attribution & weights 13 volatility 15 correlation 18...
TRANSCRIPT
Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
Finally a Commodity Bottom?
- Commodities outperform most stock and bond indices in June, 2Q and 1H
- Rebalancing appears well underway in most sectors
- Energy - 2Q 2016 was the strongest quarter since 2Q 2008
- Metals - Precious prevail, green shoots may be sprouting in industrials
- Agriculture - Softs were strong, but grains show signs of an early growing season peak
- Commodities diverge with declining bond yields, question of duration
Mike McGlone – BI Senior Analyst; Commodities
Top Performing Asset Class Performance: June +4.1, 2Q +12.8%, 1H +13.3% (returns are total return (TR) unless noted)
Commodities remained among the top performing asset classes in June, the second quarter (2Q) and the first half (1H). Prior to Brexit, the commodity market, as measured by the Bloomberg Commodity Index (BCOM) was showing strong indications of rebalancing with solid gains in most sectors. Post Brexit, the attributes of diversification prevailed, led by the precious metals. Indicative of the period end shift supporting the US Dollar and pressuring the BCOM, the Bloomberg British Pound Index declined 9.5% in June for the worst monthly drop since December 2008. At the conclusion of 1H, the primary BCOM support factors were rebalancing, notably in the energy markets, overall retracement in the value of the US dollar on the back of reduced Federal Reserve (Fed) tightening expectations and declines to negative yields in an increasing portion of developed sovereign debt. Commodities shined as a relatively attractive liquid alternative following years of declines.
BCOM and the S&P 500 Index
The BCOM ended 1H with a gain of +13.3% compared with an increase of 3.8% for the S&P 500 and 5.4% increase in the Bloomberg US Treasury Bond Index.
BCOM strength in 1H diverged with declining bond yields, which are potentially indicating greater disinflationary risks. Declining bond yields and an increasing BCOM are trends that historically have been unsustainable.
Commodities Outperformed in 1H, 2Q and June
Low Prices Have Shifted Supply/Demand Imbalances Next to the precious metals, just as significant in 2Q was the sharp recovery in energy prices as measured by the 20.3% increase in the Bloomberg Energy Index. It was the strongest quarter since the peak in 2Q 2008. In the aftermath of the previous plunge in prices, energy supply and demand forces appeared to have rebalanced to a more neutral condition. Boosted by Brexit, the Bloomberg Precious Metals Index was the overall best performing sector with a 27.1% gain in 1H.
Post Brexit Performance - Precious Metals Prevail
*TY is the front US 10yr note future
On Brexit Friday, gold and silver were the only BCOM commodities that were up on the day. Gold posted its biggest one-day gain since the global financial crisis of 2008 and silver jumped the most in 18 months. Gold and silver, which bottomed within weeks of the December Fed tightening, appear to have anticipated a delayed tightening cycle and potential shift to easing. Less than
Market Commentary 1 Performance 10 Attribution & Weights 13 Volatility 15 Correlation 18 Commitment of Traders 23 Inventories & Sales 27 Term Structures 29 Research Dashboards 30 Cheat Sheet 31
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
ideal growing conditions and previous prices generally below production costs supported the 2Q 12.7% increase in the Bloomberg Agriculture Index which reversed most of the 1Q decline. As 1H concluded, some of the more industrial commodities were among the best performers, indicating potential green shoots. Although gains were limited by Brexit, the Bloomberg Industrial Metals and Energy Indices increased 6.8% and 2.9% respectively in June, indicated a rebalancing of supply and demand forces in the aftermath of the 2014-15 price plunges.
BCOM Sector Performance, 1H, 2Q and June
Commodities diverge with declining bond yields, question of duration - The divergent trend seen in the 1H of declining US Treasury bond yields and the increasing BCOM has rarely been sustainable. Since the beginning of 2014, the year the Fed concluded QE3, the yield on the US Treasury 10yr and BCOM Index have generally trended down in tandem - both have plunged about 50% since their 2014 peaks. This trend is not inflationary. Much of the decline in global bond yields has been due to central bank bond purchases, in some cases resulting in negative bond yields.
Negative yields exist on $9.11 trillion of bonds, worth 27.2% of the par value of $33.47 trillion global developed-market sovereign, high grade corporate and covered bond markets. This compares with $1.66 trillion, 5.4% of the same global bond pool just six months ago, and based on the dollar equivalent par value of bonds within the Bloomberg global bond indices. Negative Yields Exist on
$9.11 Trillion of Bonds And Growing. Richard Salditt, BI Senior Credit Analyst {NSN O94KDR6K50XS <GO>}
Negative bond yields increase the foundation of support for non-income producing assets like commodities, but declining yields generally coincide with disinflation or deflation. Disinflation or deflation is generally synonymous with declining commodity prices. Gold and silver can be considered the quintessential, alternative non-income-producing assets. Classified as currencies on the Bloomberg terminal, gold and silver constitute the Bloomberg Precious Metals Index. Is the BCOM recovery a sign of a brighter global economic future, a blip in the trend, or reflective of an asset class that has reached a trough? Reduced Fed tightening expectations in 2016 have coincided with a retracement
in the US Dollar rally, in place since mid-2014, thus supporting commodities, which are priced in US dollars.
BCOM and Bond Yields Diverge in 1H
In this new normal economy, continued US dollar weakness, potentially on the back of reduced Fed tightening expectations, would likely be a support factor for the BCOM. Increased Fed tightening expectations while most of the rest of the world remains in stimulus mode would likely be a support factor for the US dollar, but BCOM pressure factor. The 2H may determine which asset class prevails.
BCOM Has Gained as the US Dollar has Retraced
BCOM Performance Attribution – Indicative of the broad-based recovery in the commodity market, the precious metals, energy and agriculture sectors accounted for roughly 4.1%, 4.0% and 3.5% of the 13.1% BCOM total return in 1H {PORT <GO>}. Gold was the most significant single component contributor, adding 2.8% to the total. Just behind gold, Brent crude contributed 2.0% and soybeans accounted for 1.8%.
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
BCOM Sector Attribution 1H – {PORT <GO}
Tailwinds Increase in Commodities - Assets tracking the BCOM appear poised to increase. With stock markets teetering (some US indices recently neared historic highs), commodities potentially bottoming from multi-decade lows and global sovereign bond yields extending historic low yields on the back of unprecedented central bank stimulus, the commodity market appears to have developed favorable tail winds.
BCOM Benchmarked Assets (Estimated AUM)
Energy (Index weight: 31.5% of BCOM.Performance: June +2.9%, 2Q +20.3%, 1H +9.1%) *Note index weights are the 1H average
The 2Q Rally was Historic The energy market recovery in 2Q 2016 mirrored the sharp quarterly peak and trough rallies from the 2008-2009 crisis period. Sharp increases in natural gas and crude oil prices supported the Bloomberg Energy Index to gain 20.3% in 2Q (HCP function on the Bloomberg terminal). Despite Brexit, the Bloomberg Energy Index increase in 2Q 2016 was the sharpest quarterly gain since 2Q of 2008 (+35%). Just behind the 2Q 2016 Bloomberg Energy Index rally was the 17.4% gain from the economic trough period in 2Q 2009. Back in 2008, the spike in energy prices occurred in anticipation of the Beijing Olympics as crude oil futures neared the historic high close at $145/bbl. The 2008 energy spike contributed to the decline in consumer spending and subsequent great recession. While markets have
changed drastically in 8 years, the recovery in energy prices has generally been in the aftermath of very depressed prices. Crude oil bottomed at $26/bbl. on February 11th of this year, 82% below the 2008 peak. Arelow petroleum prices helping to spur economic recovery, potentially echoing 2009? Time will tell, but by 2Q 2016, petroleum supply and demand forces showed signs of rebalancing to a more neutral position on the back of the previous price plunge.
BCOM Energy Index
The global oil market will need U.S. shale to start growing over the next two years as supply ebbs and demand catches up. To get the supply side to respond, spot prices probably need to climb above $50 a barrel by late 2016, so E&P budgets can be reset at higher levels in 2017. While this would give pressure pumpers and drillers time to mobilize frack and rig crews in preparation for capital being put back to work, don't count on seeing large year-over-year growth in U.S. oil output until after 2017. Global Oil Market Will Need U.S. Shale Supply to Grow by
2018. Andrew Cosgrove - BI Industry Analyst. William Foiles - BI Industry Analyst {NSN O9J9MB6TTDS9 <GO>}
Global Oil Market Quarterly Surplus/Deficit
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
The accelerating decline in U.S. oil output, which coalesced just under 8.7 million barrels a day, could ebb near term as capacity may be reintroduced with the recent price rally. Still, more than half of respondents to the BI survey expect daily oil volume of less than 8.3 million barrels by year-end. Volume has eroded gradually from the 2015 peak of 9.6 million. Declines in rig count may wane, as E&Ps adjust activity to recent price signals. Uncompleted wells coming online could muffle the drop in oil volume. Optimism Toward Tighter Oil Balances May Be
Fleeting: BI Survey. Vincent G Piazza - BI Senior Industry Analyst, Daniel Krauser - BI Associate {NSN O9J7OE6S972J <GO>} U.S. Rig Count May Never Match 2014 Record. U.S. horizontal rig counts may never surpass the record set in November 2014, mainly because of improved drilling efficiency. If U.S. E&Ps wanted to drill at 2014 levels, they would need 12.5% fewer rigs to do so at current drill speeds. Rising initial production rates also mean fewer wells are needed to tap the same level of production. With E&Ps more cautious about adding wells in the "new normal" environment of low energy prices, rig counts face an uphill struggle. U.S. Rig Count May Never Match 2014
Record: Midyear Outlook. Andrew Cosgrove – BI Industry Analyst, William Foiles – BI Industry Analyst {NSN O9L0NL6JTSEE <GO>} Unleaded Gas Demand Remains Strong - Vehicle miles traveled fell slightly in April, but remain 3.8% higher year-to-date than in 2015 amid lower gas prices. U.S. vehicles traveled 273 billion miles in April, which was greater than in any month in 2014 and highlights a jump in vehicle use. U.S. summer gasoline demand is likely to reach a record this year even as fuel efficiency mutes longer-term growth. The four-week average for gasoline demand through June 24 was 9.7 million barrels a day, 160,000 barrels more than the year-ago period. Vehicle Miles
Traveled Slows, Though Gas Demand Remains Strong. Gurpal Dosanjh - BI Industry Analyst {NSN O9KXE26S972J <GO>}
WTI crude oil prices may find support in the near term following a seasonally large draw in U.S. stockpiles. Increased refinery activity and weakened imports helped tighten market balances in the week ended June 24. Refinery utilization rose amid strong gasoline demand, with U.S. pump prices 17% below last year. Oil imports dropped 884,000 barrels a day, failing to counter the sequential slide in domestic crude output. Still, U.S. oil supplies sit 13% above last year's level, fueling oversupply concerns. U.S. OECD Crude Oil Inventories. Vincent
G. Piazza – BI Senior Industry Analyst, Gurpal Dosanjh – BI Industry Analyst {NSN O9JOT26TTDSM <GO>} OPEC oil production will remain elevated in 2H, countered by spending cuts in the U.S. that will continue to corral unconventional liquids growth. Flooding in Canada and sectarian violence elsewhere has temporarily tightened market balances as seasonal demand improves. U.S. dollar volatility and shifting
sentiment about global interest rates complicate oil-price trends. Tighter credit and lower oil reserves have further curtailed U.S. drilling, while secular demand from LNG exports may aid regional gas dynamics. Oil & Gas E&P 2016
Midyear Outlook. Vincent G. Piazza - BI Senior Industry Analyst {NSN O96P7G6KLVRQ <GO>} Oil & Gas Rig Count vs. Commodity Prices
Seasonal Fundamentals Tighten for U.S. Gas as Demand Heats Up. Natural gas output has been fairly resilient this year, while consumption has risen on the strength of power-generation demand, which encompasses cyclical and structural components. Exports to Mexico have more doubled since 2012 to about 4 billion cubic feet a day, and LNG shipments of about 500 million a day have helped tightened balances as well, based on EIA data. Sentiment has rebounded, helping gas prices rally more than 76% from March. Further near-term price gains depend on power-plant demand. Seasonal Fundamentals Tighten for U.S. Gas as
Demand Heats Up. Vincent G Piazza - BI Senior Industry Analyst, Daniel Krauser - BI Associate {NSN O9L2WG6S972J <GO>}
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
Metals
Industrial (Index weight: 16.4% of BCOM. Performance: June +6.8%, 2Q +6.1%, YTD +8.5%) Precious (Index weight: 16.2% of BCOM. Performance: June +10.6%, 2Q +10.2%, YTD +27.1%) Precious Metals Prevail Risk-off and the desire for liquid alternatives supported the Bloomberg Precious Metals Index to be the best-performing sector in 1H. Gold, which often times is considered the reciprocal of the US Dollar, increased about 6-times compared to the 4.0% 1H decline in the Bloomberg Dollar Index. Or, did the US Dollar decline about 27% relative to gold? Brexit provided an additional boost, pushing gold above the much-watched $1,300/oz. level (2015 high and prior 2016 high). Prior to the vote, the Bloomberg Precious Metals Index was already the best performing BCOM sector in 1H. Bloomberg Precious Metals Index
The Fed, One and Done? Perhaps anticipating increasing financial market discombobulation in 2016, gold and silver bottomed within weeks of the Fed tightening in December. Is it an indication from the precious metals markets that the Fed tightening might be ‘one-and-done’, coincident with the decline in bond yields? Time will tell, but by the end of 1H, tailwinds appeared to be improving for the precious metals, which are at a substantial discount from their historic 2011 highs as the headwinds continued to build in the global economy and stock markets. Some US indices ended 1H not far from the historic highs. The chart above of the Bloomberg Precious Metals Index depicts the index above its 100 week moving average in 1H for the first time since 1Q 2013 and nearing the 200 week moving average. Both 100- and 200 week moving averages are still trending down.
Silver Leads the Metals Recovery – Perhaps indicating greener shoots developing amidst a generally negative global economic outlook, the more industrial of the precious metals, silver, was the second best BCOM component performer in 1H (behind soybean meal) as measured by the 34.1% gain in the Bloomberg Silver Index. Relative to gold, silver increased in 1H at a ratio to gold near 1.3 times, about the same as the longer-term historic relationship near 1.4 times. In 2Q, the silver-to-gold outperformance was near 2.8 times, as silver played catchup. The widely watched gold/silver ratio reached a peak in March near 83, just shy of the 2008 crisis peak near 84. Ending 1H near 70, the gold/silver ratio was well off its peak, but historically still quite elevated. An elevated gold/silver ratio has historically been coincident with benign economic growth and/or greater demand for the safe haven attributes of gold. The chart below depicts the inverse gold/silver ratio overlaid with the ISM Manufacturing PMI. The Gold/Silver Ratio Revisited the 2008 Peak
Industrial Metals Recover in June Indicating Some Potential Green Shoots Sprouting Despite Brexit, the Bloomberg Industrial Metals Index increased 6.8% in June, accounting for most of the1H gain. The June increases of 11.8% and 9.4% in the Bloomberg Nickel and Bloomberg Zinc indices led the industrial metals. Copper performance was a bit more subdued, but nevertheless, despite Brexit, the Bloomberg Copper Index ended June with a respectable monthly gain of 4.6%. Having declined about 30% over the past two years, the June recovery in the Bloomberg Industrial Metals Index may be indicating a market that has sufficiently rebalanced supply and demand forces to a more neutral condition. Compared with the Bloomberg Precious Metals Index performance in 1H, the 1H recovery in the Bloomberg Industrial Metals Index appears as barely a blip on the radar (chart on following page).
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
Bloomberg Industrial Metals Index
Base metals prices diverged sharply in 1H, and movements in China's economy and spending will likely affect 2H. Zinc has been the big winner so far, as 2015 capacity cuts take hold. Prices for copper and lead, with capacity either increasing or staying the same, have fallen. After a difficult January for China's economy, new loans increased before the government began implementing a more conservative spending plan late in 1H. The direction of this spending in 2H may determine the fate of metals prices. Capacity Cuts, Chinese Spending to
Drive Metals: Midyear Outlook. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN O98IQ56K50Y2 <GO>} Zinc Mine Closings Push Metal's Price Higher. Mine closures have helped reverse prices that were at a six-year low by leaving the metal in deficit in 2016 and perhaps beyond. Zinc has climbed 27% this year. Glencore said in 2015 that it would shut 500,000 metric tons of capacity -- one-third of its production and 3.5% of the industry's total. Nyrstar said low prices could prompt further cuts after its 2015 mine closings in Campo Morado, Mexico, and Myra Falls, Canada. Zinc-Mine
Closings Push Metal's Price Higher: Midyear Outlook. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN O98I7T6K50Y7 <GO>} Nickel Market in Deficit Needs More Closings - New nickel supply may be coming to the market in 2016 and beyond, even as mines close and new projects are delayed amid low prices for the metal. As a result, nickel prices have gained only about 5% this year after plunging 42% in 2015. The price of about $9,200 a metric ton is two-thirds below the 2011 peak of $29,300. The decline since then left many nickel mines with severe losses. A nickel surplus could develop if nickel pig iron production from Indonesia starts to ramp up. Nickel Market in Deficit
Needs More Closings: Midyear Outlook. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN O98IAM6K50XY <GO>}
Copper Market Turns to China Demand, New Mines - Chinese yuan trends, demand, carry trades and new mine supply may determine the direction of copper prices in 2H. Prices were flat in 1H, after declining by 25% in 2015. Chinese demand increased 12.5% this year through April as the property market rebounded, helped by aggregate loans increasing 16.3 through May. Additional mine supply of 1.12 million metric tons through 2020 is on track, but not guaranteed, as copper prices remain near a five-year low. Copper Market Turns to China
Demand, New Mines: Midyear Outlook. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN O9GWY36KLVR5 <GO>} The global copper market has been sending mixed signals in 1H. On the plus side for prices, global inventories have declined 6.3% to 454,947 metric tons, indicating demand is improving. Yet copper has been the second-worst-performing metal this year, and a surge in Chinese smelter charges indicates there are ample supplies of copper concentrate. A weakening Chinese yuan could unleash metal from China's "copper bank," as carry-trade holdings leak back into the market. Copper
Outlook Mixed on Signals From Inventories, Smelters. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN O8TGX16K50YC <GO>} China's Surging Aluminum Capacity May Weigh on Global Prices - Chinese aluminum makers may add more capacity than the rest of the world combined this year, giving them more clout in global markets. The added capacity is cost-competitive, as Chinese smelters tend to build captive power plants that cut power costs. The industry continues to adjust to Indonesia's ban on bauxite exports by looking elsewhere for ore. Key long-term trends include carmakers substituting aluminum for steel, and the rising use of aluminum wiring in place of copper in the power sector. China's Surging Aluminum
Capacity May Weigh on Global Prices. Yi Zhu – BI Senior Industry Analyst, Kenneth W Hoffman - BI Senior Industry Analyst {NSN O6PLXF6JIJVI <GO>} BCOM Performance Attribution – The precious metals sector was the largest contributor to BCOM total returns in 1H contributing +4.1% of the +13.1% total. The industrial metals contributed +1.5%.
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
Agriculture (Index weight: 30.5% of BCOM.Performance: June +1.8%, 2Q +12.7%, YTD 13.5%)
Grains (Index Weight: 23.2% of BCOM. Performance: June -2.9%, 2Q +7.2%, YTD +7.4%)
Softs (Weight: 7.3% of BCOM. Performance: June +13.6%, 2Q +20.5%, YTD +19.3%)
Softs were Strong, but the Grains Show Signs of an Early Growing Season Peak
‘Rain makes grain’ was the theme in corn and soybeans at the close of June as favorable weather pressured prices from 2-year highs, reached earlier in the growing season. The Bloomberg Grains Index declined 2.9% in June, lessening the 2Q increase to +7.2%, which accounted for almost the entirety of the 1H 7.4% gain. Increasing fears of a poor Southern Hemisphere harvest (Brazil and Argentina) and fears of a hotter and dryer Northern Hemisphere growing season boosted corn and soybean prices earlier in 2Q, but by the end of June, prospects of an average US grain belt growing season prevailed. Wheat prices did not experience a spring bounce like corn and beans, continuing to be the weakest component among the grains on the back of increasing global supplies.
The BCOM Grain Index Retraced from the 2015 High
Soybeans, the Best Performing Commodity – The Bloomberg Soybean Meal and Soybeans Indices were among the top performing single commodity indices in 1Q and 1H. Virtually all of the 52.0% 1H gain in the Bloomberg Soybean Meal index was accounted for by the 2Q increase of 50.0%. Poor harvest production in the Southern Hemisphere, notably Brazil and Argentina, adverse early growing season weather in the Northern Hemisphere and increasing demand were primary support factors for the Bloomberg Soybean Index
complex in 2Q which includes soybeans, soybean oil and soybean meal. On the final day of June, the WASDE (World Agriculture Supply and Demand Estimate) noted a greater-than-expected amount of U.S. planted corn, which pressured prices and supported soybeans.
BCOM Commodity Index Ranked Returns (CRR) - 1H
CRR <GO>
Corn, the Most Significant Agriculture Commodity- From a world production standpoint, corn is the world’s most significant agriculture commodity. The US is the world’s largest corn exporter. Favorable weather and greater-than-expected U.S. planted acres pressured the Bloomberg Corn Index to decline 10.5% in June, reversing 1H to a loss of 1.1%. The 2016 USDA WASDE Corn Supply Use Yield per Harvested Acre is expected to be 168 bushels per acre, about a 1% decline from 2015. If total corn production remains on trend and does not decline in 2016, prices are more likely to suffer. Indicating the powerful force of increasing technology in commodities, the average corn yield per acre has increased about 22% in the US since the beginning of the millennium.
Corn Yields Have Trended Higher for Years
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
Ample Supplies Pressure Wheat – Strong winter wheat harvests in the Northern Hemisphere and ample global supplies continued to pressure prices. The Bloomberg Wheat Index was among the worst performing single commodity indices in 1H with a 9.3% decline, on the back of the June loss of 6.2% as the winter wheat harvest proved quite ample.
Some American wheat farmers are not only going to lose money on every bushel they harvested in June, many also do not have access to adequate storage. U.S. grain silos still hold surpluses from last year. According to the International Grains Council, combined stockpiles for the major crops; corn, soybeans, wheat and sorghum are the largest for mid-year since 1988. With excess production recently, storage is getting tighter, especially for wheat, which is the first grain harvested (winter wheat). While farmers expanded storage in recent years, it has been undermined by global crop surpluses and a strong US Dollar. Once the world’s biggest wheat exporter, the U.S. is expected to see shipments this year drop to the lowest since 1972. With inventories up 30% and expected to swell further, the price outlook has been bearish. Global supply, including production and inventories, will exceed consumption by the most ever in the year that ends in June 2017, with the harvest expected to be the second-highest on record.
BCOM Commodity Index Ranked Returns (CRR) - June 2016
CRR <GO>
The Bloomberg Softs Index was the best performing sector in June with a gain of 13.6%, boosting the YTD increase to 19.3%. Including coffee, sugar and cotton, the Bloomberg Softs Index was led by sugar. The Bloomberg Sugar Index was among the top single commodity index performers in June with a gain of 15.8%. Unfavorable growing conditions in Brazil (the world’s largest sugar producer) and India (the world’s second-largest producer and largest importer) reversed the entire sugar price plunge from 2013 to 2015. On a one year performance
basis, the Bloomberg Sugar Index was the best single performing commodity index in 2016, with a gain of 49.0% at the end of 1H. Sugar ended June in the $20/lb handle, recovering 100% from the 2015 low price near $10/lb, the weakest since 2008. The sharp rise in sugar prices appeared to join the club including many commodities that were rebalancing to more neutral supply/demand conditions in the aftermath of significant price declines.
BCOM Performance Contribution – The agriculture sector contributed almost the same to BCOM total returns as the precious metals sector in 1H with +4.0% of the +13.1% total. The softs contributed 1.2% and the grains 2.7%.
Livestock (Index weight: 5.4% of BCOM.Performance: June -0.7%, 2Q -1.9%, YTD -0.7%)
Strong Pork Demand Offsets Ample Cattle Supplies Continued weakness in live cattle prices due to ample supplies, offset strength in lean hogs on the back of strong demand, resulting in a 1H decline of 0.7% in the Bloomberg Livestock Index. Livestock is among the commodities that are most expensive to store, investible ER and TR returns are often less than the spot price changes. Indicative of the increasing demand for pork, the Bloomberg Livestock Spot Index increased 3.9% in 1H. Lean hog futures recovered sharply in 1H (+39%) after reaching multi-year lows at the end of 2015, but live cattle futures remained under pressure. At the end of June, live cattle futures appeared to be recovering from reaching the lowest prices since 2011. Bearish supply demand forces were still pressuring live cattle at the end of 2Q, but appeared poised to eventually follow the recovery in lean hogs which have a much shorter gestation cycle.
In the U.S., some foodies call it nose-to-tail eating. In China, it’s just called dinner. A robust appetite for cuts like pig feet, ears and snouts in the world’s biggest pork-consuming nation is fueling a rally for hogs in Chicago. Investors at the end of June increased their bets on a hog rally by the most since January, and the number of contracts outstanding jumped to the highest in two years. Inflated corn costs in China forced the country’s farmers to cull herds and shrink pork output, spurring demand for more imports. The nation could buy as much as 5% of U.S. production this year, according to Dermot Hayes, an agricultural economist at Iowa State University in Ames, Iowa. In June, Lean Hogs futures reached the highest level since 2014, the year prices hit a record because of a piglet-killing disease.
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Bloomberg Commodity Index (BCOM) Tables & Charts – June 2016 Edition
Crude, Corn and Gold – Market Expectations Vs Forecasts.
Analysis of the commodity market can be simplified into the three main sectors: energy, ags and metals (each representing about 1/3rd of the BCOM). Energy is notablyabout crude oil (the world’s most widely produced commodity). The key WTI crude oil price range levels for 3Q can be narrowed to near $45/bbl. on the downside and about $56/bbl. on the upside (WTI crude oil ended 2Q at $48/bbl.) based on the XLTP function on the Bloomberg terminal. The XLTP function compares the expected price range for WTI crude oil in 3Q based on futures options prices and analyst expectations. Comparatively, analyst expectations for WTI crude oil appear a bit bearish, centered near $44/ bbl. (see chart below). Sustaining above or below these initial first standard deviation levels in WTI crude oil could have strong implications for the entire commodity sector, credit spreads, inflation expectations, etc.
3Q WTI Crude oil price forecasts: Analyst forecasts are below the futures market*
*Based on futures options prices - XLTP function on the Bloombergterminal.
In the metals, gold is the most significant component. Due to the BCOM methodology focused on liquidity and world production weighing, gold has the highest weight among all the single commodities in BCOM (11%). At the end of June, the XLTP function indicated a futures market expected first standard deviation range in gold in 3Q in the range of about $1,258 to $1,399. Analyst expectations appeared to be a bit lower.
Gold price forecasts 3Q*
*Based on futures options prices - XLTP function on the Bloombergterminal.
In the Ags, corn is the most significant commodity (from a world production standpoint). Corn futures ended June at $365/bu. The XLTP function showed the futures options market first standard deviation expected price range near $343/bu. on the downside and $415/bu. on the upside. Analyst forecasts appeared to agree. The grains are in the height of the Northern Hemisphere growing season. If the weather turns less favorable (hot and dry), corn prices are more likely to test the upper end of that range. If the weather continues the more normal pattern it had at the end of June, the lower-end price may be in play.
Corn price forecasts 3Q*
*Based on futures options prices - XLTP function on the Bloombergterminal.
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Composite Indices * Click hyperlinks to open in Bloomberg
2016Jun May Q2 Q1 H1 1-Year 3-Year 5-Year 10-Year 20-Year
Bloomberg Commodity ER BCOM 4.11% -0.21% 12.71% 0.34% 13.09% -13.48% -28.62% -43.82% -48.72% -22.25%Bloomberg Commodity TR BCOMTR 4.13% -0.19% 12.78% 0.42% 13.25% -13.32% -28.44% -43.60% -43.73% 22.85%
Bloomberg Commodity Spot BCOMSP 4.90% -0.07% 15.49% 3.58% 19.62% -4.19% -17.06% -29.82% 17.36% 180.98%Bloomberg Roll Select BCOMRST 4.59% -0.23% 12.56% 1.64% 14.41% -10.45% -24.51% -39.19% -18.41% 182.20%
1 Month Forward BCOMF1T 4.44% -0.33% 12.88% 1.09% 14.11% -11.59% -24.88% -39.48% -30.07% 131.48% 2 Month Forward BCOMF2T 4.36% -0.20% 12.56% 1.28% 14.00% -11.48% -25.26% -41.28% -28.52% 166.19% 3 Month Forward BCOMF3T 4.37% -0.31% 12.29% 1.50% 13.98% -10.65% -23.88% -39.42% -20.37% 184.02% 4 Month Forward BCOMF4T 4.33% -0.15% 12.34% 1.72% 14.27% -9.36% -22.10% -37.35% -12.45% 5 Month Forward BCOMF5T 4.36% -0.30% 12.15% 1.80% 14.17% -9.05% -22.41% -37.22% -9.41% 6 Month Forward BCOMF6T 4.31% -0.34% 11.87% 1.98% 14.08% -8.69% -22.11% -36.92% -5.37%
Energy BCOMENTR 2.93% 3.08% 20.35% -9.31% 9.14% -34.48% -56.57% -67.01% -87.89% -49.81%Petroleum BCOMPETR -2.35% 4.35% 17.01% -5.69% 10.35% -35.93% -59.27% -59.79% -73.70% 56.32%Agriculture BCOMAGTR 1.78% 3.43% 12.67% 0.71% 13.47% -3.01% -19.45% -28.55% 12.28% -27.55%
Grains BCOMGRTR -2.93% 1.76% 7.25% 0.12% 7.38% -14.49% -29.63% -26.97% 9.64% -46.80%Industrial Metals BCOMINTR 6.76% -7.27% 6.11% 2.29% 8.54% -11.47% -22.70% -49.56% -44.99% 84.32%Precious Metals BCOMPRTR 10.60% -7.07% 10.24% 15.29% 27.09% 14.00% 3.15% -24.45% 92.01% 254.87%
Softs BCOMSOTR 13.55% 3.78% 20.46% -0.98% 19.28% 22.62% -9.33% -46.58% -20.38% -27.26%Livestock BCOMLITR -0.73% 2.42% -1.86% 1.15% -0.72% -9.31% -9.33% -14.80% -51.14% -53.34%Ex-Energy BCOMXETR 4.76% -1.81% 9.31% 4.54% 14.28% -1.71% -14.32% -31.68% 1.95% 33.86%
Ex-Petroleum BCOMXPET 6.54% -1.78% 11.44% 1.55% 13.17% -5.53% -19.38% -40.70% -37.07%Ex-Natural Gas BCOMXNGT 2.68% -0.09% 11.31% 2.51% 14.11% -11.43% -25.79% -37.39% -19.40%Ex-Agriculture BCOMXAGT 5.14% -1.69% 12.81% 0.14% 12.97% -17.78% -32.89% -49.80% -60.37%
Ex-Grains BCOMXGRT 5.58% -0.58% 13.89% 0.40% 14.35% -13.23% -28.61% -47.37% -53.89%Ex-Industrial Metals BCOMXIMT 3.66% 1.21% 14.14% 0.00% 14.13% -13.64% -29.73% -42.51% -46.89%Ex-Precious Metals BCOMXPMT 3.00% 1.13% 13.28% -2.40% 10.57% -17.95% -33.54% -47.29% -53.48%
Ex-Softs BCOMXSOT 3.41% -0.48% 12.19% 0.56% 12.81% -15.79% -30.04% -43.62% -46.20%Ex-Livestock BCOMXLIT 4.39% -0.33% 13.64% 0.38% 14.07% -13.48% -29.50% -45.03% -43.49%
Ex-Agriculture & Livestock BCOMXALT 5.59% -2.00% 14.06% 0.06% 14.13% -18.35% -34.78% -52.20% -61.87%S&P 500 Total Return SPXT 0.26% 1.80% 2.46% 1.35% 3.84% 3.99% 39.20% 77.02% 104.65% 355.06%
Bloomberg US Treasury Bond BUSY 2.21% 0.01% 2.11% 3.18% 5.35% 6.49% 11.74% 19.55%Bloomberg USD IG Corporate Bond BUSC 2.25% -0.10% 3.54% 3.93% 7.61% 7.70% 17.11% 30.38%Bloomberg USD HY Corporate Bond BUHY 1.13% 0.58% 5.69% 3.69% 9.58% 2.39% 13.51% 32.33%
Bloomberg Dollar Spot BBDXY -1.40% 3.70% 0.27% -4.08% -3.82% 0.40% 13.93% 27.85% 14.03%
Single Commodity Indices
2016Jun May Q2 Q1 H1 1-Year 3-Year 5-Year 10-Year 20-Year
Natural Gas BCOMNGTR 22.27% -1.45% 30.96% -21.75% 2.48% -32.08% -54.75% -82.18% -98.50% -99.21%WTI Crude BCOMCLTR -2.35% 5.19% 18.72% -11.51% 5.06% -41.56% -64.46% -67.42% -82.32% 6.75%
Brent Crude BCOMCOT -1.13% 4.08% 19.59% -0.38% 19.13% -35.42% -61.73% -61.80% -61.76% 289.41%ULS Diesel BCOMHOTR -0.39% 7.40% 23.18% 0.61% 23.93% -32.10% -53.76% -55.31% -61.70% 77.84%
Unleaded Gasoline BCOMRBTR -6.99% 0.34% 3.08% -11.75% -9.03% -33.33% -51.37% -43.29% -48.49% 249.16%Corn BCOMCNTR -10.52% 3.34% 2.26% -3.26% -1.07% -20.13% -46.74% -44.36% -20.96% -85.21%
Soybeans BCOMSYTR 8.83% 4.76% 27.77% 4.96% 34.10% 10.82% 13.16% 35.99% 186.50% 316.50%Wheat BCOMWHTR -6.15% -4.89% -9.22% -0.11% -9.32% -31.86% -43.35% -50.45% -65.17% -92.98%
Soybean Oil BCOMBOTR -1.32% -3.96% -8.94% 10.52% 0.64% -10.65% -37.10% -52.45% -27.11% -39.71%Soybean Meal BCOMSMT 3.32% 18.49% 50.33% 1.10% 51.98% 16.47% 60.46% 130.74% 508.09% 1433.68%HRW Wheat BCOMKWT -8.71% -6.51% -16.21% -0.43% -16.57% -40.48% -50.92% -59.56% -63.36% -79.09%
Copper BCOMHGTR 4.57% -8.21% 0.03% 2.18% 2.21% -17.13% -29.40% -51.47% -37.89% 238.62%Alumnium BCOMALTR 6.11% -7.86% 8.13% -0.13% 7.99% -6.37% -22.24% -52.11% -62.48% -32.50%
Zinc BCOMZSTR 9.38% -0.89% 15.55% 12.40% 29.88% 2.80% 4.01% -25.12% -49.02% 43.64%Nickel BCOMNITR 11.83% -10.87% 10.81% -4.12% 6.25% -22.33% -34.38% -62.63% -52.51% 111.90%Gold BCOMGCTR 8.49% -5.82% 6.75% 16.49% 24.34% 12.25% 6.73% -14.30% 98.66% 230.58%Silver BCOMSITR 16.12% -10.22% 19.86% 11.95% 34.18% 18.17% -7.75% -49.43% 53.43% 241.41%Sugar BCOMSBTR 15.84% 7.19% 29.93% 1.36% 31.69% 49.05% -18.28% -43.96% -40.00% 16.31%Coffee BCOMKCTR 18.16% 0.07% 10.97% -1.11% 9.74% -0.36% -9.42% -65.15% -40.82% -66.59%Cotton BCOMCTTR 0.04% 0.29% 10.37% -8.39% 1.10% -5.99% -18.58% -39.32% -9.43% -77.47%
Live Cattle BCOMLCTR -2.71% 5.72% -4.67% -2.43% -6.99% -18.25% -0.42% -9.09% -32.40% -6.13%Lean Hogs BCOMLHTR 1.49% -1.15% 1.40% 7.38% 8.88% 6.55% -24.29% -26.34% -73.08% -87.06%
Index Name Ticker
Index Name Ticker
PERFORMANCE: Bloomberg Commodity Indices
10
Composite Roll Select Indices * Click hyperlinks to open in Bloomberg
2016Jun May Q2 Q1 H1 1-Year 3-Year 5-Year 10-Year 20-Year
BCOM Roll Select BCOMRST 4.59% -0.23% 12.56% 1.64% 14.41% -10.45% -24.51% -39.19% -18.41% 182.20%Roll Select Agriculture BCOMRAGT 2.71% 2.58% 11.94% 0.87% 12.92% -3.93% -20.34% -27.74% 46.36% 30.21%
Roll Select Ex-Ags & Livestock BBURXALT 5.68% -1.65% 13.84% 2.10% 16.23% -13.63% -29.35% -46.66% -44.52%Roll Select Grains BCOMRGRT -2.30% 1.72% 6.85% -0.08% 6.77% -14.68% -32.14% -28.00% 44.80% -2.12%Roll Select Softs BCOMRSOT 13.48% 3.35% 20.47% 0.19% 20.70% 20.44% -5.34% -42.54% 6.89% 33.15%
Roll Select Livestock BCOMRLIT 0.65% 2.25% -0.96% -0.82% -1.77% -10.56% -0.72% -9.93% -7.73% 83.44%Roll Select Energy BCOMRENT 3.30% 3.47% 19.75% -4.19% 14.73% -25.35% -47.90% -58.42% -74.70% 160.56%
Roll Select Ex-Energy BCOMRXET 5.29% -2.11% 9.15% 4.37% 13.92% -2.16% -13.74% -30.58% 30.81% 133.09%Roll Select Petroleum BCOMRPET 0.25% 4.74% 18.33% -2.32% 15.59% -26.93% -51.76% -51.91% -47.76% 462.72%
Roll Select Industrial Metals BCOMRINT 6.57% -6.92% 5.96% 2.05% 8.13% -11.48% -21.86% -48.22% -31.79% 181.25%Roll Select Precious Metals BCOMRPRT 10.64% -6.92% 10.55% 15.27% 27.43% 14.29% 3.55% -23.91% 93.48% 265.99%
Single Commodity Roll Select Indices
2016Jun May Q2 Q1 H1 1-Year 3-Year 5-Year 10-Year 20-Year
Natural Gas RS BCOMRNGT 13.01% -0.75% 23.22% -11.20% 9.42% -23.48% -42.65% -72.59% -95.57% -82.80%WTI Crude RS BCOMRCLT 0.57% 5.59% 19.08% -2.46% 16.15% -24.50% -53.03% -54.92% -50.71% 496.87%
Brent Crude RS BCOMRCOT 0.45% 3.19% 17.65% -2.81% 14.34% -31.21% -54.89% -56.49% -44.86% 592.10%ULS Diesel RS BCOMRHOT 1.20% 8.01% 22.75% -0.31% 22.36% -28.33% -51.32% -54.67% -50.24% 269.18%
Unleaded Gasoline RS BCOMRRBT -2.21% 2.77% 13.15% -2.85% 9.93% -24.08% -43.65% -35.27% -33.83% 606.42%Corn RS BCOMRCNT -9.37% 3.24% 3.48% -3.81% -0.46% -19.52% -47.94% -46.31% 1.46% -72.68%
Soybeans RS BCOMRSYT 9.26% 4.79% 24.79% 5.22% 31.31% 9.05% 8.68% 37.48% 218.00% 389.27%Wheat RS BCOMRWHT -6.29% -4.79% -9.32% -0.50% -9.78% -31.72% -45.42% -52.44% -34.79% -69.05%
Soybean Oil RS BCOMRBOT -1.32% -4.12% -8.40% 10.46% 1.18% -9.90% -34.77% -49.60% -12.13% -1.14%Soybean Meal RS BCOMRSMT 8.59% 11.62% 43.67% 1.21% 45.41% 11.75% 48.51% 138.54% 578.78% 1579.90%HRW Wheat RS BCOMRKWT -7.81% -6.51% -15.30% -0.28% -15.54% -38.78% -50.84% -57.90% -39.35% -51.14%
Copper RS BCOMRHGT 4.50% -7.98% 0.09% 1.76% 1.85% -17.48% -29.98% -51.53% -25.84% 406.12%Alumnium RS BCOMRALT 5.44% -6.88% 7.49% -0.13% 7.35% -6.10% -19.35% -48.83% -53.66% 3.28%
Zinc RS BCOMRZST 9.48% -1.03% 15.54% 11.68% 29.03% 2.77% 4.74% -23.57% -33.76% 120.22%Nickel RS BCOMRNIT 11.82% -10.77% 10.81% -3.92% 6.47% -21.81% -33.06% -61.47% -36.71% 254.31%Gold RS BCOMRGCT 8.57% -5.62% 7.13% 16.53% 24.84% 12.68% 7.08% -13.88% 98.52% 233.51%Silver RS BCOMRSIT 16.09% -10.18% 19.94% 11.81% 34.10% 18.14% -7.09% -48.61% 58.79% 277.22%Sugar RS BCOMRSBT 15.29% 6.48% 29.64% 4.10% 34.95% 44.71% -11.04% -35.81% -7.82% 153.18%Coffee RS BCOMRKCT 18.14% -0.18% 11.07% -1.08% 9.87% -0.62% -7.24% -63.60% -30.40% -42.34%Cotton RS BCOMRCTT 1.00% -0.02% 11.08% -8.92% 1.17% -5.37% -16.28% -36.60% 15.03% -63.16%
Live Cattle RS BCOMRLCT -2.71% 5.72% -4.67% -2.88% -7.42% -17.38% -1.87% -12.67% -2.53% 84.58%Lean Hogs RS BCOMRLHT 5.12% -2.13% 4.10% 1.77% 5.94% -0.28% -3.56% -9.95% -24.30% 32.24%
PERFORMANCE: Bloomberg Commodity Roll Select Indices
Index Name Ticker
Index Name Ticker
11
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%
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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
Bloomberg CommodityIndex TR
Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward
-60%-40%-20%
0%20%40%60%80%
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10 11 12 13 14 15 16
BloombergCommodity Index TR
S&P 500 Total ReturnIndex
Bloomberg USTreasury Bond Index
Bloomberg USCorporate Bond Index
Bloomberg USD HYCorporate Bond Index
Bloomberg U.S. DollarSpot Index
-200%
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91 93 95 97 99 01 03 05 07 09 11 13 15
Energy
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Softs
Livestock
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91 93 95 97 99 01 03 05 07 09 11 13 15
Natural Gas
WTI Crude
Brent Crude
ULS Diesel
Unleaded Gasoline-200%
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91 93 95 97 99 01 03 05 07 09 11 13 15
Corn
Soybeans
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Soybean Meal
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-200%
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91 93 95 97 99 01 03 05 07 09 11 13 15
Copper
Alumnium
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91 93 95 97 99 01 03 05 07 09 11 13 15
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91 93 95 97 99 01 03 05 07 09 11 13 15
Live Cattle
Lean Hogs
12
BCOM Constituent Weights BCOM Index MEMB <GO> * Click hyperlinks to open in Bloomberg
Group Commodity Ticker Jun 2016 Contrib to Return %
Jun 30 2016 Weight
May 31 2016 Weight
Jun 2016 Weight Change
2016 Target Weight
Natural Gas NG 1.62 8.78% 7.23% 1.55% 8.45% WTI Crude CL -0.22 8.48% 8.91% -0.43% 7.47%
Brent Crude CO -0.11 8.82% 9.36% -0.54% 7.53% ULS Diesel HO -0.02 4.29% 4.47% -0.18% 3.83% Gasoline XB -0.30 3.86% 4.34% -0.48% 3.75%Subtotal 0.98 34.23% 34.31% -0.08% 31.03%
Corn C -0.74 6.21% 7.21% -1.00% 7.36% Soybeans S 0.54 6.20% 6.09% 0.11% 5.70%
Wheat W -0.17 2.61% 2.86% -0.25% 3.33% Soybean Oil BO -0.03 2.49% 2.59% -0.10% 2.84%
Soybean Meal SM 0.12 3.46% 3.59% -0.13% 2.84% HRW Wheat KW -0.08 0.86% 0.96% -0.10% 1.15%
Subtotal -0.37 21.83% 23.30% -1.47% 23.22% Copper HG 0.29 6.54% 6.55% -0.01% 7.63%
Aluminum LA 0.25 4.20% 4.14% 0.06% 4.60% Zinc LX 0.25 2.81% 2.69% 0.12% 2.53%
Nickel LN 0.23 2.11% 1.97% 0.14% 2.36%Subtotal 1.01 15.66% 15.35% 0.31% 17.11%
Gold GC 0.91 11.22% 10.86% 0.36% 11.38% Silver SI 0.65 4.58% 4.12% 0.46% 4.21%
Subtotal 1.56 15.80% 14.98% 0.82% 15.59% Sugar SB 0.59 4.17% 3.76% 0.41% 3.63% Coffee KC 0.36 2.27% 1.99% 0.28% 2.29% Cotton CT 0.00 1.26% 1.32% -0.06% 1.49%
Subtotal 0.95 7.70% 7.07% 0.63% 7.41% Live Cattle LC -0.07 2.45% 2.64% -0.19% 3.57% Lean Hogs LH 0.04 2.30% 2.36% -0.06% 2.06%Subtotal -0.03 4.75% 5.00% -0.25% 5.63%
Total 4.11 100% 100% 100%
Commodity Price ForecastsCPFC <GO>
Group Commodity Q3 16 Q4 16 Q1 17 Q2 17Forward 2.88 3.25 3.23 3.02Forecast 2.33 2.50 2.90 2.80Forward 50.76 52.29 53.25 53.75Forecast 45.00 48.50 50.50 52.40Forward 51.78 53.11 54.02 54.82Forecast 46.25 49.00 52.00 53.50Forward 156.27 160.59 141.45 141.45Forecast 136.90 148.00 131.46 131.46Forward 150.99 141.65 151.65 165.48Forecast 150.00 154.00 157.14 172.62Forward 378.03 384.27 391.09 396.00Forecast 379.00 382.00 400.00 375.00Forward 1,129.80 1,110.47 1,075.65 1,058.83Forecast 1,025.00 980.00 1,005.00 1,012.50Forward 446.28 468.57 486.45 498.93Forecast 465.00 477.00 500.00 498.00Forward 4,839 4,843 4,848 4,853Forecast 4,850 5,000 5,025 5,033Forward 1,635 1,640 1,646 1,654Forecast 1,568 1,596 1,607 1,629Forward 2,089 2,093 2,097 2,097Forecast 1,890 1,913 1,950 2,000Forward 9,427 9,470 9,509 9,542Forecast 9,250 9,777 9,500 10,724Forward 1,328 1,333 1,338 1,341Forecast 1,225 1,200 1,198 1,190Forward 18.40 18.48 18.55 18.60Forecast 16.00 16.20 15.25 16.15Forward 21.01 21.02 20.58 19.22Forecast 17.15 17.00 17.10 17.40Forward 144.49 147.52 149.93 151.72Forecast 125.00 129.00 132.00 135.15Forward 66.11 65.96 66.24 66.64Forecast 63.00 63.00 62.70 63.30
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
13
Composite Indices
Bloomberg Commodity ER BCOM 16.13% 16.00% 16.20% 13.18% 13.79% 17.87% 16.10%Bloomberg Commodity TR BCOMTR 16.14% 16.00% 16.20% 13.18% 13.79% 17.87% 16.09%
Bloomberg Commodity Spot BCOMSP 15.99% 16.27% 16.31% 13.26% 13.86% 17.95% 16.19%Bloomberg Roll Select BCOMRST 15.03% 14.96% 15.01% 12.30% 12.98% 16.83% 14.70%
1 Month Forward BCOMF1T 16.05% 15.86% 15.88% 12.83% 13.48% 17.53% 15.55% 2 Month Forward BCOMF2T 15.74% 15.35% 15.53% 12.53% 13.22% 17.23% 15.03% 3 Month Forward BCOMF3T 15.67% 15.16% 15.25% 12.25% 12.99% 16.94% 14.61% 4 Month Forward BCOMF4T 15.17% 14.61% 14.92% 11.98% 12.75% 16.68% 5 Month Forward BCOMF5T 14.61% 14.05% 14.49% 11.57% 12.36% 16.19% 6 Month Forward BCOMF6T 14.61% 14.05% 14.49% 11.57% 12.36% 16.19%
Energy BCOMENTR 32.63% 30.77% 35.69% 28.26% 25.77% 29.28% 30.82%Petroleum BCOMPETR 36.40% 36.66% 44.18% 33.20% 29.72% 33.73% 33.35%Agriculture BCOMAGTR 21.45% 19.70% 15.72% 15.09% 16.67% 20.94% 18.38%
Grains BCOMGRTR 25.85% 23.79% 19.09% 18.80% 20.71% 25.20% 22.55%Industrial Metals BCOMINTR 19.47% 18.20% 20.41% 17.03% 19.24% 25.29% 22.33%Precious Metals BCOMPRTR 18.61% 17.47% 17.84% 18.34% 20.85% 22.69% 19.84%
Softs BCOMSOTR 25.61% 22.92% 21.28% 20.50% 20.13% 22.58% 20.78%Livestock BCOMLITR 14.22% 13.63% 17.03% 14.19% 13.38% 14.13% 14.49%Ex-Energy BCOMXETR 12.85% 13.18% 11.84% 10.80% 12.65% 16.45% 13.83%
Ex-Petroleum BCOMXPET 12.60% 12.85% 11.81% 10.88% 12.39% 16.25%Ex-Agriculture BCOMXAGT 17.83% 18.03% 20.09% 15.93% 15.94% 19.62%
Ex-Grains BCOMXGRT 12.85% 13.18% 11.84% 10.80% 12.65% 16.45%Ex-Industrial Metals BCOMXIMT 16.86% 16.73% 18.14% 14.45% 14.69% 18.48%Ex-Precious Metals BCOMXPMT 16.94% 16.89% 16.95% 14.12% 14.40% 18.21%
Ex-Softs BCOMXSOT 19.86% 18.19% 18.51% 14.71% 14.80% 18.92%Ex-Livestock BCOMXLIT 16.28% 16.39% 16.83% 13.73% 14.27% 18.40%
Ex-Agriculture & Livestock BCOMXALT 17.83% 18.03% 20.09% 15.93% 15.94% 19.62%S&P 500 Total Return Index SPXT 17.26% 13.08% 17.07% 13.43% 15.73% 20.91% 19.67%
Bloomberg US Treasury Bond Index BUSY 4.90% 4.04% 4.07% 3.94% 4.10%Bloomberg USD IG Corporate Bond Index BUSC 3.80% 3.39% 3.80% 4.02% 4.33%Bloomberg USD HY Corporate Bond Index BUHY 5.17% 3.86% 4.90% 3.55% 3.51%
Bloomberg U.S. Dollar Spot Index BBDXY 10.62% 7.91% 6.84% 6.32% 6.45% 7.13%
Single Commodity Indices
Natural Gas BCOMNGTR 37.64% 40.26% 38.24% 39.15% 39.19% 43.04% 46.98%WTI Crude BCOMCLTR 37.67% 37.80% 47.79% 36.64% 33.13% 36.17% 34.96%
Brent Crude BCOMCOT 38.46% 38.73% 46.75% 34.68% 30.35% 33.68% 32.53%ULS Diesel BCOMHOTR 35.39% 38.65% 42.39% 30.73% 27.03% 31.25% 32.80%
Unleaded Gasoline BCOMRBTR 34.88% 34.05% 42.38% 32.65% 29.44% 34.60% 34.42%Corn BCOMCNTR 32.37% 28.16% 22.54% 22.99% 25.64% 30.91% 26.85%
Soybeans BCOMSYTR 28.08% 25.57% 20.16% 20.10% 20.49% 24.75% 23.83%Wheat BCOMWHTR 28.48% 29.60% 24.91% 25.49% 27.98% 34.05% 29.60%
Soybean Oil BCOMBOTR 20.33% 19.26% 21.58% 20.11% 19.60% 23.91% 23.45%Soybean Meal BCOMSMT 29.79% 32.47% 23.45% 24.96% 24.86% 28.08% 26.69%HRW Wheat BCOMKWT 27.55% 27.38% 23.74% 23.95% 25.91% 30.87% 26.85%
Copper BCOMHGTR 24.14% 20.75% 23.25% 19.66% 22.38% 30.31% 27.52%Alumnium BCOMALTR 19.15% 17.36% 17.78% 17.10% 18.97% 23.18% 20.60%
Zinc BCOMZSTR 26.40% 26.13% 29.06% 21.64% 22.93% 33.47% 28.46%Nickel BCOMNITR 27.41% 27.66% 33.68% 28.51% 29.14% 38.73% 35.73%Gold BCOMGCTR 20.07% 17.14% 16.59% 16.47% 18.45% 19.90% 17.74%Silver BCOMSITR 19.56% 22.71% 25.68% 27.21% 31.93% 35.04% 30.68%Sugar BCOMSBTR 30.69% 32.79% 32.79% 26.27% 26.62% 33.43% 32.01%Coffee BCOMKCTR 38.55% 31.65% 30.25% 36.29% 33.70% 31.42% 36.68%Cotton BCOMCTTR 21.54% 19.50% 17.61% 18.50% 22.32% 27.07% 25.94%
Live Cattle BCOMLCTR 21.43% 19.98% 19.25% 15.20% 14.23% 14.32% 14.42%Lean Hogs BCOMLHTR 20.13% 18.37% 25.89% 22.76% 20.90% 22.53% 24.15%
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
14
VOLATILITY: ImpliedVCA <GO> OVDV <GO>
TermMoneyness 90% 100% 110% 90% 100% 110% 90% 100% 110%End of Jun 2% 39% -1% 2% 38% -1% 0% 37% 1%End of May 0% 43% 1% 1% 41% 0% 0% 35% 0%End of Jun 6% 36% -3% 3% 35% -2% 2% 36% -2%End of May 3% 36% 0% 2% 36% -1% 2% 37% -1%End of Jun 0% 38% -4% 1% 36% -1% -1% 38% -2%End of May 4% 34% 2% 1% 37% -1% 1% 39% -1%End of Jun 2% 31% -1% 1% 31% 0% 1% 31% 0%End of May 1% 32% -1% 0% 32% 0% 0% 33% 0%End of Jun 1% 35% 0% 0% 38% 0% 0% 37% 0%End of May 1% 35% 0% 0% 36% 0% 0% 39% 0%End of Jun -5% 35% 7% -4% 30% 4% -2% 27% 2%End of May 2% 24% 4% -1% 29% 2% -1% 27% 1%End of Jun 0% 31% 4% -2% 28% 3% -2% 24% 3%End of May 0% 22% 6% -3% 25% 4% -3% 21% 3%End of Jun -4% 27% 6% -3% 25% 4% -2% 24% 2%End of May 1% 20% 4% -3% 23% 3% -2% 23% 2%End of Jun 2% 22% 6% 0% 21% 2% 0% 19% 1%End of May 4% 22% 5% 0% 24% 2% 0% 21% 1%End of Jun -1% 36% 4% -2% 32% 3% -2% 26% 2%End of May 1% 38% 3% -2% 31% 3% -2% 26% 2%End of Jun -3% 26% 6% -3% 24% 4% -2% 23% 3%End of May 0% 20% 5% -3% 23% 3% -2% 23% 2%End of Jun 2% 18% -1% 1% 20% -1% 2% 21% -1%End of May 3% 21% -1% 1% 22% -1% 1% 23% -1%End of Jun 0% 15% 0% 0% 17% 0% 0% 17% 0%End of May 0% 18% 0% 0% 17% 1% 0% 17% 1%End of Jun 0% 25% -2% 0% 25% 0% 0% 27% 0%End of May 0% 26% 0% 0% 26% 0% 0% 26% 0%End of Jun 0% 22% 0% 0% 22% 0% 0% 22% 0%End of May 0% 31% 0% 0% 31% 0% 0% 31% 0%End of Jun -1% 18% 1% -1% 18% 1% 0% 17% 1%End of May 0% 14% 1% 0% 15% 1% 0% 16% 0%End of Jun 1% 26% 6% 0% 27% 3% 0% 28% 2%End of May 1% 23% 4% 0% 25% 2% 0% 26% 1%End of Jun 0% 39% 3% -2% 38% 3% -2% 35% 2%End of May 4% 34% 1% -1% 33% 1% -1% 30% 1%End of Jun 0% 37% 5% -2% 35% 3% -2% 34% 2%
End of May -1% 29% 5% -2% 30% 3% -2% 29% 2%End of Jun 1% 20% 2% 0% 20% 1% 0% 19% 0%End of May 7% 22% 6% 1% 21% 3% 1% 20% 0%End of Jun 7% 22% 5% 1% 20% -1% 1% 18% -1%
End of May 1% 19% 1% 2% 18% -1% 2% 16% -1%End of Jun 7% 16% 3% 3% 21% -2% 3% 21% -2%End of May 6% 18% 3% 3% 20% -1% 3% 20% -2%
Aluminum
Zinc
Nickel
Ener
gy
Natural Gas
WTI Crude
Brent Crude
ULS Diesel
Gasoline
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
3M 6M
Corn
Soybeans
Wheat
1M
15
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
Bloomberg CommodityIndex TR
Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward
0%
5%
10%
15%
20%
25%
11 12 13 14 15 16
BloombergCommodity Index TRS&P 500 Total ReturnIndexBloomberg USTreasury Bond IndexBloomberg USCorporate Bond IndexBloomberg USD HYCorporate Bond IndexBloomberg U.S. DollarSpot Index
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
16
Bloo
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Com
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Roll
Sele
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1 M
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Fo
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3 M
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Fo
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6 M
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Fo
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Ener
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Pet r
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Agric
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Gra
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Indu
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Prec
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M
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Soft
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Live
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Ex-E
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Ex-A
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Bloomberg Commodity 99% 100% 100% 99% 89% 86% 59% 47% 66% 33% 42% 28% 78% 95%Roll Select 99% 100% 100% 100% 87% 85% 60% 48% 67% 34% 42% 27% 79% 94%
1 Month Forward 100% 100% 100% 99% 88% 85% 59% 47% 66% 33% 42% 28% 78% 95%3 Month Forward 100% 100% 100% 100% 87% 85% 59% 47% 66% 33% 43% 27% 78% 95%6 Month Forward 99% 100% 99% 100% 87% 85% 59% 47% 67% 34% 42% 26% 78% 94%
Energy 89% 87% 88% 87% 87% 96% 27% 18% 44% 9% 24% 20% 40% 94%Petroleum 86% 85% 85% 85% 85% 96% 27% 18% 43% 7% 27% 20% 39% 90%Agriculture 59% 60% 59% 59% 59% 27% 27% 94% 32% 11% 54% 20% 81% 32%
Grains 47% 48% 47% 47% 47% 18% 18% 94% 20% 6% 24% 14% 70% 21%Industrial Metals 66% 67% 66% 66% 67% 44% 43% 32% 20% 25% 29% 17% 70% 65%Precious Metals 33% 34% 33% 33% 34% 9% 7% 11% 6% 25% 12% 1% 53% 35%
Softs 42% 42% 42% 43% 42% 24% 27% 54% 24% 29% 12% 18% 51% 29%Livestock 28% 27% 28% 27% 26% 20% 20% 20% 14% 17% 1% 18% 30% 21%Ex-Energy 78% 79% 78% 78% 78% 40% 39% 81% 70% 70% 53% 51% 30% 61%
Ex-Agriculture & Livestock 95% 94% 95% 95% 94% 94% 90% 32% 21% 65% 35% 29% 21% 61%S&P 500 Total Return Index 41% 41% 41% 41% 42% 42% 45% 20% 12% 35% -13% 22% 22% 24% 40%
S&P Energy 65% 64% 65% 65% 65% 72% 73% 20% 11% 40% 3% 26% 19% 32% 69%S&P Financial 39% 39% 39% 39% 40% 41% 44% 21% 13% 34% -18% 23% 19% 22% 38%
S&P Health Care 22% 22% 22% 22% 23% 22% 25% 11% 6% 27% -15% 13% 13% 13% 21%S&P Consumer Discretionary 32% 33% 32% 33% 34% 32% 36% 20% 12% 29% -16% 25% 22% 21% 29%
S&P IT 33% 34% 33% 34% 35% 34% 37% 18% 12% 30% -14% 16% 19% 20% 32%S&P Utilities 13% 14% 13% 13% 13% 14% 14% 2% -6% 10% 7% 22% 12% 9% 15%
S&P Consumers Staples 24% 24% 24% 24% 25% 25% 27% 9% 2% 19% -6% 19% 21% 13% 24%S&P Industrials 44% 44% 44% 44% 45% 43% 45% 22% 13% 40% -8% 27% 24% 29% 43%
S&P Telecommunication 32% 33% 33% 33% 34% 33% 35% 13% 6% 23% 3% 20% 21% 20% 33%S&P Materials 56% 56% 56% 56% 57% 54% 57% 27% 17% 45% 1% 29% 22% 37% 55%
Bloomberg US Treasury -33% -33% -33% -33% -34% -38% -40% -19% -17% -28% 26% -7% -8% -15% -32%Bloomberg USD IG Corporate -24% -23% -23% -23% -23% -29% -31% -12% -13% -20% 23% 1% -4% -7% -23%Bloomberg USD HY Corporate 39% 40% 39% 40% 41% 38% 39% 22% 14% 35% -6% 25% 16% 27% 38%
Bloomberg U.S. Dollar Spot -36% -36% -36% -36% -35% -26% -25% -16% -8% -28% -36% -26% -10% -35% -36%EURUSD 11% 11% 11% 11% 10% 0% -3% 5% 1% 10% 40% 13% -1% 21% 11%JPYUSD -15% -16% -16% -16% -17% -24% -25% -10% -5% -14% 46% -9% -9% 3% -14%CADUSD 60% 59% 60% 59% 59% 55% 55% 21% 10% 46% 28% 32% 19% 44% 62%MXNUSD 56% 57% 56% 57% 57% 53% 54% 26% 12% 47% 9% 39% 18% 40% 56%GBPUSD 28% 28% 28% 29% 28% 24% 24% 10% 4% 26% 9% 14% 11% 21% 29%AUDUSD 50% 50% 50% 50% 51% 37% 39% 26% 14% 51% 25% 34% 19% 48% 48%CHFUSD 2% 2% 2% 2% 1% -7% -9% -3% -6% 0% 38% 9% -5% 12% 3%KRWUSD 44% 45% 45% 45% 45% 30% 30% 26% 13% 42% 31% 36% 15% 46% 42%CNYUSD 27% 27% 27% 27% 27% 16% 17% 28% 24% 28% 5% 16% 11% 31% 21%
Bloo
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Com
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Roll
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1 M
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Fo
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3 M
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Fo
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6 M
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Fo
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Ener
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Pet r
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Agric
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Gra
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Indu
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Prec
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M
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Soft
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Live
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Ex-E
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Ex-A
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Li
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Bloomberg Commodity 99% 100% 99% 99% 81% 77% 66% 57% 64% 50% 44% 24% 83% 93%Roll Select 99% 99% 99% 99% 79% 76% 65% 56% 65% 52% 44% 23% 84% 93%
1 Month Forward 100% 99% 100% 99% 80% 77% 66% 57% 65% 51% 44% 24% 84% 93%3 Month Forward 99% 99% 100% 100% 78% 77% 66% 57% 66% 52% 44% 23% 84% 92%6 Month Forward 99% 99% 99% 100% 77% 76% 65% 55% 67% 54% 44% 22% 85% 92%
Energy 81% 79% 80% 78% 77% 89% 26% 20% 34% 16% 20% 16% 35% 89%Petroleum 77% 76% 77% 77% 76% 89% 27% 19% 40% 20% 24% 16% 39% 83%Agriculture 66% 65% 66% 66% 65% 26% 27% 94% 30% 23% 53% 15% 80% 35%
Grains 57% 56% 57% 57% 55% 20% 19% 94% 21% 18% 25% 11% 71% 27%Industrial Metals 64% 65% 65% 66% 67% 34% 40% 30% 21% 41% 30% 13% 71% 65%Precious Metals 50% 52% 51% 52% 54% 16% 20% 23% 18% 41% 19% 5% 66% 52%
Softs 44% 44% 44% 44% 44% 20% 24% 53% 25% 30% 19% 13% 51% 29%Livestock 24% 23% 24% 23% 22% 16% 16% 15% 11% 13% 5% 13% 23% 17%Ex-Energy 83% 84% 84% 84% 85% 35% 39% 80% 71% 71% 66% 51% 23% 66%
Ex-Agriculture & Livestock 93% 93% 93% 92% 92% 89% 83% 35% 27% 65% 52% 29% 17% 66%S&P 500 Total Return Index 36% 36% 37% 37% 38% 32% 39% 19% 14% 39% 3% 19% 11% 27% 36%
S&P Energy 55% 55% 56% 56% 56% 57% 64% 23% 16% 42% 13% 24% 12% 35% 58%S&P Financial 31% 32% 32% 33% 33% 28% 34% 17% 12% 38% -1% 19% 8% 24% 31%
S&P Health Care 23% 23% 23% 24% 24% 19% 25% 13% 9% 28% -1% 13% 9% 18% 22%S&P Consumer Discretionary 28% 29% 29% 30% 30% 25% 32% 17% 13% 34% -2% 16% 11% 22% 27%
S&P IT 31% 32% 32% 33% 33% 26% 34% 17% 13% 36% 4% 16% 12% 25% 30%S&P Utilities 16% 16% 16% 17% 17% 15% 17% 8% 5% 15% 4% 13% 3% 12% 16%
S&P Consumers Staples 23% 23% 23% 24% 25% 19% 24% 12% 9% 26% 3% 14% 10% 18% 22%S&P Industrials 35% 35% 36% 36% 37% 30% 37% 19% 14% 40% 4% 19% 10% 28% 34%
S&P Telecommunication 23% 23% 23% 23% 24% 21% 25% 11% 7% 23% 3% 13% 8% 16% 23%S&P Materials 46% 46% 47% 47% 48% 39% 46% 24% 17% 46% 15% 23% 12% 37% 46%
Bloomberg US Treasury -21% -21% -22% -22% -22% -24% -28% -12% -10% -25% 14% -7% -6% -11% -21%Bloomberg USD IG Corporate -13% -13% -13% -13% -13% -18% -21% -7% -6% -15% 17% -2% -4% -3% -13%Bloomberg USD HY Corporate 28% 29% 28% 29% 30% 24% 28% 16% 11% 29% 5% 16% 10% 23% 27%
Bloomberg U.S. Dollar Spot -41% -42% -42% -42% -43% -28% -30% -24% -16% -33% -35% -29% -8% -40% -40%EURUSD 33% 34% 34% 34% 35% 17% 18% 19% 13% 33% 36% 23% 3% 37% 33%JPYUSD 2% 3% 2% 2% 2% -8% -8% 4% 4% -6% 31% 5% -4% 11% 1%CADUSD 54% 55% 55% 55% 56% 43% 49% 26% 18% 45% 34% 29% 14% 46% 55%MXNUSD 49% 50% 49% 50% 51% 36% 42% 26% 17% 47% 28% 32% 11% 44% 48%GBPUSD 32% 32% 32% 33% 33% 22% 25% 15% 10% 30% 26% 18% 8% 30% 32%AUDUSD 49% 50% 49% 50% 51% 31% 37% 28% 19% 46% 38% 31% 13% 49% 47%CHFUSD 20% 21% 21% 21% 21% 6% 6% 11% 7% 23% 33% 15% -1% 27% 21%KRWUSD 35% 36% 36% 37% 38% 21% 25% 21% 14% 35% 27% 25% 8% 36% 34%CNYUSD 13% 13% 13% 13% 13% 8% 8% 11% 9% 11% 4% 6% 3% 12% 11%
Bond
Curr
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Bond
CORRELATION: BCOM Composites vs. Equities vs. Bond vs. Currency Cu
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1-Year
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Nat
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Bren
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ULS
Die
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Unl
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Corn
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Whe
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Oil
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HRW
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Alum
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Zinc
Nic
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Silv
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Suga
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Coffe
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Live
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Natural Gas 18% 19% 18% 12% 2% 9% 1% 17% 3% -1% 12% 15% 13% 13% 8% 9% 2% -1% 0% 1% 8%WTI Crude 18% 97% 93% 83% 14% 23% 7% 38% 12% 11% 43% 35% 26% 39% -3% 22% 15% 35% 19% 19% 14%
Brent Crude 19% 97% 96% 86% 16% 23% 7% 37% 13% 11% 41% 33% 26% 38% -3% 21% 11% 34% 18% 17% 12%ULS Diesel 18% 93% 96% 81% 16% 25% 8% 35% 16% 12% 38% 33% 25% 35% 1% 23% 12% 33% 17% 15% 14%
Unleaded Gasoline 12% 83% 86% 81% 11% 19% 5% 34% 9% 9% 38% 30% 23% 31% -2% 19% 6% 23% 18% 11% 10%Corn 2% 14% 16% 16% 11% 65% 69% 38% 58% 66% 12% 10% 6% 15% 1% 6% 11% 18% 16% 3% 13%
Soybeans 9% 23% 23% 25% 19% 65% 48% 61% 87% 47% 30% 25% 26% 34% 0% 22% 14% 32% 20% 16% 13%Wheat 1% 7% 7% 8% 5% 69% 48% 27% 44% 93% 8% 5% 7% 8% 6% 9% 8% 23% 22% 1% 9%
Soybean Oil 17% 38% 37% 35% 34% 38% 61% 27% 24% 26% 39% 32% 33% 35% 9% 32% 3% 37% 24% 26% 11%Soybean Meal 3% 12% 13% 16% 9% 58% 87% 44% 24% 43% 23% 18% 19% 24% -2% 13% 15% 18% 14% 6% 11%HRW Wheat -1% 11% 11% 12% 9% 66% 47% 93% 26% 43% 9% 8% 5% 9% 2% 6% 8% 21% 21% 3% 11%
Copper 12% 43% 41% 38% 38% 12% 30% 8% 39% 23% 9% 61% 64% 68% 10% 38% 17% 29% 24% 15% 14%Alumnium 15% 35% 33% 33% 30% 10% 25% 5% 32% 18% 8% 61% 61% 56% 9% 30% 5% 19% 22% 9% 11%
Zinc 13% 26% 26% 25% 23% 6% 26% 7% 33% 19% 5% 64% 61% 56% 21% 37% 14% 24% 15% 8% 11%Nickel 13% 39% 38% 35% 31% 15% 34% 8% 35% 24% 9% 68% 56% 56% 7% 32% 13% 23% 29% 5% 5%Gold 8% -3% -3% 1% -2% 1% 0% 6% 9% -2% 2% 10% 9% 21% 7% 75% 6% -1% 0% -9% 3%Silver 9% 22% 21% 23% 19% 6% 22% 9% 32% 13% 6% 38% 30% 37% 32% 75% 16% 21% 18% 5% 4%Sugar 2% 15% 11% 12% 6% 11% 14% 8% 3% 15% 8% 17% 5% 14% 13% 6% 16% 23% 7% 7% 10%Coffee -1% 35% 34% 33% 23% 18% 32% 23% 37% 18% 21% 29% 19% 24% 23% -1% 21% 23% 21% 17% 13%Cotton 0% 19% 18% 17% 18% 16% 20% 22% 24% 14% 21% 24% 22% 15% 29% 0% 18% 7% 21% 6% 4%
Live Cattle 1% 19% 17% 15% 11% 3% 16% 1% 26% 6% 3% 15% 9% 8% 5% -9% 5% 7% 17% 6% 24%Lean Hogs 8% 14% 12% 14% 10% 13% 13% 9% 11% 11% 11% 14% 11% 11% 5% 3% 4% 10% 13% 4% 24%
S&P 500 Total Return Index 5% 45% 46% 43% 38% 11% 17% 2% 24% 7% 5% 33% 27% 24% 35% -22% 5% 7% 31% 23% 26% 6%S&P Energy 19% 74% 73% 71% 61% 9% 14% 2% 29% 2% 9% 38% 33% 24% 37% -6% 19% 12% 32% 21% 19% 8%
S&P Financial 4% 44% 44% 42% 37% 12% 18% 2% 21% 9% 6% 31% 27% 22% 35% -28% 3% 8% 31% 23% 26% 2%S&P Health Care -2% 24% 26% 25% 20% 5% 11% -3% 14% 4% -1% 23% 23% 20% 26% -21% 0% 3% 18% 17% 18% 2%
S&P Consumer Discretionary -1% 36% 36% 34% 30% 11% 16% 3% 18% 9% 6% 27% 23% 18% 29% -23% 1% 11% 30% 22% 24% 9%S&P IT 0% 37% 38% 35% 33% 11% 16% 3% 23% 7% 8% 27% 22% 24% 31% -21% 1% 2% 27% 19% 25% 4%
S&P Utilities 6% 14% 15% 13% 9% -5% -4% -6% 3% -9% -7% 11% 0% 9% 11% 5% 10% 12% 22% 19% 16% 2%S&P Consumers Staples 5% 27% 28% 24% 21% 2% 8% -6% 14% 0% -4% 19% 12% 13% 21% -12% 6% 9% 22% 17% 26% 4%
S&P Industrials 7% 45% 45% 42% 39% 11% 18% 3% 22% 9% 7% 38% 28% 27% 38% -18% 11% 12% 34% 21% 26% 9%S&P Telecommunication 5% 34% 37% 35% 26% 6% 10% -2% 17% -1% 1% 23% 14% 14% 22% -3% 14% 7% 28% 22% 26% 4%
S&P Materials 11% 57% 57% 53% 48% 16% 22% 5% 31% 11% 10% 44% 34% 30% 39% -9% 20% 13% 37% 23% 23% 9%Bloomberg US Treasury -2% -42% -40% -38% -33% -17% -19% -6% -17% -16% -9% -29% -26% -11% -26% 33% 10% 3% -20% -14% -14% 1%
Bloomberg USD IG Corporate 1% -33% -31% -30% -25% -15% -13% -3% -11% -11% -5% -20% -20% -3% -19% 27% 13% 8% -12% -7% -6% 0%Bloomberg USD HY Corporate 9% 38% 40% 38% 30% 9% 19% 11% 15% 17% 13% 32% 30% 28% 27% -15% 11% 13% 28% 20% 22% 0%
Bloomberg U.S. Dollar Spot -10% -27% -24% -24% -19% -4% -4% -17% -13% -4% -13% -29% -21% -22% -15% -33% -34% -14% -28% -17% -1% -16%EURUSD 7% -1% -4% -2% -5% -3% -4% 12% 6% -4% 9% 12% 6% 7% 2% 41% 30% 7% 10% 13% -7% 8%JPYUSD -6% -25% -26% -24% -20% -2% -17% 8% -21% -8% 4% -14% -12% -6% -17% 55% 21% 0% -16% -15% -23% 9%CADUSD 15% 56% 54% 53% 44% 6% 11% 11% 28% 3% 11% 42% 37% 37% 36% 19% 40% 18% 37% 20% 15% 13%MXNUSD 12% 54% 54% 51% 46% 7% 17% 9% 25% 11% 11% 44% 37% 36% 40% -2% 26% 26% 39% 15% 18% 9%GBPUSD 6% 26% 22% 22% 22% 0% 6% 6% 13% 6% 4% 27% 21% 17% 14% 2% 20% 3% 20% 19% 11% 6%AUDUSD 4% 39% 38% 38% 34% 10% 17% 13% 32% 10% 12% 48% 40% 45% 35% 17% 37% 18% 39% 19% 17% 12%CHFUSD 4% -6% -10% -9% -12% -7% -12% 6% 3% -12% 3% 0% 0% 3% -3% 41% 26% 8% 4% 9% -12% 5%KRWUSD 10% 31% 29% 29% 26% 8% 16% 12% 24% 13% 10% 41% 27% 37% 33% 22% 42% 25% 33% 14% 10% 13%CNYUSD 2% 19% 17% 16% 9% 19% 26% 19% 23% 24% 18% 26% 21% 23% 25% -1% 13% 8% 21% 8% 9% 7%
Nat
ural
Gas
WTI
Cru
de
Bren
t Cru
de
ULS
Die
sel
Unl
eade
d G
asol
ine
Corn
Soyb
eans
Whe
at
Soyb
ean
Oil
Soyb
ean
Mea
l
HRW
Whe
at
Copp
er
Alum
nium
Zinc
Nic
kel
Gol
d
Silv
er
Suga
r
Coffe
e
Cott
on
Live
Cat
tle
Lean
Hog
s
Natural Gas 15% 14% 14% 12% 11% 5% 8% 8% 4% 9% 2% 5% 1% 2% 0% 2% 2% 2% -2% 5% 6%WTI Crude 15% 93% 88% 82% 15% 22% 12% 35% 13% 14% 41% 33% 30% 31% 15% 26% 17% 19% 21% 16% 12%
Brent Crude 14% 93% 96% 89% 15% 21% 12% 34% 12% 14% 37% 28% 26% 28% 13% 24% 14% 17% 20% 14% 10%ULS Diesel 14% 88% 96% 85% 15% 23% 11% 33% 14% 13% 35% 27% 25% 27% 14% 24% 15% 17% 19% 12% 11%
Unleaded Gasoline 12% 82% 89% 85% 13% 19% 10% 32% 11% 12% 34% 27% 24% 25% 13% 25% 11% 13% 18% 11% 8%Corn 11% 15% 15% 15% 13% 61% 70% 41% 54% 65% 14% 14% 10% 15% 12% 17% 16% 13% 16% 10% 6%
Soybeans 5% 22% 21% 23% 19% 61% 47% 64% 91% 45% 25% 20% 21% 20% 14% 23% 19% 14% 18% 10% 5%Wheat 8% 12% 12% 11% 10% 70% 47% 33% 41% 94% 13% 11% 9% 13% 13% 15% 17% 15% 18% 9% 4%
Soybean Oil 8% 35% 34% 33% 32% 41% 64% 33% 36% 31% 31% 27% 28% 25% 19% 30% 14% 19% 23% 16% 7%Soybean Meal 4% 13% 12% 14% 11% 54% 91% 41% 36% 39% 17% 13% 14% 11% 10% 16% 16% 8% 13% 5% 3%HRW Wheat 9% 14% 14% 13% 12% 65% 45% 94% 31% 39% 13% 11% 8% 13% 11% 13% 15% 13% 17% 9% 4%
Copper 2% 41% 37% 35% 34% 14% 25% 13% 31% 17% 13% 66% 71% 60% 35% 50% 20% 19% 23% 10% 10%Alumnium 5% 33% 28% 27% 27% 14% 20% 11% 27% 13% 11% 66% 68% 55% 28% 39% 17% 15% 19% 8% 8%
Zinc 1% 30% 26% 25% 24% 10% 21% 9% 28% 14% 8% 71% 68% 57% 29% 39% 19% 17% 16% 8% 9%Nickel 2% 31% 28% 27% 25% 15% 20% 13% 25% 11% 13% 60% 55% 57% 20% 30% 20% 15% 21% 5% 6%Gold 0% 15% 13% 14% 13% 12% 14% 13% 19% 10% 11% 35% 28% 29% 20% 83% 9% 13% 10% 2% 2%Silver 2% 26% 24% 24% 25% 17% 23% 15% 30% 16% 13% 50% 39% 39% 30% 83% 14% 20% 15% 6% 4%Sugar 2% 17% 14% 15% 11% 16% 19% 17% 14% 16% 15% 20% 17% 19% 20% 9% 14% 25% 14% 8% 9%Coffee 2% 19% 17% 17% 13% 13% 14% 15% 19% 8% 13% 19% 15% 17% 15% 13% 20% 25% 12% 7% 8%Cotton -2% 21% 20% 19% 18% 16% 18% 18% 23% 13% 17% 23% 19% 16% 21% 10% 15% 14% 12% 8% 6%
Live Cattle 5% 16% 14% 12% 11% 10% 10% 9% 16% 5% 9% 10% 8% 8% 5% 2% 6% 8% 7% 8% 29%Lean Hogs 6% 12% 10% 11% 8% 6% 5% 4% 7% 3% 4% 10% 8% 9% 6% 2% 4% 9% 8% 6% 29%
S&P 500 Total Return Index 1% 39% 37% 35% 33% 10% 17% 9% 21% 10% 12% 40% 30% 30% 29% -2% 12% 14% 12% 22% 13% 5%S&P Energy 13% 64% 62% 59% 54% 13% 18% 11% 26% 10% 14% 42% 33% 32% 31% 8% 21% 18% 15% 22% 11% 6%
S&P Financial 0% 34% 33% 30% 28% 8% 15% 8% 19% 9% 10% 38% 28% 28% 28% -6% 9% 14% 12% 20% 10% 3%S&P Health Care -1% 25% 24% 22% 20% 6% 12% 5% 15% 8% 7% 28% 22% 22% 21% -5% 6% 9% 9% 16% 11% 3%
S&P Consumer Discretionary -1% 32% 30% 28% 26% 9% 15% 9% 18% 9% 11% 35% 26% 25% 27% -7% 6% 11% 9% 19% 13% 4%S&P IT -2% 34% 32% 30% 29% 10% 16% 7% 20% 9% 10% 36% 28% 28% 26% -1% 11% 10% 10% 20% 14% 4%
S&P Utilities 3% 17% 16% 14% 12% 4% 5% 6% 7% 2% 7% 17% 9% 12% 9% 3% 5% 12% 5% 15% 5% 0%S&P Consumers Staples 1% 24% 23% 21% 19% 6% 10% 6% 14% 6% 8% 27% 18% 19% 19% -1% 8% 12% 6% 17% 11% 5%
S&P Industrials 0% 37% 35% 32% 31% 10% 17% 8% 21% 11% 11% 41% 30% 31% 29% -1% 13% 14% 11% 20% 11% 5%S&P Telecommunication 1% 25% 25% 24% 21% 5% 9% 5% 11% 5% 6% 23% 17% 18% 16% 1% 8% 10% 8% 15% 10% 3%
S&P Materials 3% 47% 44% 41% 39% 14% 19% 11% 25% 12% 14% 47% 35% 35% 33% 10% 22% 17% 15% 22% 13% 5%Bloomberg US Treasury -3% -29% -27% -25% -24% -7% -13% -6% -16% -8% -9% -26% -20% -16% -16% 19% 3% -3% -6% -10% -5% -4%
Bloomberg USD IG Corporate -2% -22% -20% -18% -17% -4% -8% -4% -11% -5% -6% -17% -13% -8% -9% 21% 8% 1% -2% -4% -2% -4%Bloomberg USD HY Corporate 1% 27% 29% 28% 23% 9% 15% 5% 17% 12% 7% 27% 23% 25% 22% 1% 13% 11% 11% 15% 11% 4%
Bloomberg U.S. Dollar Spot -7% -32% -28% -27% -25% -12% -16% -16% -18% -12% -16% -34% -27% -26% -21% -34% -34% -19% -21% -23% -4% -9%EURUSD 5% 21% 16% 16% 14% 8% 12% 15% 15% 9% 15% 34% 27% 25% 21% 34% 34% 14% 17% 20% -2% 7%JPYUSD -3% -8% -9% -7% -6% 4% 0% 6% -8% 4% 5% -6% -3% -4% -6% 35% 20% 3% 5% 0% -7% 1%CADUSD 5% 50% 47% 45% 40% 12% 21% 13% 29% 14% 14% 45% 36% 37% 32% 30% 37% 17% 24% 22% 10% 12%MXNUSD 4% 43% 40% 38% 36% 11% 20% 12% 25% 15% 14% 45% 38% 37% 35% 23% 32% 22% 23% 24% 10% 7%GBPUSD 3% 26% 23% 22% 20% 5% 12% 10% 14% 10% 10% 31% 25% 22% 19% 23% 28% 10% 15% 16% 8% 6%AUDUSD 2% 37% 35% 33% 31% 13% 23% 14% 27% 17% 15% 46% 35% 39% 33% 35% 40% 21% 24% 24% 11% 10%CHFUSD 2% 7% 5% 5% 4% 5% 4% 10% 10% 2% 10% 23% 21% 16% 14% 34% 29% 13% 9% 11% -6% 5%KRWUSD 2% 26% 23% 23% 21% 9% 17% 11% 20% 14% 11% 34% 27% 30% 27% 24% 28% 16% 19% 19% 5% 7%CNYUSD 3% 9% 9% 8% 5% 8% 8% 8% 10% 6% 10% 10% 8% 9% 12% 2% 5% 0% 9% 5% 3% 1%
Curr
ency
CORRELATION: BCOM Singles vs. Equities vs. Bond vs. Currency
5-Year
Com
mod
ities
Equi
ties
Bond
1-YearCo
mm
oditi
esEq
uitie
sBo
ndCu
rren
cy
18
All i
tem
s
Core
Food
Food
at h
ome
Food
aw
ay fr
om
hom
e
Ener
gy
Ener
gy
Com
mod
ities
Fuel
Oil
Mot
or F
uel
Ener
gy se
rvic
es
Elec
tric
ity
Util
ity g
as se
rvic
e
Com
mod
ities
less
fo
od a
nd e
nerg
y
Serv
ices
less
en
ergy
serv
ices
Shel
ter
Me d
ical
car
e
Tran
spor
tatio
n
Bloomberg Commodity 59% -6% 3% 3% 0% 63% 60% 65% 60% 20% -3% 36% -20% 10% -1% 7% 22%Energy 64% -15% -2% 0% -8% 74% 74% 76% 73% 17% -1% 30% -14% -7% -9% -4% 5%
Petroleum 70% -5% -8% -6% -8% 78% 78% 80% 78% 2% -2% 8% -8% 2% -13% 1% 11%Agriculture 22% -7% 3% 2% 5% 23% 21% 16% 21% 13% -13% 37% -31% 17% 4% 11% 29%
Grains 13% -6% 4% 3% 6% 14% 12% 8% 12% 8% -17% 31% -26% 14% 0% 15% 23%Industrial Metals 43% 9% -3% -3% -6% 41% 40% 45% 39% -3% 3% -5% -2% 14% 6% 9% 16%Precious Metals 23% 20% 16% 14% 16% 13% 7% 23% 7% 14% 9% 13% 5% 23% 9% 18% 15%
Softs 24% -8% 10% 9% 8% 27% 24% 18% 25% 25% 2% 38% -28% 13% 9% -1% 29%Livestock 19% 3% 24% 24% 7% 17% 14% 10% 14% 23% 3% 35% 9% -1% -11% 16% 2%
Natural Gas 11% -24% 16% 18% -4% 19% 18% 16% 17% 37% 2% 59% -17% -19% 6% -12% -7%WTI Crude 65% -5% -5% -4% -5% 72% 73% 73% 73% 5% 0% 9% -11% 4% -12% 5% 11%
Brent Crude 71% -4% -6% -4% -9% 78% 78% 82% 78% 4% -1% 8% -3% -1% -15% -3% 11%ULS Diesel 68% -9% -4% -3% -4% 75% 74% 84% 74% 5% 0% 9% -6% -5% -12% -5% 8%
Unleaded Gasoline 80% 2% -7% -5% -10% 85% 86% 77% 86% -5% -8% 2% -2% 7% -9% -5% 19%Corn 9% -4% 6% 5% 8% 8% 6% 7% 7% 7% -18% 31% -20% 11% -2% 13% 23%
Soybeans 26% -1% -6% -6% -4% 27% 25% 22% 25% 7% -10% 23% -24% 19% 5% 15% 26%Wheat 2% -15% 8% 5% 12% 3% 2% -7% 3% 7% -19% 32% -33% 8% -2% 11% 15%
Soybean Oil 28% 10% -12% -13% -3% 26% 24% 13% 25% 0% -14% 15% -9% 24% 2% 0% 38%Soybean Meal 23% -5% 0% 0% -1% 25% 25% 26% 24% 7% -6% 20% -29% 17% 9% 14% 18%HRW Wheat 7% -13% 12% 11% 11% 8% 6% -1% 7% 17% -11% 40% -25% 4% -11% 8% 17%
Copper 44% 11% -9% -8% -5% 43% 41% 48% 41% -6% 5% -13% 6% 11% -2% 11% 11%Alumnium 33% 1% -5% -6% 1% 32% 31% 32% 31% -13% -12% -6% -8% 7% 14% 1% 10%
Zinc 35% 11% -10% -7% -15% 33% 31% 39% 30% 4% 11% -4% 0% 15% 7% 11% 17%Nickel 34% 6% 21% 23% -5% 31% 29% 34% 29% 14% 8% 17% -12% 20% 4% 8% 24%Gold 17% 21% 23% 20% 21% 6% 0% 17% 0% 14% 7% 14% 13% 19% 5% 18% 13%Silver 32% 15% 3% 2% 5% 25% 19% 31% 19% 12% 10% 10% -8% 26% 16% 15% 16%Sugar 15% 8% 3% 1% 8% 15% 15% 10% 15% 8% 3% 10% -2% 12% -4% 6% 28%Coffee 16% -12% 31% 30% 14% 16% 11% 6% 12% 37% 8% 51% -27% 5% 18% -9% 10%Cotton 21% -16% -23% -21% -19% 26% 25% 27% 25% 5% -11% 21% -35% 8% 7% -1% 17%
Live Cattle 22% -7% 16% 17% 1% 23% 21% 20% 21% 13% 14% 7% 5% -12% -13% 10% -5%Lean Hogs 10% 11% 24% 23% 8% 6% 3% -2% 3% 24% -5% 45% 10% 7% -6% 16% 5%
S&P 500 Total Return Index 30% -40% -33% -30% -23% 44% 44% 38% 44% 5% 7% 0% -35% -23% -10% -11% -12%Bloomberg US Treasury -39% 10% 32% 27% 32% -46% -47% -37% -47% 9% 8% 6% 24% -7% -8% 7% -6%
Bloomberg USD IG Corporate -2% -7% 9% 5% 22% 0% -1% 10% -1% 14% 5% 17% 5% -13% -6% -6% -5%Bloomberg USD HY Corporate 40% -18% -23% -23% -7% 53% 54% 60% 54% 5% -3% 13% -12% -12% -12% -13% 0%
Bloomberg U.S. Dollar Spot -49% -8% 0% 0% -1% -48% -46% -43% -46% -10% 1% -18% 4% -14% -2% 8% -24%
All i
tem
s
Core
Food
Food
at h
ome
Food
aw
ay fr
om
hom
e
Ener
gy
Ener
gy
Com
mod
ities
Fuel
Oil
Mot
or F
uel
Ener
gy se
rvic
es
Elec
tric
ity
Util
ity g
as se
rvic
e
Com
mod
ities
less
fo
od a
nd e
nerg
y
Serv
ices
less
en
ergy
serv
ices
Shel
ter
Me d
ical
car
e
Tran
spor
tatio
n
Bloomberg Commodity 68% 6% 3% 7% -13% 69% 67% 66% 66% 31% -2% 41% 0% 9% 1% 8% 20%Energy 68% 1% 9% 13% -9% 72% 70% 69% 69% 38% -2% 49% -1% 6% -1% 2% 14%
Petroleum 72% 5% 8% 10% -7% 75% 76% 71% 75% 23% 1% 29% 2% 7% -1% 5% 17%Agriculture 29% 8% -3% -2% -7% 27% 26% 24% 26% 5% -4% 10% 0% 10% 7% 8% 16%
Grains 23% 8% 0% 1% -3% 20% 20% 19% 20% 2% -4% 6% -1% 11% 9% 8% 11%Industrial Metals 43% 6% -10% -7% -14% 44% 44% 43% 44% 11% 1% 14% 4% 6% -1% 8% 10%Precious Metals 30% 5% 0% 0% 0% 28% 26% 28% 26% 11% 7% 10% 4% 4% -6% 14% 15%
Softs 27% 3% -7% -5% -13% 28% 27% 21% 27% 11% -2% 15% 3% 0% -5% 4% 20%Livestock 15% -3% 18% 21% -9% 12% 9% 8% 9% 16% 8% 16% -12% 7% 4% 9% 3%
Natural Gas 36% -6% 9% 13% -12% 39% 33% 37% 32% 47% -5% 61% -3% -2% -2% -7% 3%WTI Crude 67% 6% 9% 11% -5% 70% 71% 68% 70% 21% 2% 27% 1% 9% 1% 7% 17%
Brent Crude 70% 6% 9% 11% -7% 72% 74% 70% 73% 18% 2% 23% 4% 7% 0% 4% 16%ULS Diesel 69% 2% 11% 13% -4% 72% 72% 77% 71% 26% 2% 33% 2% 4% -5% 2% 18%
Unleaded Gasoline 79% 4% 3% 6% -11% 82% 84% 67% 83% 21% -3% 28% 5% 3% -4% 0% 15%Corn 22% 6% 4% 5% -3% 19% 18% 18% 18% 4% -5% 10% 3% 5% 5% 1% 8%
Soybeans 22% 8% -4% -3% -8% 20% 21% 21% 20% 0% 0% 2% -2% 12% 9% 7% 15%Wheat 15% 7% -1% -2% 5% 13% 13% 9% 13% 0% -6% 5% -5% 12% 12% 14% 2%
Soybean Oil 30% 15% -3% -2% -6% 25% 24% 23% 24% 4% -4% 8% 4% 16% 11% 10% 16%Soybean Meal 17% 4% -2% -1% -6% 17% 17% 17% 17% 1% 5% 0% -4% 8% 5% 4% 14%HRW Wheat 22% 8% -1% -2% 3% 21% 20% 15% 20% 6% -2% 10% 1% 9% 8% 15% 2%
Copper 42% 9% -12% -10% -11% 43% 43% 41% 43% 9% 0% 10% 9% 5% -4% 9% 13%Alumnium 41% 5% -1% 2% -9% 41% 40% 45% 39% 19% 3% 23% 1% 6% 3% 3% 8%
Zinc 24% 6% -20% -18% -15% 26% 27% 22% 27% 0% -1% 1% 8% 2% 0% 2% 3%Nickel 32% -4% -4% 0% -18% 36% 37% 31% 37% 4% -2% 8% -10% 3% -3% 11% 8%Gold 27% 3% 5% 4% 5% 26% 24% 25% 23% 12% 10% 10% 2% 5% -6% 13% 15%Silver 29% 5% -7% -6% -7% 27% 26% 28% 25% 9% 2% 10% 5% 3% -4% 12% 12%Sugar 18% 7% -8% -8% -5% 18% 16% 12% 16% 11% 4% 13% 11% 0% -4% 5% 14%Coffee 13% 5% 0% 3% -8% 13% 13% 8% 13% 3% 1% 6% 3% -1% 1% -4% 4%Cotton 27% -7% -6% -2% -18% 30% 30% 32% 29% 7% -6% 12% -1% -7% -10% 1% 19%
Live Cattle 21% -6% 21% 25% -9% 19% 17% 12% 17% 16% 12% 13% -15% 7% 7% 9% 1%Lean Hogs 4% -2% 10% 12% -6% 3% 0% 2% 0% 11% 3% 14% -7% 3% -1% 7% 2%
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
19
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 59% 63% 11% 64% 74% 54% 43% -57% 44% 50% 63% 83% 53% 60% -51% -15% -11% 57% 84%Energy 64% 41% 25% 64% 68% 46% 53% -74% 34% 28% 40% 78% 70% 49% -67% 5% 10% 59% 82%
Petroleum 70% 54% 8% 83% 83% 70% 64% -82% 61% 35% 58% 70% 69% 68% -80% -13% 21% 72% 72%Agriculture 22% 54% -22% 45% 55% 43% 33% -24% 42% 39% 55% 50% 25% 58% -32% -35% -35% 42% 58%
Grains 13% 37% -43% 48% 49% 47% 43% -27% 52% 13% 43% 26% 30% 67% -29% -42% -36% 52% 34%Industrial Metals 43% 37% 40% 26% 35% 15% 14% -37% 6% 36% 34% 61% 34% 26% -8% 8% -19% 25% 74%Precious Metals 23% 69% -31% 41% 55% 56% 2% 1% 54% 69% 81% 41% -8% 51% -14% -60% -6% 33% 16%
Softs 24% 66% 22% 21% 44% 23% -3% -7% 10% 74% 59% 71% 2% 16% -23% -12% -14% 7% 70%Livestock 19% 20% 66% 22% 32% 16% 0% -55% 2% 42% 23% 61% 51% 2% -41% 19% 27% 5% 69%
Natural Gas 11% 2% 51% -3% 12% -23% 8% -23% -35% 5% -11% 60% 35% -14% -15% 42% -12% 5% 63%WTI Crude 65% 47% 21% 75% 75% 61% 58% -83% 50% 32% 49% 69% 70% 56% -77% -1% 26% 63% 75%
Brent Crude 71% 65% 2% 86% 89% 76% 63% -78% 66% 44% 69% 75% 63% 72% -78% -19% 17% 74% 72%ULS Diesel 68% 68% -2% 90% 91% 80% 62% -77% 71% 45% 73% 77% 62% 78% -70% -16% 14% 79% 69%
Unleaded Gasoline 80% 65% -18% 90% 91% 81% 69% -70% 75% 41% 71% 67% 58% 84% -79% -37% 12% 83% 62%Corn 9% 51% -61% 52% 56% 56% 38% -13% 61% 24% 58% 27% 17% 74% -20% -53% -35% 59% 19%
Soybeans 26% 34% -10% 51% 50% 42% 52% -51% 42% 13% 34% 38% 46% 56% -51% -19% -25% 46% 62%Wheat 2% -13% -34% 3% -1% -1% 22% 1% 10% -27% -8% -11% 13% 30% 4% -24% -45% 16% 8%
Soybean Oil 28% 72% -52% 43% 54% 48% 26% 5% 49% 47% 68% 34% -12% 58% -24% -49% -33% 41% 30%Soybean Meal 23% -1% 8% 33% 23% 24% 38% -54% 26% -8% 5% 15% 52% 38% -35% -6% -19% 27% 47%HRW Wheat 7% 27% -9% 36% 41% 29% 36% -34% 29% 13% 31% 43% 40% 51% -21% -20% -36% 40% 56%
Copper 44% 54% 12% 50% 54% 38% 34% -42% 31% 35% 51% 63% 36% 52% -22% -4% -24% 49% 71%Alumnium 33% 35% 35% 8% 22% 2% -6% -12% -6% 39% 29% 51% 11% 10% 14% 7% -23% 9% 58%
Zinc 35% 6% 56% 3% 8% -9% 2% -34% -18% 13% 3% 40% 36% 1% 3% 24% -14% 5% 63%Nickel 34% 18% 64% 19% 28% 8% 13% -49% -2% 32% 21% 61% 49% 12% -18% 13% 1% 13% 75%Gold 17% 64% -32% 41% 53% 59% 0% -3% 59% 67% 80% 33% -4% 50% -18% -64% 5% 31% 7%Silver 32% 72% -26% 35% 51% 44% 4% 9% 41% 65% 76% 51% -13% 47% -5% -48% -23% 31% 30%Sugar 15% 79% -19% 47% 62% 52% 24% -17% 47% 64% 76% 52% -1% 43% -47% -41% -8% 31% 45%Coffee 16% 31% 58% 0% 20% 3% -32% -13% -11% 68% 34% 62% 19% -8% -6% 3% 9% -16% 62%Cotton 21% 42% -5% 1% 18% -11% 10% 24% -19% 21% 16% 52% -21% 7% 13% 31% -52% 10% 52%
Live Cattle 22% -1% 71% -3% 1% -3% -31% -31% -13% 35% 6% 35% 36% -15% 11% 27% 22% -17% 37%Lean Hogs 10% 30% 35% 36% 46% 25% 29% -55% 15% 31% 29% 59% 45% 16% -72% 2% 21% 24% 70%
S&P 500 Total Return Index 30% -3% 40% 24% 17% 1% 39% -58% -6% -21% -12% 34% 56% 14% -15% 47% -16% 26% 63%Bloomberg US Treasury -39% 40% 4% 2% 19% 14% -16% 5% 14% 46% 39% 24% -3% 1% -1% -21% -18% -14% 17%
Bloomberg USD IG Corporate -2% 18% 4% 12% 15% 22% -5% -23% 20% 26% 25% 8% 20% 4% -29% -34% -1% -13% 17%Bloomberg USD HY Corporate 40% -3% -12% 22% 13% 21% 17% -37% 19% -14% 2% -6% 27% 14% -37% -23% 6% 11% 7%
Bloomberg U.S. Dollar Spot -49% -72% 3% -58% -71% -51% -37% 39% -41% -56% -69% -77% -28% -52% 65% 30% 5% -48% -75%
US
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Aust
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Mex
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Russ
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Turk
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Switz
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Bloomberg Commodity 78% 47% 1% 53% 17% 69% -33% 26% 65% 22% 35% 11% -12% 8% 67%Energy 75% 33% 7% 47% 3% 63% -40% 38% 65% 20% 38% 25% 3% 23% 67%
Petroleum 80% 43% 4% 55% 16% 71% -35% 30% 64% 17% 35% 18% -1% 13% 70%Agriculture 47% 65% 9% 50% 40% 57% 1% 14% 37% 30% 15% 0% -28% -9% 34%
Grains 43% 64% 6% 52% 34% 55% -2% 13% 31% 22% 15% -1% -21% -10% 28%Industrial Metals 49% 17% -5% 23% 8% 33% -23% -10% 32% -8% 13% -13% -11% -13% 42%Precious Metals 41% 30% -31% 28% 41% 51% 0% -10% 30% 19% 23% -29% -20% -31% 36%
Softs 34% 35% 8% 21% 34% 33% 6% 14% 37% 36% 7% 10% -24% 3% 31%Livestock 38% 36% 21% 30% -1% 27% -34% 24% 35% 1% 15% 11% -18% 9% 19%
Natural Gas 53% 18% 26% 24% -13% 33% -35% 40% 52% 26% 27% 33% 6% 29% 46%WTI Crude 78% 42% 8% 53% 13% 70% -36% 30% 62% 16% 34% 22% 3% 15% 71%
Brent Crude 81% 39% -1% 58% 22% 72% -34% 21% 64% 16% 35% 16% 0% 13% 72%ULS Diesel 81% 49% 2% 58% 21% 74% -35% 32% 67% 18% 40% 12% -8% 5% 69%
Unleaded Gasoline 77% 40% -6% 54% 17% 68% -30% 27% 63% 17% 30% 11% -9% 9% 61%Corn 40% 62% 6% 47% 47% 49% 7% 11% 30% 23% 18% 7% -13% -5% 18%
Soybeans 35% 57% 9% 44% 25% 52% -2% 17% 24% 24% 7% -7% -30% -13% 26%Wheat 38% 54% 2% 45% 15% 46% -17% 10% 28% 1% 20% -11% -15% -16% 29%
Soybean Oil 48% 53% 1% 49% 29% 61% -1% 2% 34% 36% 16% -18% -28% -15% 36%Soybean Meal 22% 45% 2% 38% 14% 41% -16% 16% 19% 2% 16% -12% -32% -17% 22%HRW Wheat 53% 56% 11% 52% 27% 54% -14% 5% 40% 15% 25% 1% -10% -9% 43%
Copper 53% 24% -6% 28% 14% 40% -18% -11% 30% -4% 15% -14% -16% -19% 44%Alumnium 61% 19% 5% 33% 8% 43% -29% -5% 47% 2% 19% -12% -6% -3% 53%
Zinc 23% -1% -1% -3% -3% 0% -12% -15% 5% -19% -8% -2% -9% -7% 11%Nickel 28% 0% -18% 4% -4% 19% -30% -1% 27% -22% 10% -11% -1% -7% 28%Gold 39% 30% -33% 28% 40% 54% -4% -3% 33% 8% 32% -36% -20% -39% 37%Silver 39% 26% -21% 24% 36% 39% 2% -17% 25% 29% 9% -16% -15% -14% 31%Sugar 42% 18% -17% 21% 19% 41% -10% 29% 42% 27% 35% 3% -24% 1% 37%Coffee 21% 31% 41% 13% 28% 8% 6% -3% 16% 28% -29% 27% -9% 12% 20%Cotton 19% 36% -1% 3% 29% 15% 19% 11% 26% 5% 7% -5% -10% -17% 11%
Live Cattle 31% 29% 24% 20% -10% 25% -42% 26% 38% -3% 8% 1% -11% 0% 15%Lean Hogs 34% 34% 11% 31% 7% 24% -21% 20% 24% 2% 21% 12% -27% 10% 16%
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CORRELATION: World GDP vs. BCOM Indices & Other Benchmarks
US
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Indi
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Italy
Cana
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Sout
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Aust
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Mex
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Spai
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Russ
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Indo
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Turk
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Net
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Switz
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Bloomberg Commodity 28% 82% -9% -22% 4% -24% 74% 57% -30% 62% -2% 17% 6% -53% 70% 21% -21% -70% 29%Energy 28% 55% -6% -12% 34% -24% 52% 63% -35% 64% 7% -6% -11% -48% 64% 12% -25% -71% 43%
Petroleum 33% 66% -18% -24% 26% -40% 69% 71% -54% 60% -10% 2% 5% -71% 79% 14% -38% -88% 36%Agriculture 5% 77% -15% -27% -17% -10% 70% 52% -21% 48% -2% 31% 7% -52% 63% 20% -10% -54% 17%
Grains -9% 65% -19% -38% -13% -10% 59% 55% -31% 39% -4% 19% -2% -64% 57% 18% -7% -56% 16%Industrial Metals 31% 61% 1% -15% -6% -17% 46% 23% 5% 36% -11% -4% 12% -15% 26% 22% -13% -37% 14%Precious Metals 19% 78% -2% -22% -32% -19% 72% 20% -37% 22% -30% 46% 39% -48% 56% 16% -15% -45% -13%
Softs 26% 75% -4% 3% -21% -6% 69% 30% 1% 45% -2% 46% 24% -17% 55% 16% -14% -35% 13%Livestock 32% 23% 0% 0% 23% -19% 21% 25% -14% 39% -12% -8% 8% -4% 25% 9% -33% -32% 27%
Natural Gas 12% 7% 23% 22% 33% 17% -4% 16% 16% 43% 42% -13% -36% 21% 8% 2% 14% -4% 33%WTI Crude 34% 58% -15% -15% 30% -38% 61% 68% -45% 56% -8% -1% 3% -60% 71% 13% -39% -81% 38%
Brent Crude 34% 76% -15% -25% 19% -40% 77% 69% -57% 62% -9% 11% 12% -74% 84% 14% -36% -89% 31%ULS Diesel 37% 82% -15% -28% 16% -43% 82% 66% -58% 63% -8% 13% 13% -76% 87% 18% -32% -92% 30%
Unleaded Gasoline 27% 78% -19% -33% 15% -38% 79% 73% -63% 61% -14% 11% 11% -84% 88% 13% -33% -90% 30%Corn -7% 73% -11% -29% -20% -6% 67% 51% -35% 32% -6% 33% 1% -66% 60% 16% 2% -55% 9%
Soybeans 0% 57% -21% -38% 4% -21% 55% 60% -31% 52% 2% 5% 2% -60% 62% 20% -19% -63% 21%Wheat -24% 25% -27% -35% -13% 8% 16% 35% 2% 18% 1% -3% -24% -31% 12% 10% 3% -17% 19%
Soybean Oil 7% 82% -13% -15% -31% -9% 79% 42% -20% 36% -9% 53% 25% -52% 66% 19% -4% -46% 1%Soybean Meal -7% 25% -23% -47% 9% -24% 23% 44% -25% 36% -1% -24% -4% -44% 33% 19% -19% -47% 18%HRW Wheat 2% 64% -20% -33% -8% -7% 53% 51% -12% 43% 0% 9% -13% -45% 45% 17% -11% -50% 27%
Copper 30% 79% -9% -24% -11% -30% 66% 38% -10% 50% -9% 8% 20% -40% 50% 27% -14% -54% 15%Alumnium 28% 58% 11% -1% -16% -5% 41% 9% 18% 18% -12% 10% 11% 0% 13% 17% -5% -21% 4%
Zinc 25% 23% 6% -9% 4% -15% 6% 5% 19% 21% -12% -34% 2% 12% -8% 21% -4% -13% 13%Nickel 30% 36% 0% -19% 10% -10% 25% 22% -2% 30% -10% -23% 0% -7% 19% 15% -23% -35% 20%Gold 16% 69% 0% -23% -30% -21% 66% 19% -47% 14% -37% 43% 41% -52% 53% 14% -17% -45% -16%Silver 22% 83% -5% -20% -32% -15% 75% 19% -18% 32% -16% 45% 33% -39% 54% 18% -11% -39% -6%Sugar 20% 82% -11% -9% -24% -18% 84% 44% -32% 42% -10% 55% 37% -53% 79% 16% -21% -57% 2%Coffee 28% 47% 4% 7% -14% -5% 38% 11% 7% 28% -12% 23% 15% 8% 22% 13% -16% -17% 14%Cotton 17% 59% -3% 11% -8% 11% 52% 19% 36% 50% 36% 37% -2% 3% 37% 17% 13% -10% 18%
Live Cattle 30% 7% 4% 7% -1% -14% -1% -10% 12% 1% -24% -15% 7% 26% -18% 15% -15% -2% 11%Lean Hogs 20% 27% -4% -6% 35% -14% 32% 49% -32% 56% 1% 1% 5% -29% 53% -1% -36% -47% 31%
S&P 500 Total Return Index 19% 17% -8% -1% 33% -12% 11% 33% 16% 30% 24% -35% -33% -7% 10% 17% -8% -35% 39%Bloomberg US Treasury -15% 38% 16% 9% -39% 25% 40% 8% -9% -2% -11% 61% 30% -9% 29% 0% 2% -10% -23%
Bloomberg USD IG Corporate -8% 33% -7% -15% -20% -7% 39% 26% -33% -5% -17% 39% 6% -40% 37% -6% -40% -45% -9%Bloomberg USD HY Corporate 30% 18% -32% -32% 16% -49% 23% 30% -47% 12% -16% -22% -28% -52% 29% 2% -37% -61% 21%
Bloomberg U.S. Dollar Spot -30% -81% 13% 18% -3% 24% -78% -56% 34% -67% 0% -32% -19% 56% -80% -13% 31% 66% -24%
US
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Bloomberg Commodity 41% 48% 14% 29% 36% 33% 52% 4% 1% 39% 33% 36%Energy 36% 15% 8% 10% 26% 20% 37% 4% -5% 23% 34% 20%
Petroleum 38% 27% 9% 14% 27% 20% 43% 7% -4% 27% 26% 27%Agriculture 12% 51% 4% 21% 20% 15% 37% -12% 3% 32% -2% 15%
Grains 6% 44% 2% 13% 15% 10% 30% -10% 5% 24% -6% 8%Industrial Metals 47% 66% 27% 50% 41% 50% 51% 14% 5% 45% 42% 60%Precious Metals 11% 66% 1% 22% 11% 11% 31% 6% 3% 22% -9% 21%
Softs 19% 37% 4% 29% 22% 23% 35% -10% -2% 35% 4% 21%Livestock 44% 14% 22% 27% 33% 32% 23% 6% 12% 31% 33% 35%
Natural Gas 29% -5% 6% 1% 16% 18% 17% -11% -7% 14% 39% 6%WTI Crude 38% 26% 9% 14% 26% 20% 42% 9% -2% 25% 29% 27%
Brent Crude 38% 31% 8% 16% 28% 21% 48% 11% -2% 28% 23% 32%ULS Diesel 34% 28% 7% 12% 24% 14% 40% 3% -8% 25% 20% 25%
Unleaded Gasoline 40% 27% 12% 19% 32% 26% 49% 4% -5% 34% 20% 31%Corn 1% 29% -2% 7% 2% 4% 16% -15% 4% 19% -17% -4%
Soybeans 10% 41% 3% 8% 19% 10% 36% -9% 5% 27% -6% 10%Wheat 6% 50% 8% 23% 22% 12% 29% -1% -1% 19% 10% 14%
Soybean Oil 11% 58% -1% 14% 16% 12% 32% -14% 9% 18% 8% 13%Soybean Meal -1% 26% 3% 6% 12% 7% 29% -1% -5% 23% -13% 13%HRW Wheat 12% 55% 5% 26% 25% 15% 33% -2% -3% 25% 12% 17%
Copper 41% 67% 23% 46% 36% 41% 49% 13% 1% 45% 32% 54%Alumnium 45% 51% 19% 43% 33% 46% 43% 5% 3% 35% 47% 53%
Zinc 46% 52% 36% 54% 39% 51% 40% 12% 5% 50% 41% 60%Nickel 45% 55% 30% 44% 46% 51% 53% 28% 9% 38% 43% 54%Gold 2% 65% 1% 14% 6% -3% 23% 13% -2% 13% -16% 13%Silver 24% 59% 1% 32% 20% 32% 40% -3% 9% 33% 6% 32%Sugar 9% 26% 1% 15% 10% 6% 18% -10% -16% 20% -1% 8%Coffee 24% 26% 4% 19% 12% 24% 26% -11% 11% 34% 11% 32%Cotton 16% 27% 11% 34% 25% 29% 38% 3% -6% 32% 0% 21%
Live Cattle 45% 19% 19% 28% 31% 37% 27% 8% 14% 31% 39% 38%Lean Hogs 32% 9% 21% 20% 28% 19% 12% 3% 7% 23% 17% 24%
20-Year
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COMMITMENT OF TRADERS: Commodity Futures & Options, Money ManagersCOT <GO> * Click hyperlinks to open in Bloomberg
Group Commodity End-Jun Net Position
End-May Net Position
Notional Change ($m) using end-
Jun price
End-Jun Notional ($m)
Natural Gas -30,520 -112,842 2,406 -892 WTI Crude 213,075 241,928 -1,396 10,311
Brent Crude 362,765 381,116 -912 18,022 ULS Diesel 16,528 13,378 196 1,031 Gasoline 7,012 21,263 -899 442
Total -604 28,914 Corn 224,827 64,696 2,872 4,033
Soybeans 200,789 202,173 -81 11,796 Wheat -63,288 -89,636 568 -1,365
Soybean Oil 34,840 46,409 -218 656 Soybean Meal 65,870 70,657 -194 2,670 HRW Wheat -3,989 -18,964 303 -81
Total 3,250 17,710 Copper -27,762 -33,469 314 -1,529
Aluminum 123,597 98,920 1,006 5,039 Zinc 64,960 51,934 679 3,388
Nickel 41,924 40,682 70 2,366 Total 2,070 9,263 Gold 256,898 169,491 11,585 34,049 Silver 75,155 58,874 1,531 7,068 Total 13,116 41,118 Sugar 261,646 212,193 1,116 5,905 Coffee 27,475 5,525 1,186 1,485 Cotton 35,322 28,169 225 1,109 Total 2,527 8,499
Live Cattle 18,570 30,972 -595 891Lean Hogs 68,795 48,637 668 2,280
Total 73 3,171Total 20,432 108,674
HISTORICAL CORRELATION: BCOM Indices vs. Money Manager Positions
1-Year 5-Year 1-Year 5-Year 1-Year 5-Year Natural Gas 17% 24% -36% -36% 43% 45% WTI Crude 11% 29% -57% -48% 57% 52%
Brent Crude 25% 32% -50% -41% 43% 42% ULS Diesel -9% 23% -62% -37% 53% 43% Gasoline 34% 35% -53% -20% 57% 42%
Corn 55% 58% -44% -51% 57% 64% Soybeans 54% 64% -58% -56% 69% 70%
Wheat 75% 53% -72% -62% 76% 67% Soybean Oil 44% 53% -62% -61% 73% 68%
Soybean Meal 62% 54% -62% -46% 78% 62% HRW Wheat 7% 23% -43% 48% 52%
Copper 38% 48% -58% -54% 59% 59% Aluminum 13% -33% 41%
Zinc 35% -39% 67% Nickel 15% -40% 50% Gold 82% 64% -64% -53% 82% 68% Silver 61% 58% -55% -48% 71% 62% Sugar 53% 48% -74% -62% 72% 64% Coffee 66% 48% -70% -65% 77% 66% Cotton 64% 54% -52% -52% 70% 60%
Live Cattle 29% 21% -19% -5% 33% 17%Lean Hogs 4% 17% -6% -14% 3% 14%
CommodityLong Position Short Position Net Position
Energy
Group
Grains
Industrial Metals
Precious Metals
Softs
Livestock
Livestock
Energy
Grains
Industrial Metals
Precious Metals
Softs
22
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
23
Sugar Coffee
Cotton Live Cattle
Lean Hogs
Copper Aluminum
Zinc Nickel
Gold Silver
COMMITMENT OF TRADERS: Money Manager Net Positions vs. BCOM Levels
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
10000
20000
30000
40000
50000
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
-20000
0
20000
40000
60000
80000
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
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
24
COMMODITY INVENTORY & SALESECO17 <GO> * Click hyperlinks to open in Bloomberg
Group Inventory/Sales Ticker Unit End-Jun End-May Change (%)
DOE Natural Gas Total Inventory DOENUST1 bcf 3,140 2,825 11%DOE Crude Oil Total Inventory DOESCRUD mm barrels 527 537 -2%DOE Cushing Oklahoma Crude Oil Total Stocks DOESCROK mm barrels 64 68 -5%DOE Distillate Fuel Oil Total Inventory DOESDIST mm barrels 151 151 0%DOE Motor Gasoline Total Inventory DOESTMGS mm barrels 239 240 0%USDA Corn Total Export Sales SALECNUM thousand MT 1,005 1,627 -38%USDA Soybeans Total Export Sales SALESYBN thousand MT 1,528 607 152%USDA All Wheat Total Export Sales SALEWEAL thousand MT 645 345 87%USDA Soybean Oil Total Export Sales SALESYOL thousand MT 62 35 81%USDA Soybean Cake Meal Total Export Sales SALESCML thousand MT 160 187 -15%Comex Copper Total Inventory COMXCOPR thousand short ton 62 61 2%LME Copper Total Inventory NLSCA thousand MT 194 152 28%LME Primary Aluminum Total Inventory NLSAH thousand MT 2,394 2,529 -5%LME Zinc Total Inventory NLSZS thousand MT 426 381 12%LME Nickel Total Inventory NLSNI thousand MT 380 402 -5%Comex Gold Total Inventory COMXGOLD mm ounces 9 8 10%Comex Silver Total Inventory COMXSILV mm ounces 151 154 -2%
Softs USDA All Upland Cotton Total Export Sales SALECNUA thousand bales 197 248 -20%USDA Cattle Slaughter Estimates Daily SLGTCATT thousand heads 113 112 1%USDA Hogs Slaughter Estimates Daily SLGTHOGS thousand heads 427 434 -2%
HISTORICAL CORRELATION: Inventory & Sales vs. BCOM Indices
Group Inventory/Sales 1-Year 5-YearDOE Natural Gas Total Inventory 24% 0%DOE Crude Oil Total Inventory -68% -91%DOE Cushing Oklahoma Crude Oil Total Stocks -78% -76%DOE Distillate Fuel Oil Total Inventory -84% -62%DOE Motor Gasoline Total Inventory -83% -49%USDA Corn Total Export Sales -14% -36%USDA Soybeans Total Export Sales -5% -4%USDA All Wheat Total Export Sales -3% 18%USDA Soybean Oil Total Export Sales -25% -11%USDA Soybean Cake Meal Total Export Sales 11% 13%Comex Copper Total Inventory -83% 34%LME Copper Total Inventory 65% 34%LME Primary Aluminum Total Inventory 62% 58%LME Zinc Total Inventory -45% 37%LME Nickel Total Inventory 56% -77%Comex Gold Total Inventory 49% 90%Comex Silver Total Inventory -33% -80%
Softs USDA All Upland Cotton Total Export Sales -32% -14%USDA Cattle Slaughter Estimates Daily -15% -23%USDA Hogs Slaughter Estimates Daily 19% -18%
Livestock
Livestock
Energy
Grains
Industrial Metals
Precious Metals
Energy
Grains
Industrial Metals
Precious Metals
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
BCOM Index
BCOM WTI Crude IndexBCOM WTI Crude IndexBCOM ULS Diesel Index
BCOM Silver IndexBCOM Gold Index
25
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
26
Silver Cotton
Live Cattle Lean Hogs
COMMODITY INVENTORY & SALES vs. BCOM INDICESCopper 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
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
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
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
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
USDA Hogs Slaughter Estimates Daily BCOM Lean Hogs Index
27
COMMODITY FUTURES TERM STRUCTUREENERGY GROUP
GRAINS GROUP
1.5
2.5
3.5
4.5
5.5
JUL
16AP
R 17
JAN
18
OCT
18
JUL
19AP
R 20
JAN
21
OCT
21
JUL
22AP
R 23
JAN
24
OCT
24
JUL
25AP
R 26
JAN
27
OCT
27
JUL
28
Natural Gas
31-May-2016
30-Jun-201640
45
50
55
60
JUL
16N
OV
16M
AR 1
7JU
L 17
NO
V 17
MAR
18
JUL
18N
OV
18M
AR 1
9JU
L 19
NO
V 19
MAR
20
JUL
20N
OV
20M
AR 2
1JU
L 21
NO
V 21
WTI Crude
31-May-2016
30-Jun-2016
3035404550556065
JUL
16DE
C 16
MAY
17
OCT
17
MAR
18
AUG
18JA
N 1
9JU
N 1
9N
OV
19AP
R 20
SEP
20FE
B 21
JUL
21DE
C 21
MAY
22
OCT
22
MAR
23
Brent Crude
31-May-2016
30-Jun-2016130
140
150
160
170
180
JUN
16
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
ULS Diesel
31-May-2016
30-Jun-2016
100
120
140
160
180
200
JUN
16
AUG
16O
CT 1
6DE
C 16
FEB
17AP
R 17
JUN
17
AUG
17O
CT 1
7DE
C 17
FEB
18AP
R 18
JUN
18
AUG
18O
CT 1
8DE
C 18
FEB
19AP
R 19
Unleaded Gasoline
31-May-2016
30-Jun-2016
0
100
200
300
400
500
JUL
16
SEP
16
DEC
16
MAR
17
JUL
17
SEP
17
DEC
17
MAR
18
JUL
18
SEP
18
DEC
18
Soybean Meal
31-May-2016
30-Jun-2016400
450
500
550
600
JUL
16
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
DEC
17
MAR
18
MAY
18
JUL
18
HRW Wheat
31-May-2016
30-Jun-2016
350
370
390
410
430
450
JUL
16
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
DEC
17
MAR
18
MAY
18
JUL
18
SEP
18
DEC
18
Corn
31-May-2016
30-Jun-2016800
900
1000
1100
1200
JUL
16AU
G 16
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
18
Soybeans
31-May-2016
30-Jun-2016
400
450
500
550
600
JUL
16
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
DEC
17
MAR
18
MAY
18
JUL
18
Wheat
31-May-2016
30-Jun-201630
30.531
31.532
32.533
33.5
JUL
16
SEP
16
DEC
16
MAR
17
JUL
17
SEP
17
DEC
17
MAR
18
JUL
18
SEP
18
DEC
18
Soybean Oil
31-May-2016
30-Jun-2016
28
INDUSTRIAL METALS GROUP
PRECIOUS METALS GROUP
SOFTS GROUP
LIVESTOCK GROUP
200205210215220225230
JUN
16
SEP
16
DEC
16
MAR
17
JUN
17
SEP
17
DEC
17
MAR
18
JUL
18
MAR
19
SEP
19
MAY
20
DEC
20
Copper
31-May-2016
30-Jun-2016
1300
1500
1700
1900
2100
2300
JUN
16
FEB
17O
CT 1
7JU
N 1
8FE
B 19
OCT
19
JUN
20
FEB
21O
CT 2
1JU
N 2
2FE
B 23
OCT
23
JUN
24
FEB
25O
CT 2
5JU
N 2
6
Aluminum
31-May-2016
30-Jun-2016
11001150120012501300135014001450
JUN
16
AUG
16
DEC
16
APR
17
AUG
17
DEC
17
APR
18
DEC
18
DEC
19
DEC
20
DEC
21
Gold
31-May-2016
30-Jun-20160
5
10
15
20
25
JUN
16
AUG
16
DEC
16
MAR
17
JUL
17
DEC
17
MAR
18
DEC
18
DEC
19
DEC
20
Silver
31-May-2016
30-Jun-2016
10121416182022
JUL
16
OCT
16
MAR
17
MAY
17
JUL
17
OCT
17
MAR
18
MAY
18
JUL
18
OCT
18
MAR
19
Sugar
31-May-2016
30-Jun-2016110120130140150160170
JUL
16SE
P 16
DEC
16M
AR 1
7M
AY 1
7JU
L 17
SEP
17DE
C 17
MAR
18
MAY
18
JUL
18SE
P 18
DEC
18M
AR 1
9M
AY 1
9
Coffee
31-May-2016
30-Jun-2016
5055606570758085
JUN
16
JUL
16
AUG
16
OCT
16
DEC
16
FEB
17
APR
17
MAY
17
JUN
17
JUL
17
AUG
17
Lean Hogs
31-May-2016
30-Jun-2016 95100105110115120125
JUN
16
AUG
16
OCT
16
DEC
16
FEB
17
APR
17
JUN
17
AUG
17
#N/A
Inva
lidSe
curit
y
Live Cattle
31-May-2016
30-Jun-2016
1600170018001900200021002200
JUN
16
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
1
Zinc
31-May-2016
30-Jun-2016
75008000850090009500
1000010500
JUN
16
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
1
Nickel
31-May-2016
30-Jun-2016
606162636465666768
JUL
16
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
Cotton
31-May-2016
30-Jun-2016
29
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.
30
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.
31
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
performance. Past performance is not an indication of future results. To the maximum extent allowed by law,
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
on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or
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32