BLOOMBERG COMMODITY INDEX 1 1 2021 Target Weights 29 October 2020
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BLOOMBERG COMMODITY INDEX
11
2021 Target Weights
29 October 2020
Presenter
Presentation Notes
Emailed 30-question survey on 6/15 to 35 firms Combination of active/passive commodity funds, swap counterparties and commodity exchanges (CME) Received 30 written responses 2 hour Webex with 55 client participants Briefed FCA following day Webex: few faces, mute-all, hand-raise,
BCOM 2021 TARGET WEIGHT SUMMARY
27 commodity contracts tested for inclusion
No new constituent changes; 23 constituents
Precious Metals highest weight in history
Industrial Metals lowest weight in history
Spread widens between WTI and Brent Crude Oil
Increases in Energy, Grains, Softs, and Precious Metals
Decreases with Industrial Metals and Livestock
CALCULATING INTERIM COMMODITY TARGET WEIGHTS
Commodity Futures Prices and Volume(2015-2020)
Commodity Liquidity Percentages (CLP)
Commodity Futures Prices and World Production(2013-2017)
Commodity Productions Percentages (CPP)
2/3 Liquidity1/3 Production Interim Commodity Target Weights
COMMODITIES TESTED FOR INCLUSION
ENERGY INDUSTRIAL METALS GRAINS SOFTS PRECIOUS METALS LIVESTOCK
WTI CRUDE OIL BRENT CRUDE OIL
ULS DIESEL NATURAL GAS
UNLEADED GASOLINELOW SULFUR GAS OIL
ALUMINUMCOPPERNICKELZINCLEADTIN
CORNSOYBEANS
SOYBEAN OILSOYBEAN MEAL
CHICAGO WHEATKC HARD RED WHEAT
COFFEECOTTONSUGARCOCOA
LEAN HOGSLIVE CATTLE
GOLDSILVER
PLATINUM
4 commodities failed the 0.4% Minimum Threshold requirement
STEPS: DIVERSIFICATION BCOM TARGET WEIGHTS
1. Set single commodity and its derivative to a max of 25%
2. Set single commodity max limit of 15%
3. Limit related commodity groups weights to a max of 33%
4. Increase any sector weight under 2% to 2%
5. Set gold and silver weights to equal their CLP
6. Adjust for the Commodity Liquidity Thresholds
2021 BCOM TARGET WEIGHTSCommodity 2021 Target Weight % Group Target Weight %WTI Crude Oil 8.1448320
29.97
Natural Gas 8.0720060Brent Crude Oil 6.8551680Low Sulphur Gas Oil 2.6415190RBOB Gasoline 2.1791840ULS Diesel 2.0820140Soybeans 5.8174090
22.65
Corn 5.5866490Soybean Meal 3.5987640Wheat 2.8850050Soybean Oil 3.1955900HRW Wheat 1.5713880Copper 5.3937680
15.56Aluminum 4.2083970Zinc 3.2468830Nickel 2.7139540Gold 14.6459560
19.00Silver 4.3539140Sugar 2.9870850
7.23Coffee 2.7366190Cotton 1.5110980Live Cattle 3.8464030
5.57Lean Hogs 1.7263950
2020-2021 TARGET WEIGHT PERCENT CHANGES
1.41% 1.93%
1.63%5.75%
3.20%
9.22% 10.25%
7.51%
15.23%
1.31%0.90%
0%
2%
4%
6%
8%
10%
12%
14%
16%
2020 2021
-2.20%
-3.51%
-4.23%
-2.90%
-2.73%
-22.51%
-5.23%-1.34%
-1.50%-5.17%
-4.23%
-0.76%
2021 GROUP TARGET WEIGHT CHANGES
5.80%
7.21%
17.46%
17.40%
22.19%
29.93%
5.57%
7.23%
15.56%
19.00%
22.65%
29.97%
Livestock
Softs
IndustrialMetals
Precious Metals
Grains
Energy
2021
2020
HISTORICAL GROUP WEIGHTS (1999-2021)
0%2%4%6%8%
10%12%14%16%
1999
2000
2001
2002
2003
2004
2004
2005
2006
2007
2008
2009
2009
2010
2011
2012
2013
2014
2014
2015
2016
2017
2018
2019
2019
2020
2021
Energy
WTI Crude Oil Brent Crude Oil Low Sulfer Gas OilULS Diesel RBOB Gasoline Natural Gas
0%1%2%3%4%5%6%7%8%9%
1999
2000
2001
2002
2002
2003
2004
2005
2005
2006
2007
2008
2008
2009
2010
2011
2011
2012
2013
2014
2014
2015
2016
2017
2017
2018
2019
2020
2020
2021
Industrial Metals
Copper (HG) Aluminum Nickel Zinc
0%2%4%6%8%
10%12%14%16%
1999
2000
2001
2002
2002
2003
2004
2005
2005
2006
2007
2008
2008
2009
2010
2011
2011
2012
2013
2014
2014
2015
2016
2017
2017
2018
2019
2020
2020
2021
Precious Metals
Gold Silver
HISTORICAL GROUP WEIGHTS (1999-2021)
0%1%2%3%4%5%6%7%
1999
2000
2001
2002
2002
2003
2004
2005
2005
2006
2007
2008
2008
2009
2010
2011
2011
2012
2013
2014
2014
2015
2016
2017
2017
2018
2019
2020
2020
2021
Livestock
Live Cattle Lean Hogs
0%1%2%3%4%5%6%7%8%9%
10%
1999
2000
2001
2002
2002
2003
2004
2005
2005
2006
2007
2008
2008
2009
2010
2011
2011
2012
2013
2014
2014
2015
2016
2017
2017
2018
2019
2020
2020
2021
Grains
Soybean Oil Soybean Soybean MealCorn Chicago Wheat Kansas City Wheat
0%1%1%2%2%3%3%4%4%5%
1999
2000
2001
2002
2003
2004
2004
2005
2006
2007
2008
2009
2009
2010
2011
2012
2013
2014
2014
2015
2016
2017
2018
2019
2019
2020
2021
Softs
Cocoa Cotton Coffee Sugar
HISTORICAL GROUP WEIGHTS (1999-2021)
0%
5%
10%
15%
20%
25%
30%
35%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
ENERGY
SOFTS
GRAINS
INDUSTRIAL METALS
LIVESTOCK
HISTORICAL SECTOR WEIGHTS (1999-2021)
20%
25%
30%
35%
40%
45%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Agriculture
Energy
Metals
BCOM Contacts
Product ManagementAlan Campbell [email protected] +1-212-617-2765
Index ManagementKen Hoefling [email protected] +1-609-279-3492Greg Grochowicz [email protected] +1-609-279-3592Kyle Nieliwocki [email protected] +1-609-279-3388
SalesPaul Salerno [email protected] +1-212-617-2696
1313
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