inflation, traditionally a notable support for precious metals. Metals may have reached a potential inflection point in 2016 on the back of multiyear declines.
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Bloomberg Commodity Index (BCOM) Tables & Charts – September 2016 Edition
Zinc, Sugar and Silver via for YTD gold in September
CRR <GO>
Agriculture (Index weight: 26.8% of BCOM.
Performance: September +4.2%, 3Q -8.1%, YTD +4.3)
Grains (Index Weight: 19.9% of BCOM. Performance:
September +4.0%, 3Q -13.6%, YTD -7.2%)
Softs (Weight: 6.9% of BCOM. Performance:
September +7.7%, 3Q +6.9%, YTD +27.5%)
Agriculture Bucks Harvest Pressure Trend in September
PERFORMANCE DRIVERS
Corn and Wheat Rebound From Decade Lows as Sugar Takes the Gold. Agriculture may have finally reached bottom as wheat and corn recovered from 10-year lows in September. Record production trends in the grains are becoming extended and offset by surging demand, notably on the back of multiyear price declines. Despite the beginning of harvest, corn rebounded from the end-of-August 10-year low at $3 a bushel. The Bloomberg Agriculture Subindex tied energy as the major sector performer in September, with a gain of 4.2% which lessened the 3Q decline to 8.1%.
Supported by the first gain in the Bloomberg Grain Subindex since May, ags were led by the softs in September, notably by spiking sugar prices. The September 7.7% increase in the Bloomberg Softs Subindex pushed it to a 27.5% gain in 2016, slightly overtaking precious metals as the best segment performer this year.
Sugar Leads September Ag Gains
Sugar Sweetens the Bloomberg Softs Subindex to Lead 2016 Gainers. Recovery from steep declines of the past few years is a key driver of the sugar recovery in 2016. Still on a tear in September, the Bloomberg Sugar Subindex jumped 11.3% on the month, for a 44.7% gain year-to-date. Sugar ended the month as the best performing commodity in the Bloomberg Commodity Index on a month-to-date, one-year and two-year basis. The Bloomberg Zinc Subindex sprinted past sugar on the last session of Sept. to take the YTD prize with a 46.3% gain. Adverse weather in Brazil, the world’s largest sugar producer, sparked a rapid 50% retracement of the 2011-15 sugar high-to-low range of 35.3-10.4 cents a pound.
September boosted the softs to be sweeter than precious metals in 2016. At the end of Sept., the Bloomberg Softs Subindex inched past the Bloomberg Precious Metals Subindex with a 2016 gain of 27.5%. The Bloomberg Coffee and Cotton Subindices ended Sept. with 2016 gains of 11.4% and 7.3%.
Grain Prices Rebound From Decade Lows -- 'Not as Good as 2014. In a rare performance, corn futures rallied in September. Open fields for the beginning of harvest (not too wet), and an escalating trade war with China failed to pressure the Bloomberg Corn Subindex, up 6.8% on the month. "Not as good as 2014" has been cited by producers regarding corn yields, but bean production is strong. Preliminary soybean yields support the USDA's record 50.6 bushels-an-acre 2016 estimate. The Bloomberg Soybean Subindex was up 1.2% for the month.
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Bloomberg Commodity Index (BCOM) Tables & Charts – September 2016 Edition
Monthly Heat Map of BCOM Grain Index Returns
China's imposition of an import duty on U.S. Dried Distillers' Grains, a byproduct of ethanol production and protein source for animal feed, is a pressure factor on the price of grains, of which the U.S. is the world's largest exporter. Soybean meal was the only September decliner, losing 2.3%.
AGS - CURVES & FLOWS
Big Open Interest Jump in Cotton, Long Liquidation in Soybeans. Despite subdued range-bound trading, cotton futures open interest leaped to the highest level since 2008 in September. The last time cotton open interest had a similar increase was during the sharp rally in 2010. Elevated net long positions indicate a play for higher cotton prices. On the open interest decliner board, soybeans were the leading loser. Long liquidation is the indication in beans, as open interest plunged 17% in 3Q to the lowest level since January 2015 on the back of declining prices.
Cotton Open Interest Leaps to 8-Year High
Soybeans coincidentally declined about 19% in 3Q. The last time soybean open interest declined a greater percent in a single quarter coincidental with declining prices was 4Q12, when soybean open interest and prices fell 25% and 11% in that drought year.
AGS – OUTLOOK
If Soybeans Hold Line at Nine, the Agriculture Bottom May Be In. Continued recovery in soybeans should provide some pull-along support for corn and wheat prices near decade lows. Soybeans have been the only positive performer among the grains in 2016 since they popped above $9 a bushel in March on weaker-than-expected South American production and spiking demand. If beans drop back below $9, it could drag the entire segment lower. Soybean prices have consolidated recently near $9.5, the 50-week moving average and approximate cost of production.
Soybeans Teeter Above $9, near Production Cost
Soybeans are the most widely traded agriculture commodity and thus have the highest weight among agriculture in the Bloomberg Commodity Index. Sugar is the top-performing commodity, but may be getting a bit extended, as it's retraced 50% of the 2011-15 plunge and net long positions are at new records.
BCOM Broad Indices Total Returns
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Bloomberg Commodity Index (BCOM) Tables & Charts – September 2016 Edition
BCOM Individual Commodities Open Interest - Sorted by YTD change
Annualized Roll Yields - BCOM Sectors and Individual Commodities
Measured on a gross roll yield basis; the 251 business day difference
between the total return and spot change.
BCOM Broad Indices Total Returns
Open Interest quarterly changes
Contangop (-), Backwardation (+)
Measured via the one-year futures spread as a percent of the first contract price. Negative means the one-year out future is higher (contango). Positive means the one-year out future is lower (backwardation.
ETF AUM and Flows
7
Composite Indices * Click hyperlinks to open in Bloomberg
2016Sep Aug Q3 Q2 YTD 1-Year 3-Year 5-Year 10-Year 20-Year
Bloomberg Commodity ER BCOM 3.10% -1.79% -3.94% 12.71% 8.63% -2.82% -32.86% -39.13% -46.65% -27.14%Bloomberg Commodity TR BCOMTR 3.13% -1.76% -3.86% 12.78% 8.87% -2.58% -32.64% -38.85% -42.15% 13.68%
Bloomberg Commodity Spot BCOMSP 3.27% -0.41% -2.48% 15.49% 16.65% 8.30% -20.88% -23.31% 20.23% 171.37%Bloomberg Roll Select BCOMRST 3.22% -1.62% -2.70% 12.56% 11.32% 0.86% -28.23% -33.79% -17.10% 164.03%
1 Month Forward BCOMF1T 3.12% -1.70% -3.72% 12.88% 9.87% -0.60% -29.89% -34.66% -28.79% 112.68% 2 Month Forward BCOMF2T 3.19% -1.89% -3.39% 12.56% 10.14% -0.29% -29.67% -36.30% -27.61% 147.72% 3 Month Forward BCOMF3T 3.18% -1.83% -3.26% 12.29% 10.26% 0.67% -28.51% -34.21% -19.43% 165.52% 4 Month Forward BCOMF4T 3.31% -1.64% -2.57% 12.34% 11.33% 2.36% -26.00% -31.56% -11.24% 5 Month Forward BCOMF5T 3.18% -1.60% -2.52% 12.15% 11.29% 2.55% -26.40% -31.60% -9.30% 6 Month Forward BCOMF6T 3.35% -1.65% -2.08% 11.87% 11.70% 3.10% -25.45% -30.95% -5.56%
Energy BCOMENTR 4.17% 3.56% -3.66% 20.35% 5.15% -18.72% -59.30% -62.03% -84.87% -58.47%Petroleum BCOMPETR 6.97% 6.32% -2.04% 17.01% 8.10% -16.90% -62.54% -53.95% -67.72% 21.07%Agriculture BCOMAGTR 4.25% -4.78% -8.10% 12.67% 4.28% 2.02% -23.99% -27.82% 9.28% -29.99%
Grains BCOMGRTR 4.00% -7.74% -13.58% 7.25% -7.20% -14.36% -35.91% -30.84% -3.53% -50.75%Industrial Metals BCOMINTR 5.21% -4.11% 4.09% 6.11% 12.98% 3.66% -22.85% -32.09% -47.61% 98.98%Precious Metals BCOMPRTR 1.13% -4.95% 0.24% 10.24% 27.40% 21.00% -5.11% -25.98% 93.73% 259.82%
Softs BCOMSOTR 7.67% 0.01% 6.86% 20.46% 27.47% 41.71% -4.02% -37.29% -2.35% -21.25%Livestock BCOMLITR -13.24% -0.09% -21.33% -1.86% -21.90% -24.60% -30.50% -36.73% -62.20% -66.98%Ex-Energy BCOMXETR 2.58% -4.36% -4.05% 9.31% 9.65% 4.87% -19.19% -28.17% -3.00% 30.67%
Ex-Petroleum BCOMXPET 1.84% -4.21% -4.49% 11.44% 8.08% 1.04% -23.56% -36.82% -38.26%Ex-Natural Gas BCOMXNGT 3.80% -1.62% -3.47% 11.31% 10.15% -0.15% -30.49% -32.65% -18.78%Ex-Agriculture BCOMXAGT 2.70% -0.54% -2.08% 12.81% 10.61% -5.00% -36.92% -44.00% -58.33%
Ex-Grains BCOMXGRT 2.99% -0.69% -2.02% 13.89% 12.04% -0.42% -32.45% -41.48% -51.11%Ex-Industrial Metals BCOMXIMT 2.72% -1.29% -5.34% 14.14% 8.04% -3.76% -34.61% -40.20% -43.42%Ex-Precious Metals BCOMXPMT 3.53% -1.10% -4.65% 13.28% 5.43% -6.80% -37.39% -41.74% -52.28%
Ex-Softs BCOMXSOT 2.72% -1.92% -4.76% 12.19% 7.44% -5.68% -34.83% -39.32% -45.53%Ex-Livestock BCOMXLIT 3.84% -1.84% -3.07% 13.64% 10.57% -1.45% -33.08% -39.22% -40.94%
Ex-Agriculture & Livestock BCOMXALT 3.67% -0.57% -0.82% 14.06% 13.20% -3.67% -37.99% -45.04% -58.87%S&P 500 Total Return SPXT 0.02% 0.14% 3.85% 2.46% 7.84% 15.43% 37.36% 113.44% 101.14% 358.42%
Bloomberg US Treasury Bond BUSY -0.13% -0.54% -0.28% 2.11% 5.06% 4.05% 11.40% 11.84%Bloomberg USD IG Corporate Bond BUSC -0.25% 0.21% 1.43% 3.54% 9.15% 8.54% 17.69% 28.44%Bloomberg USD HY Corporate Bond BUHY 0.65% 2.14% 5.50% 5.69% 15.61% 13.87% 16.99% 45.44%
Bloomberg Dollar Spot BBDXY -0.43% 0.60% -0.23% 0.27% -4.04% -2.56% 16.89% 19.94% 13.14%
Single Commodity Indices
2016Sep Aug Q3 Q2 YTD 1-Year 3-Year 5-Year 10-Year 20-Year
Natural Gas BCOMNGTR -3.21% -3.53% -7.94% 30.96% -5.66% -26.42% -56.43% -79.49% -97.99% -99.03%WTI Crude BCOMCLTR 6.50% 5.19% -4.89% 18.72% -0.08% -23.46% -68.68% -62.08% -79.61% -21.50%
Brent Crude BCOMCOT 6.17% 6.65% -2.15% 19.59% 16.58% -14.27% -65.34% -58.48% -55.96% 180.99%ULS Diesel BCOMHOTR 6.49% 7.02% -1.18% 23.18% 22.46% -15.61% -55.81% -52.60% -53.02% 33.79%
Unleaded Gasoline BCOMRBTR 10.65% 7.27% 3.92% 3.08% -5.47% -13.66% -50.97% -36.24% -24.33% 220.90%Corn BCOMCNTR 6.76% -8.54% -10.61% 2.26% -11.57% -20.01% -42.32% -44.77% -29.87% -83.86%
Soybeans BCOMSYTR 1.19% -5.96% -17.21% 27.77% 11.02% 6.67% -8.57% 23.55% 166.32% 234.96%Wheat BCOMWHTR 3.57% -9.28% -13.98% -9.22% -22.00% -28.93% -51.78% -54.74% -72.09% -93.30%
Soybean Oil BCOMBOTR 1.76% 6.58% 4.35% -8.94% 5.02% 16.18% -27.95% -44.52% -15.50% -33.43%Soybean Meal BCOMSMT -2.29% -11.77% -25.23% 50.33% 13.64% -2.67% 10.68% 84.98% 399.82% 963.10%HRW Wheat BCOMKWT 4.56% -8.65% -7.35% -16.21% -22.70% -30.05% -57.13% -61.21% -64.35% -77.12%
Copper BCOMHGTR 6.43% -6.95% 0.23% 0.03% 2.44% -6.96% -34.75% -33.55% -41.16% 228.69%Alumnium BCOMALTR 3.63% -2.27% 0.63% 8.13% 8.66% 2.74% -22.78% -42.58% -62.67% -24.70%
Zinc BCOMZSTR 2.73% 2.96% 12.64% 15.55% 46.30% 37.86% 15.73% 8.63% -45.01% 67.85%Nickel BCOMNITR 8.19% -8.31% 11.55% 10.81% 18.51% 0.11% -27.71% -44.41% -64.29% 157.46%Gold BCOMGCTR 0.46% -3.37% -0.74% 6.75% 23.43% 17.29% -2.14% -21.10% 102.67% 229.20%Silver BCOMSITR 2.74% -8.58% 2.65% 19.86% 37.73% 30.60% -14.87% -39.85% 49.15% 262.45%Sugar BCOMSBTR 11.27% 5.33% 9.85% 29.93% 44.66% 71.22% -13.80% -38.86% -2.34% 26.20%Coffee BCOMKCTR 3.09% -1.93% 1.50% 10.97% 11.39% 13.01% -0.54% -58.33% -42.21% -63.58%Cotton BCOMCTTR 3.84% -11.40% 6.18% 10.37% 7.35% 12.14% -16.73% -23.75% 1.95% -77.19%
Live Cattle BCOMLCTR -6.91% -4.58% -13.30% -4.67% -19.36% -17.03% -15.02% -25.00% -42.49% -24.55%Lean Hogs BCOMLHTR -22.14% 6.46% -31.65% 1.40% -25.58% -35.80% -50.45% -53.01% -81.87% -92.41%
Index Name Ticker
Index Name Ticker
PERFORMANCE: Bloomberg Commodity Indices
8
Composite Roll Select Indices * Click hyperlinks to open in Bloomberg
2016Sep Aug Q3 Q2 YTD 1-Year 3-Year 5-Year 10-Year 20-Year
BCOM Roll Select BCOMRST 3.22% -1.62% -2.70% 12.56% 11.32% 0.86% -28.23% -33.79% -17.10% 164.03%Roll Select Agriculture BCOMRAGT 4.23% -4.27% -6.81% 11.94% 5.23% 2.59% -23.21% -26.91% 42.50% 27.89%
Roll Select Ex-Ags & Livestock BBURXALT 3.80% -0.68% 0.25% 13.84% 16.52% 1.33% -32.45% -38.52% -40.76%Roll Select Grains BCOMRGRT 4.14% -7.22% -11.90% 6.85% -5.94% -13.35% -36.45% -31.70% 28.68% -6.80%Roll Select Softs BCOMRSOT 7.26% 0.63% 8.01% 20.47% 30.37% 43.86% 1.71% -32.40% 29.30% 44.91%
Roll Select Livestock BCOMRLIT -13.26% 1.20% -20.94% -0.96% -22.34% -25.23% -24.26% -32.28% -28.15% 32.33%Roll Select Energy BCOMRENT 4.35% 3.07% -1.55% 19.75% 12.96% -8.43% -50.47% -51.83% -69.98% 117.72%
Roll Select Ex-Energy BCOMRXET 2.59% -4.05% -3.35% 9.15% 10.10% 5.19% -17.96% -26.91% 24.09% 130.11%Roll Select Petroleum BCOMRPET 6.68% 5.42% -0.62% 18.33% 14.87% -6.36% -55.03% -43.52% -39.92% 352.15%
Roll Select Industrial Metals BCOMRINT 5.21% -3.96% 4.36% 5.96% 12.84% 3.63% -22.16% -30.57% -36.03% 203.23%Roll Select Precious Metals BCOMRPRT 1.19% -5.04% 0.29% 10.55% 27.80% 21.38% -4.68% -25.45% 94.91% 271.65%
Single Commodity Roll Select Indices
2016Sep Aug Q3 Q2 YTD 1-Year 3-Year 5-Year 10-Year 20-Year
Natural Gas RS BCOMRNGT -1.50% -2.35% -4.02% 23.22% 5.02% -16.57% -44.05% -69.34% -94.43% -81.70%WTI Crude RS BCOMRCLT 5.93% 4.53% -2.31% 19.08% 13.46% -3.97% -57.53% -45.92% -45.72% 350.81%
Brent Crude RS BCOMRCOT 6.56% 5.18% -0.85% 17.65% 13.37% -11.28% -58.62% -51.00% -38.81% 406.03%ULS Diesel RS BCOMRHOT 5.26% 5.63% -1.29% 22.75% 20.79% -12.41% -53.53% -49.94% -44.46% 206.54%
Unleaded Gasoline RS BCOMRRBT 10.65% 8.06% 5.15% 13.15% 15.59% 3.18% -42.76% -26.22% -10.25% 558.90%Corn RS BCOMRCNT 6.53% -7.92% -9.42% 3.48% -9.84% -19.15% -42.86% -48.05% -10.31% -69.80%
Soybeans RS BCOMRSYT 2.02% -4.38% -14.50% 24.79% 12.27% 7.90% -8.26% 28.24% 199.04% 306.36%Wheat RS BCOMRWHT 3.25% -10.84% -13.20% -9.32% -21.69% -27.81% -52.47% -56.02% -46.53% -68.93%
Soybean Oil RS BCOMRBOT 1.86% 6.38% 4.26% -8.40% 5.50% 16.65% -25.54% -41.24% 0.15% 6.95%Soybean Meal RS BCOMRSMT -1.71% -11.05% -24.24% 43.67% 10.16% -5.68% 6.22% 91.85% 462.56% 1079.77%HRW Wheat RS BCOMRKWT 4.38% -8.58% -6.92% -15.30% -21.39% -28.64% -55.80% -59.50% -43.16% -43.81%
Copper RS BCOMRHGT 6.33% -6.81% 0.28% 0.09% 2.14% -7.40% -35.23% -34.11% -31.03% 391.37%Alumnium RS BCOMRALT 3.71% -2.05% 1.46% 7.49% 8.91% 3.10% -19.99% -38.48% -51.91% 15.14%
Zinc RS BCOMRZST 2.98% 3.06% 12.87% 15.54% 45.64% 37.98% 15.30% 10.13% -32.74% 156.22%Nickel RS BCOMRNIT 8.03% -8.19% 11.41% 10.81% 18.61% 0.86% -26.41% -42.89% -52.35% 326.86%Gold RS BCOMRGCT 0.56% -3.51% -0.68% 7.13% 24.00% 17.83% -1.74% -20.67% 102.70% 232.72%Silver RS BCOMRSIT 2.72% -8.56% 2.67% 19.94% 37.68% 30.60% -14.24% -38.99% 53.30% 300.67%Sugar RS BCOMRSBT 10.61% 6.20% 11.80% 29.64% 50.87% 75.92% -2.81% -29.42% 44.06% 171.79%Coffee RS BCOMRKCT 3.07% -2.00% 1.56% 11.07% 11.58% 13.43% 1.43% -56.48% -32.24% -36.24%Cotton RS BCOMRCTT 4.08% -10.66% 7.37% 11.08% 8.63% 14.37% -14.31% -20.98% 29.47% -62.23%
Live Cattle RS BCOMRLCT -7.02% -2.46% -12.73% -4.67% -19.21% -17.39% -16.88% -26.77% -15.93% 51.19%Lean Hogs RS BCOMRLHT -22.14% 6.46% -31.72% 4.10% -27.66% -37.55% -37.08% -42.42% -49.47% -20.86%
PERFORMANCE: Bloomberg Commodity Roll Select Indices
Index Name Ticker
Index Name Ticker
9
PERFORMANCE: Historical Return * Click hyperlinks to open in Bloomberg
Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices
Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices
Bloomberg Commodity Composite Indices
Commodities vs. Equities vs. Bonds vs. USD
Bloomberg Commodity Energy Subindices
Bloomberg Commodity Forward Indices
Bloomberg Commodity Group Subindices
Bloomberg Commodity Grains Subindices
-100%0%
100%200%300%400%500%600%700%800%900%
91 93 95 97 99 01 03 05 07 09 11 13 15
BloombergCommodity Index ER
BloombergCommodity Index TR
BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select
-50%0%
50%100%150%200%250%300%350%400%450%
00 02 04 06 08 10 12 14
BloombergCommodity Index TR
BloombergCommodity Index 1Month ForwardBloombergCommodity Index 3Month ForwardBloombergCommodity Index 6Month Forward
-60%-40%-20%
0%20%40%60%80%
100%120%
10 11 12 13 14 15 16
BloombergCommodity Index TR
S&P 500 Total ReturnIndex
Bloomberg USTreasury Bond Index
Bloomberg USCorporate BondIndexBloomberg USD HYCorporate BondIndex
-200%
0%
200%
400%
600%
800%
1000%
91 93 95 97 99 01 03 05 07 09 11 13 15
Energy
Grains
Industrial Metals
Precious Metals
Softs
Livestock
-500%
0%
500%
1000%
1500%
2000%
2500%
3000%
91 93 95 97 99 01 03 05 07 09 11 13 15
Natural Gas
WTI Crude
Brent Crude
ULS Diesel
Unleaded Gasoline -200%0%
200%400%600%800%
1000%1200%1400%1600%1800%
91 93 95 97 99 01 03 05 07 09 11 13 15
Corn
Soybeans
Wheat
Soybean Oil
Soybean Meal
HRW Wheat
-200%
0%
200%
400%
600%
800%
1000%
91 93 95 97 99 01 03 05 07 09 11 13 15
Copper
Alumnium
Zinc
Nickel-100%
0%100%200%300%400%500%600%700%800%900%
91 93 95 97 99 01 03 05 07 09 11 13 15
Gold
Silver
-200%
-100%
0%
100%
200%
300%
400%
500%
91 93 95 97 99 01 03 05 07 09 11 13 15
Sugar
Coffee
Cotton
-100%-80%-60%-40%-20%
0%20%40%60%80%
100%120%
91 93 95 97 99 01 03 05 07 09 11 13 15
Live Cattle
Lean Hogs
10
BCOM Constituent Weights BCOM Index MEMB <GO> * Click hyperlinks to open in Bloomberg
Group Commodity TickerSep 2016 Contrib
to Return %Sep 30 2016
WeightAug 31 2016
WeightSep 2016
Weight Change2016 Target
Weight
Natural Gas NG -0.31 9.0% 9.6% -0.6% 8.4% WTI Crude CL 0.52 8.6% 8.3% 0.3% 7.5%
Brent Crude CO 0.54 9.2% 8.8% 0.4% 7.5% ULS Diesel HO 0.28 4.5% 4.4% 0.1% 3.8% Gasoline XB 0.38 3.9% 3.6% 0.3% 3.7%Subtotal 1.41 35.1% 34.6% 0.5% 31.0%
Corn C 0.39 5.9% 5.7% 0.2% 7.4% Soybeans S 0.07 5.3% 5.4% -0.1% 5.7%
Wheat W 0.09 2.4% 2.4% 0.0% 3.3% Soybean Oil BO 0.05 2.7% 2.7% 0.0% 2.8%
Soybean Meal SM -0.06 2.7% 2.8% -0.2% 2.8% HRW Wheat KW 0.04 0.9% 0.9% 0.0% 1.2%
Subtotal 0.57 19.7% 19.8% -0.1% 23.2% Copper HG 0.42 6.8% 6.6% 0.2% 7.6%
Aluminum LA 0.15 4.4% 4.3% 0.0% 4.6% Zinc LX 0.09 3.3% 3.3% 0.0% 2.5%
Nickel LN 0.19 2.4% 2.3% 0.1% 2.4%Subtotal 0.85 16.8% 16.5% 0.3% 17.1%
Gold GC 0.06 11.5% 11.8% -0.3% 11.4% Silver SI 0.14 4.8% 4.9% 0.0% 4.2%
Subtotal 0.19 16.3% 16.7% -0.4% 15.6% Sugar SB 0.51 4.8% 4.4% 0.5% 3.6% Coffee KC 0.08 2.4% 2.4% 0.0% 2.3% Cotton CT 0.05 1.4% 1.4% 0.0% 1.5%
Subtotal 0.64 8.6% 8.2% 0.5% 7.4% Live Cattle LC -0.17 2.2% 2.4% -0.2% 3.6% Lean Hogs LH -0.38 1.3% 1.8% -0.6% 2.1%Subtotal -0.55 3.4% 4.2% -0.8% 5.6%
Total 3.10 100% 100% 100%
Commodity Price ForecastsCPFC <GO>
Group Commodity Q4 16 Q1 17 Q2 17 Q3 17Forward 3.11 3.15 3.00 3.02Forecast 2.83 3.00 2.98 3.00Forward 49.00 50.53 51.48 52.06Forecast 48.25 51.00 53.00 56.00Forward 50.74 52.13 53.14 53.76Forecast 50.00 52.00 54.34 56.00Forward 154.94 157.34 154.40 154.40Forecast 149.00 150.00 133.00 133.00Forward 144.29 152.41 164.66 156.76Forecast 142.00 153.00 168.00 162.00Forward 338.45 347.97 357.14 367.69Forecast 337.50 354.00 355.00 370.00Forward 956.67 965.90 974.72 967.75Forecast 1,000.00 995.00 1,007.50 994.50Forward 405.97 427.53 443.13 462.99Forecast 421.00 432.00 450.00 465.00Forward 4,863 4,877 4,887 4,895Forecast 4,838 4,905 4,980 5,061Forward 1,671 1,684 1,696 1,706Forecast 1,620 1,641 1,650 1,658Forward 2,377 2,383 2,386 2,383Forecast 2,150 2,150 2,200 2,230Forward 10,561 10,606 10,641 10,673Forecast 10,203 10,500 11,012 11,115Forward 1,316 1,322 1,327 1,331Forecast 1,340 1,333 1,344 1,300Forward 19.22 19.33 19.43 19.52Forecast 19.20 19.65 18.57 19.66Forward 23.00 22.69 21.57 20.72Forecast 19.00 20.00 20.00 18.75Forward 151.98 155.13 157.53 160.01Forecast 142.35 141.70 139.70 140.00Forward 68.21 68.65 69.03 68.52Forecast 65.00 64.50 64.00 63.50
Softs
Bloomberg survey of commodity analysts
Energy
Grains
Industrial Metals
Precious Metals
Natural Gas
WTI Crude
Brent Crude
ULS Diesel
Gasoline
Corn
Soybeans
Wheat
Copper
Aluminum
Coffee
Cotton
Zinc
Nickel
Gold
Silver
Sugar
Energy
Livestock
Softs
Precious Metals
Industrial Metals
Grains
11
Composite Indices
Bloomberg Commodity ER BCOM 13.43% 14.05% 15.21% 13.46% 13.40% 17.82% 16.13%Bloomberg Commodity TR BCOMTR 13.43% 14.05% 15.21% 13.46% 13.40% 17.82% 16.13%
Bloomberg Commodity Spot BCOMSP 13.33% 14.14% 15.33% 13.54% 13.47% 17.92% 16.23%Bloomberg Roll Select BCOMRST 12.56% 12.81% 13.92% 12.54% 12.57% 16.81% 14.73%
1 Month Forward BCOMF1T 13.34% 13.89% 14.87% 13.12% 13.10% 17.49% 15.59% 2 Month Forward BCOMF2T 13.10% 13.56% 14.47% 12.81% 12.83% 17.19% 15.08% 3 Month Forward BCOMF3T 12.96% 13.37% 14.19% 12.53% 12.60% 16.92% 14.65% 4 Month Forward BCOMF4T 12.81% 13.05% 13.83% 12.26% 12.34% 16.66% 5 Month Forward BCOMF5T 12.34% 12.57% 13.38% 11.84% 11.94% 16.18% 6 Month Forward BCOMF6T 12.34% 12.57% 13.38% 11.84% 11.94% 16.18%
Energy BCOMENTR 33.64% 31.73% 35.00% 29.42% 26.06% 29.40% 30.92%Petroleum BCOMPETR 41.89% 38.03% 42.23% 34.69% 30.05% 34.07% 33.52%Agriculture BCOMAGTR 13.93% 16.87% 15.11% 15.17% 16.28% 20.95% 18.39%
Grains BCOMGRTR 16.94% 21.14% 18.58% 18.78% 20.37% 25.20% 22.55%Industrial Metals BCOMINTR 11.85% 13.39% 17.70% 16.70% 18.45% 24.94% 22.32%Precious Metals BCOMPRTR 15.70% 14.43% 17.49% 17.26% 19.57% 22.43% 19.89%
Softs BCOMSOTR 18.12% 21.64% 21.47% 21.10% 19.87% 22.66% 20.87%Livestock BCOMLITR 26.38% 21.42% 18.66% 15.38% 13.84% 14.37% 14.64%Ex-Energy BCOMXETR 8.68% 9.89% 10.81% 10.52% 12.00% 16.32% 13.84%
Ex-Petroleum BCOMXPET 7.84% 10.07% 11.00% 10.69% 11.86% 16.08%Ex-Agriculture BCOMXAGT 17.47% 16.53% 18.93% 16.28% 15.67% 19.55%
Ex-Grains BCOMXGRT 8.68% 9.89% 10.81% 10.52% 12.00% 16.32%Ex-Industrial Metals BCOMXIMT 15.40% 15.14% 17.02% 14.78% 14.37% 18.42%Ex-Precious Metals BCOMXPMT 15.60% 15.52% 16.31% 14.50% 14.14% 18.21%
Ex-Softs BCOMXSOT 15.53% 16.70% 17.53% 15.21% 14.52% 18.93%Ex-Livestock BCOMXLIT 14.12% 14.69% 15.84% 14.00% 13.91% 18.34%
Ex-Agriculture & Livestock BCOMXALT 17.47% 16.53% 18.93% 16.28% 15.67% 19.55%S&P 500 Total Return Index SPXT 14.51% 9.82% 14.42% 13.52% 14.03% 20.91% 19.65%
Bloomberg US Treasury Bond Index BUSY 3.42% 3.72% 3.85% 3.87% 3.91%Bloomberg USD IG Corporate Bond Index BUSC 4.09% 4.05% 3.72% 3.91% 4.07%Bloomberg USD HY Corporate Bond Index BUHY 3.11% 2.83% 4.69% 3.60% 3.40%
Bloomberg U.S. Dollar Spot Index BBDXY 6.95% 6.44% 6.95% 6.27% 6.29% 7.16%
Single Commodity Indices
Natural Gas BCOMNGTR 30.31% 36.51% 39.92% 39.81% 39.55% 42.21% 46.80%WTI Crude BCOMCLTR 44.64% 40.49% 45.13% 38.12% 33.31% 36.57% 35.14%
Brent Crude BCOMCOT 42.50% 39.19% 44.72% 36.26% 30.98% 34.10% 32.70%ULS Diesel BCOMHOTR 39.79% 36.28% 41.72% 32.23% 27.69% 31.53% 32.95%
Unleaded Gasoline BCOMRBTR 42.57% 37.00% 40.16% 33.87% 29.79% 34.75% 34.57%Corn BCOMCNTR 21.97% 23.60% 21.73% 22.25% 25.01% 30.82% 26.79%
Soybeans BCOMSYTR 18.69% 27.95% 21.61% 20.56% 21.03% 25.05% 23.91%Wheat BCOMWHTR 17.72% 23.24% 24.07% 25.94% 27.10% 33.93% 29.59%
Soybean Oil BCOMBOTR 23.58% 22.00% 20.18% 20.59% 19.78% 23.99% 23.47%Soybean Meal BCOMSMT 17.15% 27.32% 24.56% 24.40% 25.19% 28.30% 26.77%HRW Wheat BCOMKWT 17.22% 21.06% 23.30% 24.39% 25.27% 30.79% 26.84%
Copper BCOMHGTR 12.44% 15.75% 19.84% 19.27% 21.41% 29.94% 27.42%Alumnium BCOMALTR 15.64% 14.72% 16.86% 16.75% 18.57% 22.84% 20.61%
Zinc BCOMZSTR 20.32% 17.89% 26.81% 21.72% 22.08% 32.94% 28.51%Nickel BCOMNITR 27.56% 29.44% 30.77% 29.01% 28.54% 38.17% 35.82%Gold BCOMGCTR 11.82% 11.49% 16.03% 15.50% 17.42% 19.66% 17.78%Silver BCOMSITR 26.28% 23.76% 25.01% 25.72% 29.46% 34.66% 30.73%Sugar BCOMSBTR 29.84% 30.69% 32.53% 27.39% 25.90% 33.22% 32.14%Coffee BCOMKCTR 25.00% 25.26% 28.55% 36.13% 33.56% 31.41% 36.58%Cotton BCOMCTTR 27.46% 25.37% 19.74% 19.09% 21.49% 27.17% 25.99%
Live Cattle BCOMLCTR 25.61% 21.73% 20.45% 16.35% 14.64% 14.56% 14.58%Lean Hogs BCOMLHTR 40.50% 34.78% 27.64% 24.57% 21.81% 22.96% 24.37%
5-Year 10-Year
5-Year 10-Year 20-Year
20-Year
VOLATILITY: Realized
Index Name Ticker
Index Name Ticker
3-Mon 1-Year 3-Year1-Mon
1-Mon 3-Mon 1-Year 3-Year
12
VOLATILITY: ImpliedVCA <GO> OVDV <GO>
TermMoneyness 90% 100% 110% 90% 100% 110% 90% 100% 110%End of Sep 1% 39% 0% -1% 42% 2% 0% 34% 0%End of Aug 2% 37% 0% 0% 38% 1% -1% 44% 1%End of Sep 3% 36% 1% 2% 37% -1% 2% 36% -2%End of Aug 6% 36% -2% 3% 37% -2% 1% 37% -2%End of Sep 3% 34% 1% 2% 36% -1% 1% 37% -2%End of Aug 5% 34% -2% 3% 36% -2% 2% 37% -2%End of Sep 0% 33% 0% 0% 33% 0% 1% 34% 0%End of Aug 1% 31% -1% 1% 33% -1% 1% 34% 0%End of Sep 0% 39% 0% 0% 36% 0% 0% 34% 0%End of Aug 1% 37% 0% 1% 38% 0% 0% 33% 0%End of Sep 5% 20% 4% 1% 20% 2% -1% 20% 1%End of Aug 3% 23% 4% 0% 22% 1% -1% 22% 1%End of Sep 4% 20% 1% 1% 18% 0% 0% 18% 1%End of Aug 5% 17% 4% 2% 18% 1% 0% 18% 1%End of Sep 1% 24% 4% -1% 21% 2% -2% 22% 2%End of Aug -2% 26% 6% -2% 24% 4% -2% 22% 2%End of Sep 2% 22% 4% 0% 20% 2% -1% 20% 2%End of Aug 2% 22% 4% 0% 20% 2% 0% 19% 1%End of Sep 4% 23% 3% 1% 21% 1% 0% 21% 1%End of Aug 3% 23% 3% 1% 22% 1% 0% 21% 1%End of Sep 1% 20% 4% -1% 21% 2% -1% 20% 2%End of Aug -2% 24% 6% -2% 23% 3% -2% 20% 3%End of Sep 3% 18% 0% 1% 19% -1% 2% 19% 0%End of Aug 3% 15% 1% 1% 19% -1% 1% 20% -1%End of Sep 0% 13% 0% 0% 13% 0% 0% 14% 0%End of Aug 0% 14% -1% 0% 14% -1% 0% 14% -1%End of Sep 0% 24% -1% 0% 23% 2% -1% 23% 0%End of Aug 1% 23% 0% 1% 24% 0% 1% 24% 0%End of Sep 0% 28% 0% 0% 27% 0% 0% 27% 0%End of Aug 0% 27% 0% 0% 29% -1% 0% 29% -1%End of Sep 1% 11% 1% 0% 14% 1% 0% 15% 0%End of Aug 0% 14% 1% 0% 15% 1% 0% 16% 0%End of Sep 2% 20% 5% 0% 23% 2% 0% 25% 2%End of Aug 1% 24% 3% 0% 25% 2% -1% 26% 1%End of Sep -1% 33% 1% -2% 34% 2% -2% 32% 2%End of Aug 0% 29% 2% -2% 31% 2% -2% 31% 2%End of Sep -2% 32% 4% -2% 31% 2% -2% 30% 2%End of Aug 0% 29% 4% -2% 30% 2% -2% 30% 2%End of Sep 0% 23% 3% -1% 22% 1% 0% 22% 1%End of Aug 3% 23% 4% 0% 22% 1% 0% 21% 0%End of Sep 3% 29% -1% 0% 28% -2% 0% 22% -1%End of Aug 4% 24% 4% 1% 21% -1% 1% 18% -1%End of Sep 3% 34% 1% 0% 42% -3% 1% 33% -2%End of Aug 5% 27% -4% 4% 29% -5% 3% 25% -3%
3M 6M
Corn
Soybeans
Wheat
1M
Live
stoc
k Live Cattle
Lean Hogs
Grai
nsPr
ecio
us
Met
als Gold
Silver
Softs
Sugar
Coffee
Cotton
Soybean Oil
Soybean Meal
HRW Wheat
Indu
stria
l Met
als Copper
Aluminum
Zinc
Nickel
Ener
gy
Natural Gas
WTI Crude
Brent Crude
ULS Diesel
Gasoline
13
Bloomberg Commodity Energy Subindices Bloomberg Commodity Grains Subindices
VOLATILITY: Historical 1-Year RealizedBloomberg Commodity Composite Indices Bloomberg Commodity Forward Indices
Commodities vs. Equities vs. Bonds vs. USD Bloomberg Commodity Group Subindices
Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices
Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices
5%
10%
15%
20%
25%
30%
35%
92 94 96 98 00 02 04 06 08 10 12 14 16
BloombergCommodity Index ER
BloombergCommodity Index TR
BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select
5%
10%
15%
20%
25%
30%
35%
02 03 04 05 06 07 08 09 10 11 12 13 14 15 16
BloombergCommodity Index TR
BloombergCommodity Index 1Month ForwardBloombergCommodity Index 3Month ForwardBloombergCommodity Index 6Month Forward
0%
5%
10%
15%
20%
25%
11 12 13 14 15 16
BloombergCommodity Index TR
S&P 500 Total ReturnIndex
Bloomberg USTreasury Bond Index
Bloomberg USCorporate BondIndex
5%10%15%20%25%30%35%40%45%50%
92 94 96 98 00 02 04 06 08 10 12 14 16
Energy
Grains
Industrial Metals
Precious Metals
Softs
Livestock
10%
20%
30%
40%
50%
60%
70%
92 94 96 98 00 02 04 06 08 10 12 14 16
Natural Gas
WTI Crude
Brent Crude
ULS Diesel
Unleaded Gasoline10%
15%
20%
25%
30%
35%
40%
45%
50%
92 94 96 98 00 02 04 06 08 10 12 14 16
Corn
Soybeans
Wheat
Soybean Oil
Soybean Meal
HRW Wheat
10%
20%
30%
40%
50%
60%
70%
92 94 96 98 00 02 04 06 08 10 12 14 16
Copper
Alumnium
Zinc
Nickel0%
10%
20%
30%
40%
50%
60%
92 94 96 98 00 02 04 06 08 10 12 14 16
Gold
Silver
10%
20%
30%
40%
50%
60%
92 94 96 98 00 02 04 06 08 10 12 14 16
Sugar
Coffee
Cotton
5%
10%
15%
20%
25%
30%
35%
40%
92 94 96 98 00 02 04 06 08 10 12 14 16
Live Cattle
Lean Hogs
14
Bloo
mbe
rg
Com
mod
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Roll
Sele
ct
1 M
onth
Fo
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3 M
onth
Fo
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d
6 M
onth
Fo
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Ener
gy
Petr
oleu
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Agric
ultu
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Gra
ins
Indu
stria
l M
etal
s
Prec
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M
etal
s
Soft
s
Live
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Ex-E
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Ex-A
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Li
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ock
Bloomberg Commodity 99% 100% 99% 99% 89% 85% 58% 45% 62% 29% 40% 24% 75% 95%Roll Select 99% 100% 100% 100% 87% 84% 58% 46% 63% 32% 41% 23% 76% 94%
1 Month Forward 100% 100% 100% 99% 88% 85% 58% 46% 62% 30% 40% 24% 75% 95%3 Month Forward 99% 100% 100% 100% 87% 85% 58% 46% 62% 31% 41% 23% 76% 95%6 Month Forward 99% 100% 99% 100% 87% 85% 57% 45% 63% 32% 40% 22% 75% 95%
Energy 89% 87% 88% 87% 87% 96% 27% 18% 39% 5% 22% 15% 36% 94%Petroleum 85% 84% 85% 85% 85% 96% 27% 17% 39% 2% 26% 17% 36% 90%Agriculture 58% 58% 58% 58% 57% 27% 27% 92% 31% 9% 52% 16% 79% 32%
Grains 45% 46% 46% 46% 45% 18% 17% 92% 19% 2% 16% 14% 67% 20%Industrial Metals 62% 63% 62% 62% 63% 39% 39% 31% 19% 21% 26% 15% 68% 61%Precious Metals 29% 32% 30% 31% 32% 5% 2% 9% 2% 21% 13% 3% 53% 31%
Softs 40% 41% 40% 41% 40% 22% 26% 52% 16% 26% 13% 11% 49% 28%Livestock 24% 23% 24% 23% 22% 15% 17% 16% 14% 15% 3% 11% 29% 16%Ex-Energy 75% 76% 75% 76% 75% 36% 36% 79% 67% 68% 53% 49% 29% 58%
Ex-Agriculture & Livestock 95% 94% 95% 95% 95% 94% 90% 32% 20% 61% 31% 28% 16% 58%S&P 500 Total Return Index 38% 38% 38% 38% 39% 40% 44% 17% 10% 35% -17% 17% 19% 20% 38%
S&P Energy 65% 64% 65% 64% 65% 71% 73% 21% 14% 39% -2% 19% 14% 30% 69%S&P Financial 35% 35% 35% 35% 35% 39% 42% 16% 10% 34% -24% 15% 16% 16% 35%
S&P Health Care 17% 17% 17% 17% 18% 18% 23% 7% 3% 26% -18% 9% 11% 9% 17%S&P Consumer Discretionary 28% 28% 28% 29% 29% 28% 33% 17% 11% 27% -19% 19% 18% 17% 26%
S&P IT 28% 29% 29% 29% 30% 30% 35% 14% 10% 28% -18% 10% 18% 15% 27%S&P Utilities 12% 12% 12% 12% 11% 10% 9% 5% -1% 9% 8% 17% 10% 11% 12%
S&P Consumers Staples 15% 15% 15% 15% 15% 15% 17% 5% 1% 14% -5% 11% 20% 9% 15%S&P Industrials 40% 40% 40% 41% 41% 40% 43% 18% 11% 39% -12% 19% 21% 25% 40%
S&P Telecommunication 28% 29% 29% 29% 29% 27% 29% 13% 9% 19% 6% 12% 20% 20% 28%S&P Materials 52% 52% 52% 52% 53% 51% 54% 24% 17% 43% -4% 21% 17% 32% 52%
Bloomberg US Treasury -26% -25% -26% -25% -26% -35% -39% -8% -7% -23% 33% -3% -4% -2% -28%Bloomberg USD IG Corporate -17% -16% -17% -16% -16% -27% -31% -1% -4% -14% 28% 6% -1% 4% -20%Bloomberg USD HY Corporate 36% 38% 36% 37% 39% 36% 38% 18% 10% 32% -9% 23% 13% 22% 35%
Bloomberg U.S. Dollar Spot -45% -46% -46% -46% -46% -31% -30% -28% -19% -34% -35% -30% -11% -46% -42%EURUSD 24% 24% 24% 24% 24% 7% 5% 19% 11% 20% 40% 23% 10% 37% 21%JPYUSD -6% -6% -6% -7% -7% -19% -20% -2% 0% -6% 52% -1% -5% 16% -6%CADUSD 63% 63% 63% 63% 64% 56% 58% 26% 16% 47% 27% 29% 18% 48% 64%MXNUSD 61% 61% 61% 62% 62% 54% 56% 33% 20% 51% 4% 37% 14% 45% 58%GBPUSD 33% 33% 33% 34% 34% 28% 29% 16% 9% 29% 3% 17% 9% 24% 32%AUDUSD 49% 50% 50% 50% 51% 35% 38% 29% 17% 52% 21% 33% 18% 49% 46%CHFUSD 13% 14% 14% 14% 14% -1% -4% 11% 4% 12% 40% 18% 4% 28% 11%KRWUSD 44% 45% 45% 45% 45% 30% 30% 24% 10% 42% 31% 36% 13% 46% 42%CNYUSD 26% 26% 26% 26% 26% 17% 17% 19% 13% 28% 8% 17% 8% 27% 23%
Bloo
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Bloomberg Commodity 99% 100% 99% 98% 82% 77% 64% 55% 62% 48% 41% 21% 82% 93%Roll Select 99% 99% 100% 99% 79% 76% 64% 55% 63% 50% 42% 20% 83% 93%
1 Month Forward 100% 99% 100% 99% 80% 77% 64% 55% 63% 49% 41% 21% 82% 93%3 Month Forward 99% 100% 100% 100% 79% 77% 64% 55% 64% 50% 42% 20% 83% 92%6 Month Forward 98% 99% 99% 100% 77% 77% 63% 54% 65% 52% 42% 20% 83% 92%
Energy 82% 79% 80% 79% 77% 89% 25% 19% 31% 15% 18% 13% 34% 89%Petroleum 77% 76% 77% 77% 77% 89% 25% 18% 37% 19% 22% 14% 37% 83%Agriculture 64% 64% 64% 64% 63% 25% 25% 94% 28% 21% 51% 13% 80% 33%
Grains 55% 55% 55% 55% 54% 19% 18% 94% 19% 15% 22% 10% 71% 24%Industrial Metals 62% 63% 63% 64% 65% 31% 37% 28% 19% 42% 27% 11% 70% 63%Precious Metals 48% 50% 49% 50% 52% 15% 19% 21% 15% 42% 18% 4% 64% 50%
Softs 41% 42% 41% 42% 42% 18% 22% 51% 22% 27% 18% 11% 49% 27%Livestock 21% 20% 21% 20% 20% 13% 14% 13% 10% 11% 4% 11% 22% 14%Ex-Energy 82% 83% 82% 83% 83% 34% 37% 80% 71% 70% 64% 49% 22% 63%
Ex-Agriculture & Livestock 93% 93% 93% 92% 92% 89% 83% 33% 24% 63% 50% 27% 14% 63%S&P 500 Total Return Index 36% 36% 36% 37% 38% 30% 38% 18% 12% 37% 9% 17% 9% 28% 36%
S&P Energy 56% 56% 57% 57% 57% 58% 64% 22% 15% 40% 17% 22% 8% 35% 60%S&P Financial 31% 32% 32% 33% 34% 26% 33% 16% 10% 36% 5% 17% 6% 25% 32%
S&P Health Care 20% 21% 21% 21% 22% 16% 22% 11% 7% 25% 3% 10% 7% 17% 20%S&P Consumer Discretionary 27% 28% 28% 29% 29% 22% 29% 15% 12% 32% 3% 13% 8% 23% 27%
S&P IT 30% 31% 31% 32% 32% 24% 32% 16% 12% 34% 8% 15% 9% 26% 29%S&P Utilities 13% 13% 13% 14% 14% 11% 12% 6% 4% 11% 9% 10% 1% 11% 14%
S&P Consumers Staples 20% 20% 20% 21% 21% 15% 20% 10% 7% 22% 6% 11% 8% 17% 20%S&P Industrials 35% 35% 35% 36% 37% 28% 35% 18% 13% 39% 9% 17% 8% 30% 35%
S&P Telecommunication 21% 21% 21% 22% 22% 18% 22% 9% 6% 20% 7% 10% 8% 16% 21%S&P Materials 45% 46% 46% 46% 47% 37% 45% 22% 16% 44% 19% 21% 9% 37% 45%
Bloomberg US Treasury -22% -22% -22% -22% -22% -23% -27% -12% -10% -24% 12% -6% -5% -12% -21%Bloomberg USD IG Corporate -14% -13% -14% -14% -14% -17% -20% -6% -6% -15% 13% -1% -3% -5% -14%Bloomberg USD HY Corporate 27% 28% 28% 29% 30% 23% 27% 16% 11% 28% 5% 16% 9% 22% 26%
Bloomberg U.S. Dollar Spot -41% -42% -42% -42% -43% -27% -29% -23% -16% -32% -40% -27% -6% -41% -40%EURUSD 33% 34% 33% 34% 34% 16% 16% 19% 13% 32% 39% 22% 1% 37% 32%JPYUSD 1% 1% 1% 1% 1% -9% -9% 3% 3% -6% 32% 5% -4% 11% 0%CADUSD 53% 54% 54% 55% 55% 41% 47% 25% 17% 43% 36% 27% 12% 46% 54%MXNUSD 49% 51% 50% 51% 52% 36% 41% 27% 18% 47% 30% 30% 9% 45% 48%GBPUSD 31% 32% 32% 32% 33% 22% 24% 15% 10% 30% 25% 17% 6% 29% 32%AUDUSD 47% 48% 48% 49% 50% 29% 34% 27% 19% 44% 39% 29% 11% 48% 45%CHFUSD 22% 23% 22% 23% 23% 7% 7% 12% 7% 25% 36% 16% -1% 29% 23%KRWUSD 33% 34% 34% 35% 36% 19% 22% 19% 11% 34% 29% 23% 6% 35% 32%CNYUSD 13% 13% 14% 14% 14% 9% 8% 11% 10% 12% 4% 6% 2% 13% 11%
Bond
Curr
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Nat
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Corn
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Mea
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Alum
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Zinc
Nic
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Gol
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Suga
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Live
Cat
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Natural Gas 21% 21% 19% 18% 4% 13% 0% 14% 9% -1% 8% 13% 13% 12% 6% 8% -1% -2% 0% -4% 4%WTI Crude 21% 98% 94% 82% 13% 17% 8% 30% 10% 9% 37% 32% 24% 32% -5% 15% 16% 34% 13% 12% 15%
Brent Crude 21% 98% 96% 84% 14% 18% 9% 30% 11% 10% 36% 31% 25% 31% -5% 15% 13% 33% 13% 11% 14%ULS Diesel 19% 94% 96% 79% 14% 20% 9% 29% 15% 9% 34% 31% 23% 28% -1% 16% 15% 31% 11% 8% 15%
Unleaded Gasoline 18% 82% 84% 79% 11% 17% 8% 29% 12% 10% 35% 30% 23% 23% -6% 11% 9% 22% 13% 6% 15%Corn 4% 13% 14% 14% 11% 54% 64% 33% 49% 61% 7% 15% 3% 5% 0% 1% 4% 13% 22% 5% 16%
Soybeans 13% 17% 18% 20% 17% 54% 38% 56% 89% 35% 22% 27% 21% 23% 0% 13% 7% 22% 19% 6% 12%Wheat 0% 8% 9% 9% 8% 64% 38% 22% 35% 93% 9% 16% 9% 6% -1% 4% 6% 15% 21% 5% 13%
Soybean Oil 14% 30% 30% 29% 29% 33% 56% 22% 23% 21% 31% 28% 27% 18% 7% 20% -6% 31% 16% 15% 19%Soybean Meal 9% 10% 11% 15% 12% 49% 89% 35% 23% 33% 19% 22% 17% 20% 1% 11% 12% 11% 18% -1% 7%HRW Wheat -1% 9% 10% 9% 10% 61% 35% 93% 21% 33% 8% 17% 6% 5% -3% 2% 2% 12% 20% 7% 13%
Copper 8% 37% 36% 34% 35% 7% 22% 9% 31% 19% 8% 51% 61% 64% 9% 31% 13% 33% 19% 5% 20%Alumnium 13% 32% 31% 31% 30% 15% 27% 16% 28% 22% 17% 51% 55% 51% 6% 23% 2% 23% 19% 5% 13%
Zinc 13% 24% 25% 23% 23% 3% 21% 9% 27% 17% 6% 61% 55% 55% 18% 30% 11% 30% 9% 3% 16%Nickel 12% 32% 31% 28% 23% 5% 23% 6% 18% 20% 5% 64% 51% 55% 8% 28% 10% 25% 21% -2% 9%Gold 6% -5% -5% -1% -6% 0% 0% -1% 7% 1% -3% 9% 6% 18% 8% 77% 9% 3% -4% -9% 8%Silver 8% 15% 15% 16% 11% 1% 13% 4% 20% 11% 2% 31% 23% 30% 28% 77% 15% 21% 11% 2% 10%Sugar -1% 16% 13% 15% 9% 4% 7% 6% -6% 12% 2% 13% 2% 11% 10% 9% 15% 28% 7% 5% 5%Coffee -2% 34% 33% 31% 22% 13% 22% 15% 31% 11% 12% 33% 23% 30% 25% 3% 21% 28% 23% 11% 12%Cotton 0% 13% 13% 11% 13% 22% 19% 21% 16% 18% 20% 19% 19% 9% 21% -4% 11% 7% 23% 3% -1%
Live Cattle -4% 12% 11% 8% 6% 5% 6% 5% 15% -1% 7% 5% 5% 3% -2% -9% 2% 5% 11% 3% 28%Lean Hogs 4% 15% 14% 15% 15% 16% 12% 13% 19% 7% 13% 20% 13% 16% 9% 8% 10% 5% 12% -1% 28%
S&P 500 Total Return Index 3% 45% 44% 41% 38% 7% 13% 4% 20% 6% 7% 29% 29% 25% 32% -25% 1% 5% 27% 15% 23% 7%S&P Energy 21% 75% 72% 70% 61% 11% 15% 5% 26% 7% 10% 37% 33% 23% 33% -10% 12% 8% 27% 13% 12% 9%
S&P Financial 4% 43% 42% 39% 38% 7% 13% 3% 16% 7% 6% 28% 29% 24% 30% -33% -4% 3% 26% 16% 21% 3%S&P Health Care -5% 23% 23% 21% 20% 1% 7% -2% 13% 2% -1% 19% 25% 18% 25% -24% -4% 3% 14% 10% 17% 0%
S&P Consumer Discretionary -1% 33% 33% 30% 29% 8% 10% 9% 13% 6% 10% 22% 23% 18% 27% -25% -4% 8% 25% 16% 21% 7%S&P IT -3% 35% 35% 32% 33% 8% 11% 5% 20% 4% 8% 23% 23% 24% 27% -24% -4% -1% 23% 14% 23% 4%
S&P Utilities 8% 10% 10% 9% 2% -4% 2% -1% 2% 0% -1% 9% -1% 12% 10% 6% 11% 12% 17% 7% 12% 5%S&P Consumers Staples 3% 18% 18% 16% 12% -2% 4% -2% 10% -2% -1% 11% 9% 12% 14% -10% 4% 6% 16% 4% 22% 8%
S&P Industrials 7% 43% 43% 39% 38% 7% 14% 4% 20% 7% 6% 35% 28% 29% 35% -21% 7% 7% 30% 13% 21% 11%S&P Telecommunication 6% 29% 30% 29% 19% 7% 11% 3% 16% 3% 5% 18% 15% 14% 16% 0% 15% 4% 20% 13% 21% 10%
S&P Materials 11% 55% 54% 50% 46% 14% 18% 7% 26% 10% 11% 40% 32% 28% 35% -13% 13% 6% 35% 15% 16% 9%Bloomberg US Treasury 0% -39% -38% -36% -37% -6% -6% -4% -10% -2% -6% -22% -20% -9% -19% 38% 19% 6% -17% -13% -8% 3%
Bloomberg USD IG Corporate 4% -31% -29% -29% -30% -5% -1% -1% -6% 2% -2% -14% -14% -2% -12% 30% 20% 12% -7% -7% -3% 3%Bloomberg USD HY Corporate 6% 37% 40% 38% 28% 4% 11% 12% 9% 12% 13% 28% 26% 25% 25% -17% 8% 12% 27% 18% 15% 3%
Bloomberg U.S. Dollar Spot -12% -32% -29% -29% -24% -13% -17% -17% -20% -15% -15% -31% -29% -25% -21% -32% -35% -16% -39% -14% -5% -13%EURUSD 8% 8% 4% 5% 1% 6% 9% 14% 17% 7% 11% 21% 17% 12% 13% 39% 34% 13% 28% 15% 3% 15%JPYUSD -4% -21% -21% -19% -16% 5% -7% 4% -9% -2% 2% -5% -1% 0% -12% 59% 32% 5% -8% -12% -13% 4%CADUSD 13% 60% 58% 55% 46% 13% 14% 13% 30% 8% 11% 41% 39% 38% 34% 18% 39% 14% 42% 15% 11% 17%MXNUSD 13% 56% 56% 53% 48% 12% 25% 13% 24% 20% 13% 44% 41% 38% 42% -6% 22% 23% 41% 11% 14% 9%GBPUSD 6% 30% 28% 26% 28% 7% 10% 7% 16% 9% 6% 29% 22% 20% 19% -4% 13% 5% 25% 20% 10% 5%AUDUSD 3% 38% 38% 36% 32% 11% 19% 13% 28% 14% 12% 45% 42% 46% 36% 13% 33% 17% 45% 14% 15% 15%CHFUSD 7% -1% -5% -5% -7% 1% 3% 7% 16% -1% 6% 12% 11% 9% 7% 41% 32% 12% 22% 5% -3% 11%KRWUSD 9% 30% 29% 27% 27% 6% 13% 7% 22% 10% 4% 39% 27% 37% 33% 22% 43% 23% 43% 12% 10% 10%CNYUSD 6% 17% 17% 18% 11% 11% 11% 11% 19% 11% 11% 28% 18% 22% 22% 3% 16% 7% 27% 14% 7% 5%
Nat
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Alum
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Zinc
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Natural Gas 14% 14% 14% 12% 10% 6% 7% 8% 4% 8% 1% 5% 1% 2% -1% 2% 2% 2% -1% 3% 5%WTI Crude 14% 94% 89% 83% 14% 21% 9% 34% 12% 10% 38% 32% 27% 28% 15% 25% 17% 17% 20% 12% 11%
Brent Crude 14% 94% 96% 88% 13% 21% 9% 33% 12% 10% 35% 27% 25% 26% 12% 23% 14% 15% 19% 11% 9%ULS Diesel 14% 89% 96% 85% 13% 22% 9% 32% 14% 10% 32% 26% 23% 25% 13% 23% 15% 15% 19% 9% 10%
Unleaded Gasoline 12% 83% 88% 85% 12% 19% 7% 32% 10% 9% 31% 25% 22% 23% 13% 23% 10% 11% 18% 9% 7%Corn 10% 14% 13% 13% 12% 60% 69% 39% 55% 65% 12% 13% 7% 12% 10% 13% 14% 11% 15% 10% 6%
Soybeans 6% 21% 21% 22% 19% 60% 45% 63% 91% 42% 23% 20% 19% 19% 12% 21% 17% 13% 17% 8% 4%Wheat 7% 9% 9% 9% 7% 69% 45% 31% 40% 95% 10% 9% 7% 11% 10% 12% 13% 13% 16% 9% 2%
Soybean Oil 8% 34% 33% 32% 32% 39% 63% 31% 35% 29% 30% 27% 28% 23% 18% 28% 12% 18% 21% 14% 7%Soybean Meal 4% 12% 12% 14% 10% 55% 91% 40% 35% 37% 16% 14% 13% 11% 8% 15% 15% 7% 12% 4% 2%HRW Wheat 8% 10% 10% 10% 9% 65% 42% 95% 29% 37% 10% 8% 6% 11% 10% 11% 12% 11% 14% 9% 3%
Copper 1% 38% 35% 32% 31% 12% 23% 10% 30% 16% 10% 65% 69% 58% 35% 49% 17% 17% 24% 8% 9%Alumnium 5% 32% 27% 26% 25% 13% 20% 9% 27% 14% 8% 65% 68% 53% 29% 39% 15% 14% 18% 8% 7%
Zinc 1% 27% 25% 23% 22% 7% 19% 7% 28% 13% 6% 69% 68% 55% 31% 40% 17% 16% 15% 7% 9%Nickel 2% 28% 26% 25% 23% 12% 19% 11% 23% 11% 11% 58% 53% 55% 20% 31% 17% 13% 19% 3% 4%Gold -1% 15% 12% 13% 13% 10% 12% 10% 18% 8% 10% 35% 29% 31% 20% 84% 9% 13% 11% 2% 2%Silver 2% 25% 23% 23% 23% 13% 21% 12% 28% 15% 11% 49% 39% 40% 31% 84% 13% 19% 16% 6% 3%Sugar 2% 17% 14% 15% 10% 14% 17% 13% 12% 15% 12% 17% 15% 17% 17% 9% 13% 26% 15% 6% 6%Coffee 2% 17% 15% 15% 11% 11% 13% 13% 18% 7% 11% 17% 14% 16% 13% 13% 19% 26% 11% 7% 8%Cotton -1% 20% 19% 19% 18% 15% 17% 16% 21% 12% 14% 24% 18% 15% 19% 11% 16% 15% 11% 6% 2%
Live Cattle 3% 12% 11% 9% 9% 10% 8% 9% 14% 4% 9% 8% 8% 7% 3% 2% 6% 6% 7% 6% 27%Lean Hogs 5% 11% 9% 10% 7% 6% 4% 2% 7% 2% 3% 9% 7% 9% 4% 2% 3% 6% 8% 2% 27%
S&P 500 Total Return Index 0% 37% 37% 34% 32% 9% 16% 7% 21% 9% 9% 38% 29% 28% 26% 4% 18% 12% 10% 23% 10% 3%S&P Energy 12% 65% 63% 60% 55% 12% 17% 9% 26% 9% 11% 40% 32% 29% 27% 12% 24% 17% 13% 23% 8% 5%
S&P Financial -1% 33% 33% 30% 28% 7% 14% 5% 19% 9% 7% 37% 28% 26% 25% 0% 16% 12% 10% 21% 8% 1%S&P Health Care -3% 22% 22% 20% 18% 5% 11% 3% 13% 7% 4% 25% 21% 19% 18% -1% 10% 6% 6% 17% 9% 2%
S&P Consumer Discretionary -3% 29% 29% 27% 25% 8% 14% 7% 17% 9% 9% 33% 25% 22% 25% -2% 11% 10% 7% 20% 10% 2%S&P IT -4% 31% 31% 29% 28% 9% 15% 6% 20% 8% 8% 33% 27% 26% 25% 3% 16% 9% 9% 21% 11% 2%
S&P Utilities 3% 12% 12% 10% 8% 2% 3% 4% 5% 0% 6% 14% 7% 9% 5% 9% 10% 10% 3% 14% 4% -2%S&P Consumers Staples 0% 20% 20% 18% 15% 4% 9% 4% 12% 4% 5% 23% 17% 17% 16% 3% 11% 9% 3% 16% 9% 4%
S&P Industrials -1% 35% 34% 31% 30% 10% 16% 7% 20% 11% 9% 40% 30% 30% 27% 4% 18% 12% 9% 21% 8% 3%S&P Telecommunication 1% 21% 23% 21% 18% 4% 8% 3% 10% 4% 4% 21% 17% 15% 13% 5% 12% 8% 5% 14% 9% 3%
S&P Materials 1% 45% 44% 41% 38% 13% 18% 9% 24% 11% 11% 45% 34% 33% 30% 15% 26% 15% 12% 23% 10% 4%Bloomberg US Treasury -2% -27% -27% -24% -23% -7% -12% -6% -15% -8% -7% -25% -19% -15% -15% 17% 1% -2% -4% -11% -4% -4%
Bloomberg USD IG Corporate -2% -21% -20% -18% -17% -4% -7% -4% -11% -4% -4% -17% -13% -8% -9% 17% 5% 2% -1% -6% -1% -4%Bloomberg USD HY Corporate 0% 26% 29% 27% 21% 9% 14% 5% 16% 11% 7% 26% 23% 24% 21% 1% 12% 13% 11% 13% 11% 2%
Bloomberg U.S. Dollar Spot -7% -31% -27% -26% -23% -12% -16% -14% -18% -12% -14% -33% -26% -25% -18% -38% -37% -17% -20% -23% -3% -7%EURUSD 6% 18% 14% 14% 12% 8% 12% 14% 15% 9% 14% 33% 26% 24% 19% 38% 36% 14% 16% 19% -3% 5%JPYUSD -3% -9% -10% -9% -7% 4% -1% 5% -7% 4% 4% -6% -3% -3% -8% 37% 21% 3% 4% 0% -6% 0%CADUSD 5% 48% 46% 44% 38% 12% 20% 12% 28% 13% 12% 43% 34% 34% 29% 32% 38% 17% 23% 21% 9% 10%MXNUSD 4% 42% 40% 38% 35% 13% 22% 12% 25% 16% 12% 45% 38% 37% 34% 25% 35% 23% 22% 21% 9% 5%GBPUSD 3% 26% 23% 22% 20% 5% 11% 8% 14% 9% 8% 30% 24% 23% 18% 23% 27% 9% 14% 15% 6% 4%AUDUSD 2% 34% 33% 31% 27% 13% 22% 13% 26% 17% 13% 44% 33% 38% 31% 37% 40% 20% 23% 21% 10% 8%CHFUSD 3% 9% 6% 6% 4% 5% 5% 9% 12% 2% 9% 26% 21% 19% 14% 37% 31% 13% 9% 13% -4% 3%KRWUSD 3% 23% 20% 21% 17% 7% 15% 8% 18% 12% 7% 33% 26% 29% 24% 26% 31% 16% 19% 15% 5% 5%CNYUSD 4% 9% 9% 9% 5% 9% 7% 8% 10% 6% 9% 11% 8% 9% 12% 2% 6% 1% 9% 6% 3% 0%
Curr
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CORRELATION: BCOM Singles vs. Equities vs. Bond vs. Currency
5-Year
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Bloomberg Commodity 58% -7% -3% -3% -2% 63% 60% 66% 60% 17% -7% 36% -27% 13% 5% 10% 21%Energy 66% -12% -3% -1% -6% 75% 75% 77% 74% 14% -4% 29% -15% -1% -4% -3% 8%
Petroleum 72% 0% -7% -6% -6% 78% 79% 81% 78% -1% -6% 6% -5% 6% -9% 0% 15%Agriculture 23% -6% -1% -1% 2% 25% 23% 19% 24% 10% -16% 33% -38% 21% 11% 11% 30%
Grains 15% -4% 3% 2% 3% 15% 15% 10% 15% 3% -19% 26% -29% 18% 5% 12% 26%Industrial Metals 40% 6% -8% -8% -4% 38% 36% 44% 35% 0% 1% 1% -4% 11% 3% 13% 11%Precious Metals 16% 6% 0% -1% 7% 10% 4% 24% 4% 16% 8% 18% -10% 14% 11% 24% 2%
Softs 21% -13% -3% -4% 4% 26% 23% 21% 23% 23% -2% 39% -42% 14% 15% 7% 21%Livestock 19% 6% 23% 22% 8% 17% 15% 12% 15% 16% -4% 31% 13% 2% -10% 12% 4%
Natural Gas 12% -27% 11% 13% -4% 21% 18% 18% 18% 38% 2% 60% -27% -14% 10% -5% -9%WTI Crude 67% 1% -3% -3% -2% 73% 74% 74% 74% 2% -3% 8% -7% 9% -9% 4% 15%
Brent Crude 71% -3% -9% -7% -10% 78% 79% 83% 78% 1% -4% 7% -5% 3% -11% -3% 12%ULS Diesel 68% -8% -9% -8% -5% 75% 75% 85% 74% 2% -4% 8% -10% 0% -7% -4% 9%
Unleaded Gasoline 80% 6% -6% -4% -9% 84% 86% 76% 85% -10% -12% -2% 2% 10% -8% -9% 23%Corn 11% -3% 4% 4% 4% 10% 10% 9% 10% 2% -20% 25% -25% 15% 4% 10% 25%
Soybeans 27% 0% -11% -10% -6% 29% 28% 25% 28% 3% -13% 20% -31% 24% 11% 15% 27%Wheat 3% -9% 14% 12% 11% 4% 4% -9% 4% 4% -19% 27% -28% 11% 1% 8% 20%
Soybean Oil 28% 12% -10% -10% -2% 25% 24% 11% 25% -1% -14% 12% -7% 23% 1% -2% 39%Soybean Meal 24% -4% -5% -5% -4% 27% 28% 29% 27% 2% -10% 16% -36% 23% 17% 14% 20%HRW Wheat 9% -9% 19% 19% 9% 9% 7% -3% 8% 15% -10% 35% -20% 6% -8% 5% 22%
Copper 41% 6% -14% -14% -4% 40% 38% 47% 38% -4% 4% -8% 4% 6% -6% 13% 6%Alumnium 33% 2% -4% -6% 5% 31% 29% 31% 29% -10% -12% -2% -6% 7% 13% 4% 9%
Zinc 32% 7% -19% -17% -14% 32% 28% 40% 28% 6% 8% 3% -9% 14% 8% 16% 12%Nickel 29% 3% 17% 19% -3% 27% 23% 32% 23% 18% 7% 23% -12% 14% 2% 13% 17%Gold 11% 5% 6% 4% 10% 4% -2% 19% -2% 16% 7% 19% -7% 11% 8% 24% 0%Silver 25% 6% -9% -10% -1% 20% 14% 31% 14% 14% 8% 16% -15% 18% 15% 20% 5%Sugar 12% -11% -24% -26% 0% 18% 18% 18% 18% 6% -5% 16% -37% 14% 3% 14% 18%Coffee 15% -13% 28% 27% 13% 15% 10% 8% 10% 37% 7% 52% -31% 5% 20% -4% 7%Cotton 30% -1% -9% -6% -13% 31% 28% 30% 28% 13% -5% 27% -22% 14% 11% 4% 29%
Live Cattle 21% -4% 18% 18% 3% 22% 21% 20% 21% 8% 8% 4% 14% -13% -15% 5% -3%Lean Hogs 10% 12% 21% 20% 8% 7% 5% 0% 5% 18% -11% 42% 9% 10% -4% 13% 6%
S&P 500 Total Return Index 36% -31% -22% -21% -13% 48% 47% 41% 47% 6% 8% 2% -21% -20% -16% -13% -5%Bloomberg US Treasury -48% -8% 17% 13% 22% -49% -51% -38% -51% 13% 10% 10% 2% -13% -3% 14% -20%
Bloomberg USD IG Corporate -6% -18% -1% -5% 16% -1% -2% 10% -2% 17% 7% 21% -9% -17% -3% 0% -13%Bloomberg USD HY Corporate 44% -14% -20% -21% -2% 54% 54% 61% 54% 8% -2% 16% -9% -9% -11% -9% 2%
Bloomberg U.S. Dollar Spot -47% -2% 7% 7% 3% -48% -45% -43% -45% -9% 2% -19% 11% -11% -2% 7% -20%
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Bloomberg Commodity 68% 6% 4% 7% -13% 69% 67% 67% 66% 30% -3% 40% 0% 9% 1% 9% 20%Energy 68% 1% 9% 12% -10% 72% 70% 70% 69% 37% -2% 48% -2% 5% -1% 2% 14%
Petroleum 72% 5% 8% 10% -7% 75% 76% 72% 75% 22% 0% 28% 2% 7% -1% 5% 17%Agriculture 29% 8% -2% -1% -7% 27% 27% 25% 26% 4% -4% 9% 0% 10% 7% 8% 15%
Grains 23% 8% 2% 2% -3% 20% 20% 20% 20% 1% -3% 5% -1% 11% 10% 8% 11%Industrial Metals 43% 6% -8% -6% -13% 44% 44% 42% 43% 12% 1% 14% 4% 6% 0% 8% 10%Precious Metals 29% 4% 0% -1% 1% 27% 25% 27% 25% 12% 7% 11% 3% 4% -5% 14% 14%
Softs 26% 2% -9% -7% -14% 27% 27% 21% 27% 11% -2% 15% 1% 0% -4% 6% 19%Livestock 15% -4% 17% 20% -9% 13% 10% 9% 10% 15% 8% 16% -11% 7% 4% 9% 2%
Natural Gas 36% -7% 7% 12% -13% 39% 33% 38% 32% 47% -4% 62% -5% -2% -2% -6% 2%WTI Crude 67% 5% 9% 11% -6% 71% 72% 69% 71% 21% 2% 26% 1% 9% 0% 7% 17%
Brent Crude 70% 6% 8% 11% -8% 73% 75% 70% 74% 17% 1% 23% 4% 7% -1% 4% 17%ULS Diesel 70% 2% 11% 13% -4% 73% 73% 77% 72% 26% 1% 32% 2% 3% -5% 2% 18%
Unleaded Gasoline 79% 4% 4% 8% -11% 83% 84% 67% 84% 20% -4% 27% 5% 3% -4% 0% 16%Corn 22% 6% 5% 6% -3% 19% 19% 19% 18% 3% -4% 8% 3% 5% 5% 0% 8%
Soybeans 23% 8% -4% -2% -8% 20% 21% 21% 21% 0% 0% 2% -2% 12% 9% 7% 15%Wheat 15% 7% 2% 1% 5% 13% 13% 9% 13% 0% -5% 4% -5% 12% 12% 13% 3%
Soybean Oil 30% 15% -1% 0% -6% 25% 24% 23% 24% 4% -3% 7% 4% 16% 11% 9% 16%Soybean Meal 17% 4% -2% -1% -6% 17% 18% 18% 18% -1% 3% -1% -5% 9% 6% 4% 15%HRW Wheat 23% 8% 3% 2% 3% 21% 20% 15% 20% 6% 0% 9% 2% 8% 9% 14% 1%
Copper 43% 9% -10% -8% -10% 43% 43% 40% 43% 9% 0% 11% 10% 5% -3% 9% 12%Alumnium 41% 5% 0% 3% -9% 41% 39% 44% 39% 19% 2% 23% 1% 6% 4% 4% 8%
Zinc 24% 6% -21% -19% -16% 26% 27% 22% 27% 1% -1% 1% 7% 2% 1% 3% 2%Nickel 32% -4% -4% 0% -18% 35% 36% 30% 36% 5% -1% 9% -11% 3% -2% 11% 7%Gold 27% 3% 4% 4% 5% 25% 23% 24% 23% 12% 10% 10% 2% 5% -5% 13% 14%Silver 28% 5% -8% -6% -7% 27% 25% 27% 24% 10% 2% 11% 5% 3% -4% 13% 11%Sugar 17% 6% -11% -11% -6% 18% 17% 13% 17% 11% 3% 13% 10% 0% -4% 6% 13%Coffee 13% 4% 0% 2% -8% 13% 13% 8% 13% 3% 1% 6% 2% -1% 1% -3% 3%Cotton 27% -7% -6% -3% -18% 30% 29% 32% 29% 8% -7% 13% -1% -7% -10% 2% 18%
Live Cattle 21% -7% 19% 23% -9% 20% 18% 13% 18% 16% 12% 13% -14% 7% 7% 8% 1%Lean Hogs 5% -3% 10% 12% -6% 3% 1% 3% 0% 11% 4% 13% -7% 3% -1% 7% 1%
CORRELATION: US CPI vs. BCOM Indices & Other Benchmarks
20-Year
US CPI Indices
BCO
M C
ompo
sites
BCO
M S
ingl
esUS CPI Indices
5-Year
BCO
M C
ompo
sites
BCO
M S
ingl
esBe
nchm
arks
17
CORRELATION: World CPI vs. BCOM Indices & Other Benchmarks
US
Chin
a
Japa
n
Ger
man
y
UK
Fran
ce
Indi
a
Braz
il
Italy
Cana
da
Sout
h Ko
rea
Aust
ralia
Mex
ico
Spai
n
Russ
ia
Indo
nesi
a
Turk
ey
Net
herla
nds
Switz
erla
nd
Bloomberg Commodity 58% 42% 23% 60% 68% 46% 46% -66% 36% 33% 46% 75% 64% 52% -62% -13% 8% 52% 81%Energy 66% 40% 31% 64% 68% 45% 54% -76% 33% 22% 38% 79% 73% 48% -67% 11% 17% 59% 80%
Petroleum 72% 53% 15% 83% 82% 69% 65% -85% 60% 28% 57% 69% 73% 66% -80% -6% 31% 71% 68%Agriculture 23% 20% -20% 33% 39% 29% 33% -25% 30% 14% 26% 25% 29% 45% -43% -43% -21% 28% 46%
Grains 15% 9% -41% 41% 37% 38% 45% -29% 46% -10% 22% 7% 35% 61% -33% -43% -26% 45% 19%Industrial Metals 40% 0% 57% 13% 19% -2% 12% -42% -9% 14% 3% 47% 43% 9% -11% 13% 0% 13% 68%Precious Metals 16% 46% -32% 26% 37% 43% -6% 7% 43% 55% 63% 11% -13% 34% -19% -71% 17% 11% -6%
Softs 21% 31% 30% -4% 18% -3% -15% 1% -17% 57% 23% 41% -4% -16% -32% -18% 10% -25% 61%Livestock 19% 20% 69% 23% 32% 16% 1% -56% 3% 43% 24% 65% 53% 2% -40% 23% 31% 8% 70%
Natural Gas 12% 6% 52% -1% 14% -22% 9% -24% -33% 7% -11% 67% 35% -13% -14% 43% -13% 8% 68%WTI Crude 67% 47% 27% 75% 75% 60% 58% -85% 50% 27% 49% 70% 74% 55% -76% 5% 34% 63% 71%
Brent Crude 71% 62% 10% 86% 88% 74% 65% -83% 65% 34% 65% 72% 70% 69% -81% -13% 31% 72% 66%ULS Diesel 68% 63% 7% 90% 90% 79% 65% -83% 70% 34% 68% 74% 70% 76% -73% -10% 29% 78% 61%
Unleaded Gasoline 80% 61% -9% 90% 90% 79% 71% -75% 74% 30% 69% 64% 65% 82% -81% -29% 25% 83% 53%Corn 11% 25% -63% 45% 45% 48% 40% -14% 57% -1% 38% 4% 22% 68% -25% -56% -23% 53% -3%
Soybeans 27% 11% -7% 42% 38% 31% 51% -51% 32% -5% 13% 20% 47% 45% -56% -20% -16% 35% 55%Wheat 3% -32% -31% 0% -7% -6% 23% 1% 7% -40% -21% -19% 16% 26% 3% -23% -44% 15% 0%
Soybean Oil 28% 45% -60% 32% 39% 37% 29% 10% 42% 23% 45% 1% -15% 47% -36% -64% -15% 29% 4%Soybean Meal 24% -14% 8% 28% 18% 19% 36% -51% 21% -17% -5% 7% 49% 33% -36% -6% -16% 22% 45%HRW Wheat 9% 1% 1% 32% 34% 21% 39% -39% 25% -8% 12% 35% 50% 46% -23% -14% -26% 40% 44%
Copper 41% 19% 30% 45% 43% 27% 40% -56% 22% 7% 21% 52% 53% 43% -31% 4% -3% 45% 64%Alumnium 33% -3% 49% -10% 0% -19% -13% -11% -26% 18% -6% 31% 13% -12% 14% 10% -6% -9% 48%
Zinc 32% -24% 62% -9% -7% -23% -3% -32% -31% -3% -23% 25% 35% -13% 2% 24% -3% -8% 58%Nickel 29% -1% 71% 13% 21% 0% 12% -50% -8% 23% 7% 55% 52% 4% -19% 16% 12% 8% 72%Gold 11% 45% -32% 28% 38% 48% -6% 2% 48% 56% 66% 7% -8% 35% -22% -71% 24% 13% -11%Silver 25% 40% -28% 16% 29% 26% -5% 19% 25% 47% 50% 19% -21% 27% -10% -64% 0% 6% 6%Sugar 12% 49% -20% 25% 36% 31% 16% -8% 25% 41% 43% 12% -11% 14% -58% -53% 16% 0% 28%Coffee 15% 8% 66% -14% 4% -11% -38% -11% -25% 61% 15% 48% 18% -25% -8% 3% 24% -30% 56%Cotton 30% 9% 2% -19% -5% -36% 6% 32% -42% -6% -23% 32% -24% -17% 13% 36% -43% -7% 40%
Live Cattle 21% -5% 74% 1% 4% 0% -26% -35% -8% 34% 6% 41% 42% -12% 12% 33% 25% -7% 32%Lean Hogs 10% 35% 33% 33% 45% 23% 27% -52% 12% 33% 31% 57% 41% 14% -73% 0% 23% 19% 75%
S&P 500 Total Return Index 36% -14% 45% 25% 17% 1% 40% -60% -5% -29% -21% 35% 60% 14% -14% 51% -12% 29% 60%Bloomberg US Treasury -48% 21% 7% -12% 3% 1% -23% 8% 2% 33% 20% 4% -5% -16% -3% -23% -7% -30% 5%
Bloomberg USD IG Corporate -6% 6% 3% 4% 6% 14% -8% -19% 12% 18% 15% -5% 16% -6% -30% -37% 5% -23% 13%Bloomberg USD HY Corporate 44% 6% -16% 22% 16% 24% 17% -32% 19% -9% 10% -7% 21% 16% -38% -29% 2% 8% 14%
Bloomberg U.S. Dollar Spot -47% -54% -3% -49% -61% -40% -37% 41% -29% -40% -51% -61% -31% -38% 79% 34% -16% -35% -70%
US
Chin
a
Japa
n
Ger
man
y
UK
Fran
ce
Indi
a
Braz
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Cana
da
Sout
h Ko
rea
Aust
ralia
Mex
ico
Russ
ia
Turk
ey
Switz
erla
nd
Bloomberg Commodity 78% 45% 2% 54% 18% 69% -34% 22% 66% 20% 35% 5% -14% 5% 67%Energy 75% 29% 8% 49% 3% 63% -42% 34% 67% 19% 38% 20% 0% 20% 68%
Petroleum 80% 41% 5% 57% 16% 71% -36% 26% 65% 16% 35% 14% -4% 10% 71%Agriculture 47% 64% 9% 50% 39% 55% 0% 7% 39% 28% 13% -11% -33% -15% 34%
Grains 42% 62% 6% 52% 34% 54% -4% 5% 33% 19% 14% -14% -27% -16% 28%Industrial Metals 50% 20% -5% 23% 9% 34% -23% -9% 32% -7% 14% -11% -10% -11% 42%Precious Metals 40% 33% -31% 27% 41% 51% 0% -9% 30% 19% 23% -32% -19% -31% 36%
Softs 32% 35% 7% 20% 32% 31% 6% 14% 36% 34% 6% 7% -26% 1% 29%Livestock 38% 34% 22% 30% -1% 26% -36% 20% 36% -1% 15% 6% -21% 6% 19%
Natural Gas 53% 13% 27% 25% -14% 32% -36% 36% 54% 24% 26% 28% 3% 26% 46%WTI Crude 79% 39% 9% 55% 14% 70% -37% 25% 64% 15% 34% 17% 1% 13% 72%
Brent Crude 81% 39% 0% 59% 23% 72% -34% 18% 65% 16% 35% 14% -1% 11% 73%ULS Diesel 81% 47% 3% 59% 21% 74% -36% 29% 68% 17% 41% 7% -10% 3% 70%
Unleaded Gasoline 77% 39% -6% 55% 18% 68% -31% 24% 65% 16% 30% 7% -10% 8% 61%Corn 40% 58% 6% 49% 48% 47% 6% -1% 34% 20% 17% -9% -20% -13% 18%
Soybeans 34% 57% 8% 44% 24% 51% -2% 13% 25% 22% 6% -15% -33% -17% 26%Wheat 38% 52% 2% 46% 14% 44% -19% 2% 30% -1% 19% -23% -19% -22% 29%
Soybean Oil 48% 56% 1% 49% 29% 61% -1% 2% 34% 36% 16% -21% -29% -16% 36%Soybean Meal 22% 45% 2% 37% 13% 40% -17% 14% 19% 0% 15% -19% -35% -20% 22%HRW Wheat 54% 53% 12% 54% 28% 54% -16% -5% 43% 13% 25% -11% -15% -14% 44%
Copper 54% 28% -5% 29% 15% 42% -17% -10% 29% -2% 16% -13% -15% -18% 45%Alumnium 62% 24% 5% 33% 9% 44% -29% -1% 47% 4% 20% -7% -5% 0% 54%
Zinc 23% 0% -1% -3% -3% 0% -12% -16% 5% -19% -8% -1% -9% -7% 11%Nickel 29% 2% -17% 5% -3% 20% -30% 0% 27% -20% 11% -11% 0% -6% 28%Gold 39% 33% -33% 27% 39% 54% -4% -1% 32% 8% 32% -39% -20% -40% 37%Silver 39% 29% -21% 24% 35% 39% 2% -17% 25% 29% 9% -16% -14% -14% 31%Sugar 40% 15% -18% 19% 17% 38% -11% 27% 43% 23% 33% -5% -27% -4% 36%Coffee 21% 34% 41% 13% 27% 9% 6% -1% 16% 29% -29% 33% -9% 14% 19%Cotton 18% 37% -1% 3% 29% 14% 19% 10% 26% 4% 6% -9% -12% -19% 11%
Live Cattle 32% 30% 24% 21% -9% 27% -42% 26% 38% -1% 9% 1% -11% 0% 16%Lean Hogs 32% 30% 11% 31% 6% 22% -23% 13% 26% -2% 20% 3% -32% 5% 15%
BCO
M C
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sites
BCO
M S
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5-Year
CPI by CountryBC
OM
Com
posit
esBC
OM
Sin
gles
Benc
hmar
ks
20-Year
CPI by Country
18
CORRELATION: World GDP vs. BCOM Indices & Other Benchmarks
US
Chin
a
Japa
n
Ger
man
y
UK
Fran
ce
Indi
a
Braz
il
Italy
Cana
da
Sout
h Ko
rea
Aust
ralia
Mex
ico
Spai
n
Russ
ia
Indo
nesi
a
Turk
ey
Net
herla
nds
Switz
erla
nd
Bloomberg Commodity 21% 75% 20% -17% 25% -8% 64% 49% -51% 64% -4% -4% 12% -53% 68% 7% -17% -67% 20%Energy 30% 61% 6% -7% 31% -12% 52% 59% -43% 66% 6% -21% 3% -49% 63% -1% -21% -72% 42%
Petroleum 32% 73% -4% -19% 32% -27% 69% 64% -62% 61% -10% -15% 18% -71% 78% 0% -34% -87% 34%Agriculture -18% 53% 18% -26% 23% 5% 48% 40% -44% 41% -4% 20% -4% -47% 54% 10% -3% -36% -2%
Grains -30% 46% 4% -40% 17% 0% 40% 46% -49% 31% -6% 6% -9% -61% 48% 8% 0% -42% 2%Industrial Metals 29% 46% 30% -8% 4% 3% 28% 9% -9% 35% -14% -29% 22% -11% 17% 6% -8% -35% 5%Precious Metals 4% 59% 25% -17% -9% -10% 57% 3% -53% 10% -34% 39% 33% -40% 44% 9% -11% -26% -31%
Softs 13% 43% 35% 17% 21% 13% 44% 8% -15% 34% -3% 42% 12% 2% 40% 7% -8% -8% -9%Livestock 39% 29% 5% 3% 30% -9% 23% 24% -18% 42% -12% -16% 18% -7% 27% 2% -32% -37% 28%
Natural Gas 19% 12% 27% 24% 12% 21% -3% 20% 14% 45% 41% -18% -26% 18% 10% -2% 14% -10% 35%WTI Crude 35% 65% -3% -12% 34% -24% 62% 61% -52% 58% -9% -18% 17% -61% 70% -1% -35% -82% 37%
Brent Crude 33% 80% 0% -21% 27% -27% 77% 61% -68% 63% -10% -7% 23% -74% 83% 0% -32% -88% 28%ULS Diesel 32% 86% 3% -23% 20% -28% 81% 58% -70% 65% -9% -8% 28% -77% 85% 1% -28% -92% 27%
Unleaded Gasoline 22% 82% -4% -28% 24% -25% 78% 65% -75% 62% -16% -6% 20% -85% 87% 0% -30% -88% 26%Corn -30% 56% 16% -30% 0% 4% 50% 42% -55% 23% -8% 21% -6% -63% 52% 5% 10% -41% -6%
Soybeans -11% 41% -4% -37% 37% -15% 39% 50% -42% 45% 2% -4% -3% -53% 53% 15% -16% -46% 10%Wheat -47% -6% -9% -37% 16% 19% -14% 24% -6% 8% 0% -17% -34% -22% -4% 1% 9% -1% 8%
Soybean Oil -21% 58% 25% -9% 1% 8% 61% 24% -44% 25% -13% 49% 13% -46% 57% 9% 5% -24% -25%Soybean Meal -10% 16% -18% -46% 34% -23% 12% 37% -28% 30% -1% -28% -3% -38% 26% 16% -17% -35% 12%HRW Wheat -17% 44% 12% -37% 23% 14% 30% 43% -34% 43% -1% -17% -14% -45% 36% -1% -4% -46% 17%
Copper 21% 69% 26% -18% 1% -8% 53% 23% -30% 53% -12% -23% 34% -40% 44% 6% -7% -56% 5%Alumnium 25% 34% 46% 9% -7% 15% 18% -8% 7% 10% -15% -10% 14% 11% -4% 3% 1% -11% -10%
Zinc 29% 13% 20% -1% 7% -2% -5% -3% 13% 21% -12% -47% 12% 13% -14% 12% -1% -13% 9%Nickel 36% 32% 13% -13% 18% 3% 18% 17% -10% 31% -11% -38% 12% -8% 16% 3% -20% -38% 18%Gold 5% 55% 19% -18% -9% -15% 54% 6% -58% 3% -40% 38% 33% -43% 43% 9% -14% -28% -29%Silver 3% 61% 34% -14% -9% 1% 56% -4% -40% 21% -21% 38% 28% -29% 42% 7% -5% -19% -32%Sugar 4% 53% 15% 0% 17% -10% 61% 24% -44% 25% -11% 54% 20% -37% 63% 12% -17% -25% -18%Coffee 25% 21% 30% 17% 16% 11% 14% -3% -3% 20% -14% 11% 12% 21% 8% 3% -12% -3% 2%Cotton -6% 24% 39% 24% 10% 39% 22% -5% 29% 48% 47% 24% -14% 24% 21% 2% 29% 13% 1%
Live Cattle 33% 10% 12% 8% -2% 0% 0% -8% 3% 9% -22% -30% 26% 16% -13% 0% -12% -18% 13%Lean Hogs 27% 33% -4% -3% 47% -13% 35% 46% -32% 52% 1% 4% 1% -27% 52% 1% -36% -38% 30%
S&P 500 Total Return Index 21% 19% 0% 0% 21% -2% 10% 31% 9% 34% 22% -48% -12% -11% 11% 4% -6% -43% 39%Bloomberg US Treasury -19% 25% 32% 10% -16% 32% 30% 4% -15% -8% -12% 56% 22% -3% 21% -5% 5% -1% -32%
Bloomberg USD IG Corporate -11% 10% 3% -14% 25% -8% 18% 18% -31% -20% -16% 42% -11% -22% 20% -1% -36% -13% -20%Bloomberg USD HY Corporate 21% 1% -26% -25% 43% -48% 5% 18% -36% -5% -13% -6% -35% -30% 12% 13% -32% -21% 8%
Bloomberg U.S. Dollar Spot -21% -65% -12% 10% -32% 13% -64% -42% 51% -61% 1% -24% -10% 48% -73% -5% 29% 48% -11%
US
Chin
a
Japa
n
Ger
man
y
UK
Fran
ce
Cana
da
Sout
h Ko
rea
Aust
ralia
Mex
ico
Spai
n
Switz
erla
nd
Bloomberg Commodity 41% 48% 13% 29% 32% 34% 54% 3% 0% 39% 32% 39%Energy 36% 15% 6% 9% 24% 22% 39% 3% -6% 23% 33% 23%
Petroleum 37% 28% 8% 13% 25% 21% 45% 6% -5% 28% 25% 30%Agriculture 9% 50% 2% 22% 13% 16% 38% -15% 3% 29% -2% 19%
Grains 2% 43% -1% 13% 7% 11% 32% -13% 4% 21% -6% 12%Industrial Metals 48% 66% 27% 50% 39% 50% 51% 15% 4% 48% 42% 60%Precious Metals 11% 65% 1% 24% 8% 11% 31% 6% 2% 23% -9% 21%
Softs 18% 35% 3% 30% 18% 22% 34% -11% -2% 34% 4% 22%Livestock 45% 14% 20% 27% 36% 34% 24% 6% 13% 31% 32% 37%
Natural Gas 27% -6% 3% 0% 13% 19% 19% -14% -9% 12% 38% 10%WTI Crude 38% 27% 7% 13% 25% 21% 44% 8% -3% 26% 28% 29%
Brent Crude 38% 32% 7% 16% 26% 22% 49% 11% -3% 30% 22% 34%ULS Diesel 33% 29% 6% 11% 21% 15% 41% 3% -9% 26% 19% 28%
Unleaded Gasoline 39% 28% 11% 19% 29% 27% 51% 4% -6% 34% 19% 34%Corn -5% 27% -6% 7% -9% 4% 19% -20% 4% 14% -18% 1%
Soybeans 8% 39% 2% 8% 13% 10% 36% -11% 5% 26% -6% 12%Wheat 1% 49% 4% 24% 16% 13% 32% -4% -2% 14% 9% 20%
Soybean Oil 10% 56% -2% 14% 13% 12% 32% -14% 9% 18% 8% 13%Soybean Meal -2% 25% 2% 7% 7% 6% 30% -2% -6% 22% -14% 15%HRW Wheat 8% 56% 1% 27% 18% 18% 38% -6% -6% 21% 12% 24%
Copper 42% 68% 23% 47% 34% 42% 50% 13% 1% 47% 32% 55%Alumnium 48% 51% 20% 44% 34% 47% 43% 6% 4% 40% 47% 52%
Zinc 48% 53% 36% 55% 38% 52% 40% 12% 5% 53% 41% 61%Nickel 47% 56% 29% 44% 43% 52% 53% 28% 9% 41% 42% 55%Gold 2% 64% 2% 16% 4% -3% 23% 13% -3% 14% -16% 13%Silver 24% 58% 1% 35% 13% 32% 40% -3% 7% 34% 6% 32%Sugar 7% 24% 0% 15% 6% 5% 18% -11% -16% 17% -1% 9%Coffee 27% 27% 4% 19% 14% 24% 26% -10% 12% 38% 11% 31%Cotton 15% 25% 9% 37% 17% 28% 40% 1% -8% 29% 0% 23%
Live Cattle 47% 20% 18% 27% 34% 39% 28% 8% 14% 34% 37% 38%Lean Hogs 30% 7% 19% 19% 30% 19% 13% 1% 8% 20% 17% 28%
20-Year
BCO
M C
ompo
sites
BCO
M S
ingl
es
GDP by Country
5-Year
GDP by CountryBC
OM
Com
posit
esBC
OM
Sin
gles
Benc
hmar
ks
19
COMMITMENT OF TRADERS: Commodity Futures & Options, Money ManagersCOT <GO> * Click hyperlinks to open in Bloomberg
Group CommodityEnd-Sep Net
PositionEnd-Aug Net
Position
Notional Change ($m) using end-
Sep price
End-Sep Notional ($m)
Natural Gas 124,065 -35,338 4,632 3,605 WTI Crude 181,452 244,102 -3,022 8,753
Brent Crude 312,102 386,478 -3,649 15,312 ULS Diesel -2,392 22,045 -1,579 -155 Gasoline 23,089 15,079 492 1,419
Total -3,125 28,935 Corn -176,844 -153,942 -386 -2,978
Soybeans 57,652 127,298 -3,322 2,750 Wheat -131,417 -103,977 -552 -2,641
Soybean Oil 94,192 75,998 363 1,879 Soybean Meal 11,700 49,883 -1,137 349 HRW Wheat -5,498 -14,585 189 -114
Total -4,845 -756 Copper 2,896 -4,991 436 160
Aluminum 115,814 150,753 -1,452 4,813 Zinc 76,234 78,382 -126 4,480
Nickel 63,316 60,633 167 3,950 Total -975 13,403 Gold 261,892 264,954 -402 34,394 Silver 77,894 78,992 -105 7,483 Total -508 41,878 Sugar 286,248 281,409 125 7,374 Coffee 44,682 31,751 735 2,539 Cotton 72,016 61,657 354 2,459 Total 1,213 12,372
Live Cattle 33,037 40,923 -312 1,307Lean Hogs 26,315 38,926 -247 516
Total -559 1,823Total -8,799 97,654
HISTORICAL CORRELATION: BCOM Indices vs. Money Manager Positions
1-Year 5-Year 1-Year 5-Year 1-Year 5-Year Natural Gas 24% 24% -32% -35% 41% 45% WTI Crude 20% 27% -55% -49% 60% 52%
Brent Crude 30% 28% -59% -43% 54% 40% ULS Diesel -5% 22% -50% -36% 46% 42% Gasoline 49% 30% -57% -23% 63% 40%
Corn 61% 54% -62% -51% 64% 62% Soybeans 51% 62% -48% -54% 61% 69%
Wheat 69% 52% -70% -62% 74% 66% Soybean Oil 52% 51% -69% -61% 74% 67%
Soybean Meal 55% 54% -64% -44% 75% 63% HRW Wheat 7% 21% -47% 49% 50%
Copper 32% 45% -63% -55% 63% 57% Aluminum 26% -23% 41%
Zinc 48% -14% 70% Nickel 25% -43% 60% Gold 82% 68% -49% -58% 79% 71% Silver 56% 54% -46% -45% 60% 58% Sugar 56% 51% -69% -61% 68% 65% Coffee 64% 47% -67% -64% 74% 66% Cotton 60% 59% -48% -50% 66% 64%
Live Cattle 30% 22% -13% -5% 30% 18%Lean Hogs -3% 14% 1% -12% -2% 10%
Livestock
Energy
Grains
Industrial Metals
Precious Metals
Softs
Grains
Industrial Metals
Precious Metals
Softs
Livestock
CommodityLong Position Short Position Net Position
Energy
Group
20
Gasoline Corn
COMMITMENT OF TRADERS: Money Manager Net Positions vs. BCOM LevelsNatural Gas WTI Crude
Brent Crude ULS Diesel
Soybeans Wheat
Soybean Oil Soybean Meal
HRW Wheat
0
20
40
60
80
100
-300000
-200000
-100000
0
100000
200000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
500
1000
1500
2000
2500
0
100000
200000
300000
400000
500000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
500
1000
1500
2000
0
100000
200000
300000
400000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
200
400
600
800
1000
-60000-40000-20000
0200004000060000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
500
1000
1500
-200000
20000400006000080000
100000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
20
40
60
80
-400000
-200000
0
200000
400000
600000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
200
400
600
800
-200000
-100000
0
100000
200000
300000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
50
100
150
-150000
-100000
-50000
0
50000
100000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
050100150200250300
-100000
-50000
0
50000
100000
150000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
500
1000
1500
2000
-100000
-50000
0
50000
100000
150000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
100
200
300
400
500
-40000-20000
020000400006000080000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
21
Copper Aluminum
Zinc Nickel
Gold Silver
Sugar Coffee
Cotton Live Cattle
Lean Hogs
020040060080010001200
-40000
-20000
0
20000
40000
60000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
50
100
150
200
0
50000
100000
150000
200000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
100
200
300
400
020000400006000080000
100000120000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
020040060080010001200
0
20000
40000
60000
80000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
100
200
300
400
500
-100000
0
100000
200000
300000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
020040060080010001200
-200000
20000400006000080000
100000120000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
200
400
600
800
-200000-100000
0100000200000300000400000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
020406080100120
-40000-20000
020000400006000080000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
020406080100120
-40000-20000
020000400006000080000
100000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
50
100
150
200
250
-50000
0
50000
100000
150000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
0
20
40
60
80
0
50000
100000
150000
200000
06 07 08 09 10 11 12 13 14 15 16
Money Manager's Net Position Index Level
22
COMMODITY INVENTORY & SALESECO17 <GO> * Click hyperlinks to open in Bloomberg
Group Inventory/Sales Ticker Unit End-Sep End-Aug Change (%)
DOE Natural Gas Total Inventory DOENUST1 bcf 3,600 3,350 7%DOE Crude Oil Total Inventory DOESCRUD mm barrels 503 524 -4%DOE Cushing Oklahoma Crude Oil Total Stocks DOESCROK mm barrels 62 65 -4%DOE Distillate Fuel Oil Total Inventory DOESDIST mm barrels 163 153 6%DOE Motor Gasoline Total Inventory DOESTMGS mm barrels 227 233 -2%USDA Corn Total Export Sales SALECNUM thousand MT 575 1,131 -49%USDA Soybeans Total Export Sales SALESYBN thousand MT 1,693 2,055 -18%USDA All Wheat Total Export Sales SALEWEAL thousand MT 571 380 50%USDA Soybean Oil Total Export Sales SALESYOL thousand MT 17 4 354%USDA Soybean Cake Meal Total Export Sales SALESCML thousand MT 89 214 -58%Comex Copper Total Inventory COMXCOPR thousand short ton 71 67 5%LME Copper Total Inventory NLSCA thousand MT 379 283 34%LME Primary Aluminum Total Inventory NLSAH thousand MT 2,129 2,240 -5%LME Zinc Total Inventory NLSZS thousand MT 440 453 -3%LME Nickel Total Inventory NLSNI thousand MT 362 371 -2%Comex Gold Total Inventory COMXGOLD mm ounces 11 11 -3%Comex Silver Total Inventory COMXSILV mm ounces 173 162 7%
Softs USDA All Upland Cotton Total Export Sales SALECNUA thousand bales 103 294 -65%USDA Cattle Slaughter Estimates Daily SLGTCATT thousand heads 49 113 -57%USDA Hogs Slaughter Estimates Daily SLGTHOGS thousand heads 242 435 -44%
HISTORICAL CORRELATION: Inventory & Sales vs. BCOM Indices
Group Inventory/Sales 1-Year 5-YearDOE Natural Gas Total Inventory 75% -4%DOE Crude Oil Total Inventory -51% -92%DOE Cushing Oklahoma Crude Oil Total Stocks -81% -77%DOE Distillate Fuel Oil Total Inventory -83% -74%DOE Motor Gasoline Total Inventory -82% -53%USDA Corn Total Export Sales -5% -39%USDA Soybeans Total Export Sales 15% -6%USDA All Wheat Total Export Sales -22% 19%USDA Soybean Oil Total Export Sales -29% -11%USDA Soybean Cake Meal Total Export Sales 12% 7%Comex Copper Total Inventory -60% 20%LME Copper Total Inventory 28% 29%LME Primary Aluminum Total Inventory -56% 71%LME Zinc Total Inventory -46% 35%LME Nickel Total Inventory -39% -75%Comex Gold Total Inventory 78% 87%Comex Silver Total Inventory -51% -73%
Softs USDA All Upland Cotton Total Export Sales 5% -2%USDA Cattle Slaughter Estimates Daily -37% -23%USDA Hogs Slaughter Estimates Daily 11% -18%
BCOM Index
BCOM WTI Crude IndexBCOM WTI Crude IndexBCOM ULS Diesel Index
BCOM Silver IndexBCOM Gold Index
BCOM Cotton IndexBCOM Live Cattle IndexBCOM Lean Hogs Index
BCOM Natural Gas Index
BCOM Unleaded Gasoline Index
BCOM Copper IndexBCOM Copper IndexBCOM Alumnium IndexBCOM Zinc IndexBCOM Nickel Index
BCOM Corn IndexBCOM Soybeans IndexBCOM Wheat IndexBCOM Soybean Oil IndexBCOM Soybean Meal Index
Livestock
Livestock
Energy
Grains
Industrial Metals
Precious Metals
Energy
Grains
Industrial Metals
Precious Metals
23
Soybeans Wheat
Soybean Oil Soybean Meal
COMMODITY INVENTORY & SALES vs. BCOM INDICESNatural Gas WTI Crude
WTI Crude ULS Diesel
Gasoline Corn
0
50
100
150
200
250
300
350
0500
1000150020002500300035004000
93 95 97 99 01 03 05 07 09 11 13 15
DOE Natural Gas Total Inventory BCOM Natural Gas Index
0
500
1000
1500
2000
250000
300000
350000
400000
450000
500000
550000
91 93 95 97 99 01 03 05 07 09 11 13 15
DOE Crude Oil Total Inventory BCOM WTI Crude Index
0
500
1000
1500
2000
0
10000
20000
30000
40000
50000
60000
70000
04 05 06 07 08 09 10 11 12 13 14 15 16
DOE Cushing Oklahoma Crude Oil Total Stocks BCOM WTI Crude Index
0
200
400
600
800
1000
80000
100000
120000
140000
160000
180000
91 93 95 97 99 01 03 05 07 09 11 13 15
DOE Distillate Fuel Oil Total Inventory BCOM ULS Diesel Index
0
200
400
600
800
1000
1200
1400
150000
170000
190000
210000
230000
250000
91 93 95 97 99 01 03 05 07 09 11 13 15
DOE Motor Gasoline Total Inventory BCOM Unleaded Gasoline Index
020406080100120140160
0
500
1000
1500
2000
2500
91 93 95 97 99 01 03 05 07 09 11 13 15
USDA Corn Total Export Sales BCOM Corn Index
0
100
200
300
400
500
600
700
0
500
1000
1500
2000
2500
3000
91 93 95 97 99 01 03 05 07 09 11 13 15
USDA Soybeans Total Export Sales BCOM Soybeans Index
0
50
100
150
200
250
300
-500
0
500
1000
1500
2000
91 93 95 97 99 01 03 05 07 09 11 13 15
USDA All Wheat Total Export Sales BCOM Wheat Index
0
50
100
150
200
250
300
-50
0
50
100
150
200
250
07 08 09 10 11 12 13 14 15 16
USDA Soybean Oil Total Export Sales BCOM Soybean Oil Index
0
500
1000
1500
2000
0
100
200
300
400
500
07 08 09 10 11 12 13 14 15 16
USDA Soybean Cake Meal Total Export Sales BCOM Soybean Meal Index
24
Silver Cotton
Live Cattle Lean Hogs
Copper Copper
Aluminum Zinc
Nickel Gold
0
200
400
600
800
1000
1200
0
100000
200000
300000
400000
500000
92 94 96 98 00 02 04 06 08 10 12 14 16
Comex Copper Total Inventory BCOM Copper Index
0
200
400
600
800
1000
1200
0
200000
400000
600000
800000
1000000
91 93 95 97 99 01 03 05 07 09 11 13 15
LME Copper Total Inventory BCOM Copper Index
0
50
100
150
200
0
1000000
2000000
3000000
4000000
5000000
6000000
91 93 95 97 99 01 03 05 07 09 11 13 15
LME Primary Aluminum Total Inventory BCOM Alumnium Index
050100150200250300350400
0
200000
400000
600000
800000
1000000
1200000
1400000
91 93 95 97 99 01 03 05 07 09 11 13 15
LME Zinc Total Inventory BCOM Zinc Index
0
200
400
600
800
1000
1200
0
100000
200000
300000
400000
500000
91 93 95 97 99 01 03 05 07 09 11 13 15
LME Nickel Total Inventory BCOM Nickel Index
0
100
200
300
400
500
0
2000000
4000000
6000000
8000000
10000000
12000000
14000000
92 94 96 98 00 02 04 06 08 10 12 14 16
Comex Gold Total Inventory BCOM Gold Index
0
200
400
600
800
1000
0
50000
100000
150000
200000
250000
300000
92 94 96 98 00 02 04 06 08 10 12 14 16
Comex Silver Total Inventory BCOM Silver Index
0
20
40
60
80
100
120
-200
0
200
400
600
800
1000
07 08 09 10 11 12 13 14 15 16
USDA All Upland Cotton Total Export Sales BCOM Cotton Index
0
50
100
150
200
250
0
20000
40000
60000
80000
100000
120000
140000
99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16
USDA Cattle Slaughter Estimates Daily BCOM Live Cattle Index
0
20
40
60
80
100
0
100000
200000
300000
400000
500000
99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16
USDA Hogs Slaughter Estimates Daily BCOM Lean Hogs Index
25
COMMODITY FUND FLOWS FOR US-LISTED ETPsXLTP XETFM <GO>
Report Period: 31 Aug 2016 - 30 Sep 2016
SectorNet Flows
($m)
Beginning Fund Market Cap
($m)
% of Funds Market Cap
Broad Based -313.4 6,794.8 -4.6%Energy 337.9 8,782.8 3.8%
Agriculture -22.3 1,509.4 -1.5%Livestock 1.1 19.4 5.4%
Industrial Metals -20.5 293.2 -7.0%Precious Metals -198.8 61,109.1 -0.3%
Commodity -216.1 78,508.6 -0.3%
Top 10 Creations * Click hyperlinks to open in Bloomberg
Name TickerNet Flows
($m)
Beginning Fund Market Cap
($m)
% of Funds Market Cap
VelocityShares 3x Long Crude ETN UWTI US 246.5 1,165.6 21.1%United States Oil Fund LP USO US 192.8 3,101.0 6.2%
iShares Silver Trust SLV US 102.4 6,655.4 1.5%ProShares Ultra Bloomberg Crude Oil UCO US 79.1 910.8 8.7%
iShares Gold Trust IAU US 57.0 9,504.7 0.6%VelocityShares 3x Inverse Natural Gas ETN DGAZ US 33.3 141.9 23.4%
United States Natural Gas Fund LP UNG US 20.1 544.5 3.7%ETFS Physical Precious Metal Basket Shares GLTR US 13.6 259.8 5.2%
iPath Goldman Sachs Crude Oil Total Return Index ETN OIL US 5.8 784.9 0.7%PowerShares DB Energy Fund DBE US 4.7 116.3 4.0%
Top 10 Redemptions
Name TickerNet Flows
($m)
Beginning Fund Market Cap
($m)
% of Funds Market Cap
SPDR Gold Shares GLD US -240.5 40,234.7 -0.6%PowerShares DB Commodity Index Tracking Fund DBC US -158.7 2,449.9 -6.5%
VelocityShares 3x Long Natural Gas ETN UGAZ US -122.1 345.0 -35.4%First Trust Global Tactical Commodity Strategy Fund FTGC US -105.7 345.3 -30.6%
VelocityShares 3x Inverse Crude ETN DWTI US -66.9 494.4 -13.5%ProShares UltraShort Bloomberg Crude Oil SCO US -47.2 192.4 -24.5%
PowerShares DB Gold Fund DGL US -42.4 262.8 -16.1%PowerShares DB Base Metals Fund DBB US -19.1 195.3 -9.8%
United States Commodity Index Fund USCI US -16.6 684.4 -2.4%PowerShares DB Precious Metals Fund DBP US -16.6 305.0 -5.4%
26
COMMODITY FUTURES TERM STRUCTUREENERGY GROUP
GRAINS GROUP
1.5
2.5
3.5
4.5
5.5
OCT
16
JUL
17AP
R 18
JAN
19
OCT
19
JUL
20AP
R 21
JAN
22
OCT
22
JUL
23AP
R 24
JAN
25
OCT
25
JUL
26AP
R 27
JAN
28
OCT
28
Natural Gas
31-Aug-2016
30-Sep-20163035404550556065
OCT
16
FEB
17JU
N 1
7O
CT 1
7FE
B 18
JUN
18
OCT
18
FEB
19JU
N 1
9O
CT 1
9FE
B 20
JUN
20
OCT
20
FEB
21JU
N 2
1O
CT 2
1DE
C 22
WTI Crude
31-Aug-2016
30-Sep-2016
3035404550556065
OCT
16
MAR
17
AUG
17JA
N 1
8JU
N 1
8N
OV
18AP
R 19
SEP
19FE
B 20
JUL
20DE
C 20
MAY
21
OCT
21
MAR
22
AUG
22JA
N 2
3Brent Crude
31-Aug-2016
30-Sep-2016100120140160180200
SEP
16
DEC
16
MAR
17
JUN
17
SEP
17
DEC
17
MAR
18
JUN
18
SEP
18
DEC
18
MAR
19
JUN
19
SEP
19
DEC
19
ULS Diesel
31-Aug-2016
30-Sep-2016
100120140160180200
SEP
16
DEC
16
MAR
17
JUN
17
SEP
17
DEC
17
MAR
18
JUN
18
SEP
18
DEC
18
MAR
19
JUN
19
Unleaded Gasoline
31-Aug-2016
30-Sep-2016
290295300305310315
SEP
16
DEC
16
MAR
17
JUL
17
SEP
17
DEC
17
MAR
18
JUL
18
SEP
18
DEC
18
OCT
19
Soybean Meal
31-Aug-2016
30-Sep-2016350
400
450
500
550
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
DEC
17
MAR
18
MAY
18
JUL
18
SEP
18
HRW Wheat
31-Aug-2016
30-Sep-2016
300
350
400
450
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
DEC
17
MAR
18
MAY
18
JUL
18
SEP
18
DEC
18
JUL
19
Corn
31-Aug-2016
30-Sep-2016800
900
1000
1100
1200
SEP
16N
OV
16JA
N 1
7M
AR 1
7M
AY 1
7JU
L 17
AUG
17SE
P 17
NO
V 17
JAN
18
MAR
18
MAY
18
JUL
18AU
G 18
SEP
18N
OV
18JU
L 19
Soybeans
31-Aug-2016
30-Sep-2016
350400450500550600
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
DEC
17
MAR
18
MAY
18
JUL
18
SEP
18
Wheat
31-Aug-2016
30-Sep-201631.5
3232.5
3333.5
3434.5
SEP
16
DEC
16
MAR
17
JUL
17
SEP
17
DEC
17
MAR
18
JUL
18
SEP
18
DEC
18
OCT
19
Soybean Oil
31-Aug-2016
30-Sep-2016
27
INDUSTRIAL METALS GROUP
PRECIOUS METALS GROUP
SOFTS GROUP
LIVESTOCK GROUP
195200205210215220225230
SEP
16
DEC
16
MAR
17
JUN
17
SEP
17
DEC
17
MAR
18
JUN
18
SEP
18
MAY
19
DEC
19
JUL
20
MAR
21
Copper
31-Aug-2016
30-Sep-2016130015001700190021002300
SEP
16M
AY 1
7JA
N 1
8SE
P 18
MAY
19
JAN
20
SEP
20M
AY 2
1JA
N 2
2SE
P 22
MAY
23
JAN
24
SEP
24M
AY 2
5JA
N 2
6SE
P 26
Aluminum
31-Aug-2016
30-Sep-2016
1250
1300
1350
1400
1450
SEP
16
NO
V 16
FEB
17
JUN
17
OCT
17
FEB
18
JUN
18
JUN
19
JUN
20
JUN
21
JUN
22
Gold
31-Aug-2016
30-Sep-201617.5
1818.5
1919.5
2020.5
21
SEP
16
NO
V 16
JAN
17
MAY
17
SEP
17
JAN
18
MAY
18
DEC
18
DEC
19
DEC
20
Silver
31-Aug-2016
30-Sep-2016
1012141618202224
OCT
16
MAR
17
MAY
17
JUL
17
OCT
17
MAR
18
MAY
18
JUL
18
OCT
18
MAR
19
MAY
19
Sugar
31-Aug-2016
30-Sep-2016110120130140150160170180
SEP
16DE
C 16
MAR
17
MAY
17
JUL
17SE
P 17
DEC
17M
AR 1
8M
AY 1
8JU
L 18
SEP
18DE
C 18
MAR
19
MAY
19
Coffee
31-Aug-2016
30-Sep-2016
40
50
60
70
80
OCT
16
DEC
16
FEB
17
APR
17
MAY
17
JUN
17
JUL
17
AUG
17
OCT
17
DEC
17
FEB
18
Lean Hogs
31-Aug-2016
30-Sep-201660708090
100110120
AUG
16
OCT
16
DEC
16
FEB
17
APR
17
JUN
17
AUG
17
Live Cattle
31-Aug-2016
30-Sep-2016
21002150220022502300235024002450
SEP
16JA
N 1
7M
AY 1
7SE
P 17
JAN
18
MAY
18
SEP
18JA
N 1
9M
AY 1
9SE
P 19
JAN
20
MAY
20
SEP
20JA
N 2
1M
AY 2
1SE
P 21
Zinc
31-Aug-2016
30-Sep-201690009500
10000105001100011500
SEP
16JA
N 1
7M
AY 1
7SE
P 17
JAN
18
MAY
18
SEP
18JA
N 1
9M
AY 1
9SE
P 19
JAN
20
MAY
20
SEP
20JA
N 2
1M
AY 2
1SE
P 21
Nickel
31-Aug-2016
30-Sep-2016
6364656667686970
OCT
16
DEC
16
MAR
17
MAY
17
JUL
17
OCT
17
DEC
17
MAR
18
MAY
18
JUL
18
OCT
18
DEC
18
MAR
19
MAY
19
Cotton
31-Aug-2016
30-Sep-2016
28
BLOOMBERG INTELLIGENCE: COMMODITY DASHBOARDS BI <GO> * Click hyperlinks to open in Bloomberg
Crude Oil Production: BI OILS <GO> Natural Gas Production: BI NGAS <GO>
Precious Metal Mining: BI PMET <GO> Agricultural Chemicals: BI AGCH <GO>
Copper: BI COPP <GO> Aluminum: BI ALUM <GO>
BI provides analysis on several key drivers of BCOM performance; industrial and precious metals mining, oil and natural gas production, and agricultural chemicals. The dashboards include key macro data libraries and interactive charting and commentary from analysts with an average of seventeen years of experience.
29
COMMODITY CHEAT SHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICE
* Click hyperlinks to open in Bloomberg
Broad Commodities EnergyTop commodity news CTOP Top energy news ETOPGlobal commodity prices GLCO Top oil news OTOP Commodity playbook CPLY Crude Oil Production Dashboard BI OILSCommitments of traders report COT First Word oil NI BFWOIL Calendar of commodity events ECO17 News on oil inventories TNI OIL INV Commodity arbitrage calculator CARC Oil Buyer's Guide newsletter NI OBGBRIEFCommodity fundamental data explorer FDM Pipes & Wires newsletter NI PAWSBRIEFCommodity futures overview CMBQ Oil market analysis BOILSecurity finder SECF Nat gas spot prices BGASCommodity data contributors & broker CDAT Forward European utility markets EUMContract table menu CTM News on oil markets NI OILMARKET Seasonality chart SEAG News on OPEC NI OPEC Commodity curve analysis CCRV OPEC production and prices OPECCommodity fair values CFVL Oil markets menu OIL Commodity price forecasts CPFC Crude stored in tankers NOONCommitments of Traders Report COT Refinery outages REFOCommodity maps BMAP Oil’s decline EXT5 Commodity options monitor OMON Oil versus inflation expectations SWIFCommodities charts COSYCommodity Investors menu CMNV MetalsUS exchange traded product fund flows ETF Top metal news METT
Precious metal dashboard BI PMETGBase metals dashboard BI BMET
Commodity Indices Metals prices and data MINE Index description BCOM Index DES Precious metals prices and rates MTL Index constituent weights BCOM Index MEMB Metals Bulletin MB Listed index futures BCOM Index CT COMEX inventories COMX Option volatility surface BCOM Index OVDV LME monitor LME Seasonality chart BCOMNG Index SEAG LME implied volatilities LMIV Commodity index futures movers FMV LME warehouse inventories LMEI Commodity index ranked returns CRR
AgricultureWeather Top agriculture news YTOP Global weather database WETR Agriculture calendar AGRI US snow monitor SNOW Agriculture spot prices AGGPEU weather & utility models EUMM Agriculture supply & demand AGSD
Crop calendar CCAL
BCOM QUICK FACTS Index Methodology
Weighting Bias 2/3 market liquidity and 1/3 world production No. of Commodities 20 Re-balancing Frequency Annual Roll Schedule Monthly (5 day roll) Caps/Limits Single commodity: max 15%
Single commodity and its derivatives: max 25%Related commodity groups: max 33%
First Value Date 30 December 1990
The data provided in this report can be easily accessed on the Bloomberg Professional® service along with numerous news and analytical tools to help you stay on top of the commodity markets.
30
BLOOMBERG, BLOOMBERG INDICES and BCOM are trademarks or service marks of Bloomberg Finance L.P.
Bloomberg Finance L.P. and its affiliates ("collectively, "Bloomberg") or Bloomberg's licensors own all proprietary
right in the BLOOMBERG INDICES or BCOM. Bloomberg does not guarantee the timeliness, accuracy or
completeness of any data or information relating to BLOOMBERG INDICES or BCOM. Bloomberg makes no
warranty, express or implied, as to the BLOOMBERG INDICES or BCOM or any data or values relating thereto or
results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular
purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual
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Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall
have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential,
incidental, punitive or otherwise - arising in connection with BLOOMBERG INDICES or BCOM or any data or
values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision
of factual information, rather than financial product advice. Nothing in the BLOOMBERG INDICES or BCOM
shall constitute or be construed as an offering of financial instruments or as investment advice or investment
recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into
any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation
as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the
BLOOMBERG INDICES or BCOM should not be considered as information sufficient upon which to base an
investment decision. All information provided by the BLOOMBERG INDICES or BCOM is impersonal and not
tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion
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investment strategy or whether or not to “buy”, “sell” or “hold” an investment. Information available via the
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BLOOMBERG, BLOOMBERG PROFESSIONAL, BLOOMBERG MARKETS, BLOOMBERG NEWS,
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Bloomberg Intelligence is a service provided by Bloomberg Finance L.P. and its affiliates. Bloomberg Intelligence
shall not constitute, nor be construed as, investment advice or investment recommendations (i.e., recommendations
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Bloomberg Intelligence is offered where the necessary legal clearances have been obtained. Bloomberg Intelligence
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31