bloomberg commodity index (bcom)...the bloomberg coffee index (bcomkc) was the standout...

FEBRUARY 2015

BCOM <GO>

[email protected]

www.bloombergindexes.com

Commodity market highlights 02Commodity performance table 04

Commodity benchmark performance 05 Commodity sector performance 06

Single commodity index performance 07Term strutures 10

Commitment of Traders Report (COT) 13Inventory & sales data 14

BCOM constituent weights 15Commodity price forecasts 16Commodity ETP fund flows 17

Historical performance, vol & correlation charts 18 Bloomberg commodity cheatsheet 25

TABLES & CHARTSCOMMODITY INDEX (BCOM)BLOOMBERG

BLOOMBERG COMMODITIES: FEB 2015//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

Industrial Metals (16.3% weight in BCOM)

Falling demand for copper is leading suppliers to stash extra metal in warehouses, pushing inventories tracked by the LME to the biggest increase in a month. Copper stockpiles rose 3.6% to surpass 300,000 metric tons for the first time in a year, according to LME. Global stockpiles tracked by exchanges in London, New York and Shanghai rose by 73% since the start of this year on signs that China, the world’s biggest user of the metal, is battling a slowing economy and a slump in housing and manufacturing. In the backdrop of growing inventory levels, the Bloomberg Copper Index (BCOMHG) climbed 7.9% in February on speculation that more government support will boost economic growth and commodity demand in China. Less bearish copper investors now hold a net-short position of 343 contracts, compared with 9,188 a week earlier. The Bloomberg Industrial Metals Index (BCOMIM), comprised of copper, aluminum, zinc and nickel, gained 1.13% in February. January orders for durable goods advanced in the U.S., the second-biggest metal buyer.

BCOM gains 2.6% in February; petroleum and soybean products drive index returns

• A strong February for petroleum and soybean products pushed BCOM into positive territory for the first time in seven months• The Bloomberg Commodity Index (BCOM) gained 2.6% in February• U.S. large-cap stocks made the biggest monthly gain since October 2011 (5.5%) • In the corporate bond market, energy was the top performing sector with 108bps of total return outperformance relative to the BloombergGlobal Investment Grade Corporate Bond Index (BCOR). • The U.S. dollar gained 0.4% versus a basket of the 10 leading global currencies in February, according to the Bloomberg U.S. Dollar Spot Index(BBDXY).• Fund flows into commodity Exchange Traded Products (ETPs) jumped $1.8 billion in February, led by energy funds.

Energy (33.9% weight in BCOM)

The U.S. is pumping oil at a faster pace than any time since 1972. Crude oil in storage in the U.S. has risen for seven consecutive weeks to a record 434.1 million barrels, the highest level in 80 years. Domestic production is continually topping weekly records, reaching 9.29 million barrels a day, while an unprecedented decline in oil drilling rigs is showing signs of slowing. Although the number of rigs drilling for U.S. oil has fallen 39% since Oct. 10, the decline reported by Baker Hughes Inc. on Feb. 27 was the smallest in eight weeks and domestic crude production has continued to climb.

OPEC has resisted calls to curb production as prices fall and boosted output to 30.6 million barrels a day in February, above its target of 30 million. Saudi Arabia’s output advanced last month by 130,000 barrels a day to 9.85 million a day, the highest level since September 2013, according to a Bloomberg News survey. The country pumps the most crude among the 12 nations of OPEC, which supplies about 40% of the world’s oil.

Money managers raised their net-long positions in Brent crude for a third week. Bullish wagers increased to 182,783 contracts, remaining at their highest level since July in futures and options combined. Short positions in WTI increased by 17,180 contracts to 117,646 futures and options in the period to February 24, the most in CFTC data going back to 2006. The Bloomberg Brent Crude Index was up 14.8%, while the Bloomberg WTI Crude Index gained 3.8%.

ULS Diesel was a star performer in February. The Bloomberg Heating Oil Index (BCOMHO) returned 15.7%. Net-short positions in ULS diesel shrank 49.8% to 15,229 contracts, the least since August. Futures rose 2.6% to $2.0289 a gallon in the last week of February as freezing temperatures, refinery upsets and repairs pinched supplies.

Shrinking European gas reserves have raised the risks for a supply squeeze. EU stockpiles were 35.6% full at the end of February, the lowest level for this time of year since 2009. Ukraine is the transit country for more than 10% of European gas but the risk of Russia cutting off natural gas supplies to Ukraine diminished after the countries agreed on prepayment conditions in talks brokered by the EU. The Bloomberg Natural Gas Index (BCOMNG) gained 0.5% in February.

Grains (21.8% weight in BCOM)

Global grain stockpiles will be the highest in roughly 30 years at end of this season on June 30 after bumper harvests for wheat and corn, the International Grains Council has said. In week ended Feb. 20, U.S. ethanol inventories rose to the highest level since April 2012, the Energy Department said. Hard, red wheat fell to 55-month low on ample global supplies. Money managers were more bearish on wheat, holding a net-short bet of 20,212 contracts.

Soybean futures rose on Brazil supply concern as truckers continued to strike. U.S. farmers from Louisiana to North Dakota are preparing to switch more land to soybeans as they seek to limit losses from a slumping corn market. While corn remains the biggest domestic crop, prices have tumbled so much after two years of record harvests that the grain fetches less than it costs some farmers to produce. For the first time since the 1970s, corn planting will decline for a third straight season, while soybean acreage expands to the most ever, according to a Bloomberg survey of trading firms and analysts. The Bloomberg Agriculture Index (BCOMAG) of eight farm products, excluding livestock, gained 4.3%, after touching a high of 61.78 mid-February.


2

Precious Metals (16.2% weight in BCOM)

Judging by the barometer of hedge-fund interest, gold fever is fading. Even as Greece battled with its creditors to avoid default and keep the euro zone intact, speculators retreated from the metal used as a haven from economic and political upheaval. Money managers cut their net-long wagers by the most in 15 weeks, U.S. government data show.

The strengthening dollar and record valuations for global equities are diminishing bullion’s appeal as a store of wealth. As the combined market capitalization of stocks thundered through $67 trillion in February and the dollar traded at its highest level in at least a decade, this month’s losses in ETPs backed by gold reached almost $4 billion.

The Bloomberg Gold Index (BCOMGC) dropped 5.2% in February. The net-bullish position in gold fell 38% to 103,528 contracts at the end of February. Minutes from the Fed’s January meeting showed some policy makers argued for keeping interest rates near record lows for longer. The policy makers cited a strengthening dollar, international flash points from Greece to Ukraine and slow wage growth among reasons for delaying the first rate increase since 2006, according to the record released on Feb. 18. Higher borrowing costs cut gold’s allure because the metal generally offers returns only through price gains.

Livestock (4.6% weight in BCOM)

The production levels of hogs has exceeded expectations, so we’re seeing that affect the market. The Bloomberg Livestock Index (BCOMLI), composed of both live cattle and lean hogs contracts, dropped 2.7% in February. Cheap pork is eroding beef demand, which may not pick up until grilling season. U.S. pork output in 2015 will reach an all-time high, the government forecasts.

Softs (7.2% weight in BCOM)

The Bloomberg Coffee Index (BCOMKC) was the standout underperformer in the BCOM index family in February, retreating 14.7%. Downpours in Brazil in the past month mean moisture levels are adequate in most coffee growing areas, replenishing soil left parched by a drought in 2014. The rains in the top coffee producer and exporter spurred hedge funds to cut their bullish positions by the most in a year. Coffee swung from a bear market to a bull market twice over the past year, making it the most volatile component of BCOM. After 2014’s drought caused prices to double, futures retreated for a sixth consecutive month in February. The rain picture is changing the trajectory for coffee. The net-bullish position in coffee tumbled 60% to 8,167 futures and options in the week ended Feb. 24, CFTC data show. It was the biggest drop since funds were net-bearish in January 2014. Long holdings fell by the most since October. As rains improve crop prospects in Brazil, output is also set to climb in Colombia, the second-largest supplier of arabica. Production will rise as much as 5.8% this year to the highest since 2008, according to Colombia’s main exporter group. The weak Brazilian real, trading near 10-year lows against the dollar, continues to weigh on the coffee market.

Sugar extended its slide to a 5-year low. The Bloomberg Sugar Index (BCOMSB) fell 6.7% in February. ISO raised the world sugar surplus estimate for 2014-15. Large supply combined with a weak Brazilian real paints a gloomy picture for sugar prices.


3

BCOM Composite Indices

2015 2014Feb Jan Dec YTD 3-Month 1-Year 3-Year 5-Year 10-Year 20-Year

Bloomberg Commodity (BCOM) BCOM 2.57% -3.34% -7.63% -0.85% -8.42% -22.80% -30.13% -22.71% -34.07% 9.82%Bloomberg Roll Select BCOMRS 2.40% -2.96% -6.92% -0.63% -7.51% -20.46% -27.77% -14.04% 11.48% 145.08%

1 Month Forward BCOMF1 2.62% -3.17% -7.41% -0.63% -7.99% -20.81% -27.28% -16.94% -13.52% 99.98% 2 Month Forward BCOMF2 2.62% -3.22% -6.74% -0.69% -7.38% -20.36% -28.91% -17.75% -2.31% 124.60% 3 Month Forward BCOMF3 2.52% -3.03% -6.17% -0.58% -6.71% -19.54% -27.73% -15.28% 7.52% 133.34% 4 Month Forward BCOMF4 2.52% -2.96% -5.78% -0.51% -6.26% -18.81% -26.52% -11.72% 20.49% 5 Month Forward BCOMF5 2.36% -2.67% -5.69% -0.37% -6.04% -18.88% -26.97% -12.03% 24.48% 6 Month Forward BCOMF6 2.35% -2.66% -5.53% -0.37% -5.88% -18.36% -26.50% -11.13% 29.24%

Energy BCOMEN 8.43% -6.74% -22.06% 1.12% -21.19% -42.20% -42.33% -53.77% -83.33% -23.30%Petroleum BCOMPE 11.23% -7.90% -18.11% 2.44% -16.11% -42.68% -44.67% -32.99% -56.24% 130.53%Agriculture BCOMAG 2.21% -5.74% -1.92% -3.65% -5.50% -21.22% -24.32% -1.79% -8.53% -40.96%

Softs BCOMSO -5.79% 0.63% -7.76% -5.20% -12.55% -29.06% -45.40% -22.11% -40.27% -61.00%Grains BCOMGR 4.31% -8.73% 1.17% -4.80% -3.68% -19.45% -18.61% 3.15% -8.10% -45.73%

Industrial Metals BCOMIN 1.13% -5.36% -4.35% -4.29% -8.46% -8.10% -30.79% -29.72% 10.86% 22.04%Precious Metals BCOMPR -4.87% 8.45% 0.63% 3.17% 3.81% -12.34% -37.07% 3.96% 115.20% 100.89%

Livestock BCOMLI -2.66% -8.52% -4.84% -10.95% -15.26% -10.91% -10.54% -4.38% -55.71% -68.20%Ex-Energy BCOMXE -0.22% -2.67% -2.25% -2.88% -5.07% -15.24% -27.52% -7.88% 11.24% -5.40%

Ex-Petroleum BCOMXPE -0.14% -3.24% -5.46% -3.37% -8.65% -19.07% -28.20% -23.20% -33.15%Ex-Agriculture BCOMXAG 2.72% -2.48% -10.31% 0.17% -10.15% -23.96% -33.26% -31.92% -45.69%

Ex-Softs BCOMXSO 3.27% -3.80% -7.62% -0.66% -8.22% -22.36% -28.96% -23.27% -34.43%Ex-Grains BCOMXGR 2.24% -2.22% -9.45% -0.03% -9.48% -23.60% -33.19% -28.74% -41.99%

Ex-Industrial Metals BCOMXIM 2.86% -2.87% -8.37% -0.10% -8.46% -25.54% -30.06% -21.45% -45.44%Ex-Precious Metals BCOMXPM 4.14% -5.65% -9.18% -1.74% -10.76% -24.80% -29.45% -27.07% -43.75%

Ex-Livestock BCOMXLI 2.85% -3.02% -7.83% -0.26% -8.06% -23.60% -31.27% -23.84% -32.19%Ex-Agriculture & Livestock BCOMXAL 3.12% -1.94% -10.90% 1.12% -9.91% -25.34% -35.23% -34.23% -44.90%

BCOM Single Commodity Indices

2015 2014Feb Jan Dec YTD 3-Month 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas BCOMNG 0.52% -7.08% -28.87% -6.60% -33.57% -44.52% -41.44% -83.15% -98.65% -98.60%WTI Crude BCOMCL 3.81% -10.17% -19.33% -6.75% -24.77% -48.07% -52.42% -48.31% -70.34% 72.06%

Brent Crude BCOMCO 14.82% -9.92% -18.18% 3.42% -15.37% -45.22% -45.36% -16.85% -26.51% 433.26%ULS Diesel BCOMHO 15.68% -6.41% -14.14% 8.27% -7.05% -33.43% -37.46% -12.39% -36.40% 145.97%

Unleaded Gasoline BCOMRB 14.37% -1.68% -19.34% 12.44% -9.30% -36.91% -31.12% 5.29% -13.55% 340.67%Corn BCOMCN 4.09% -6.80% 2.12% -2.99% -0.93% -22.43% -31.05% 1.08% -32.31% -79.15%

Soybeans BCOMSY 6.83% -6.11% 0.14% 0.31% 0.44% -14.25% 19.47% 61.07% 94.89% 188.17%Wheat BCOMWH 2.06% -14.75% 1.94% -13.00% -11.31% -20.89% -37.81% -46.05% -65.74% -92.10%

Soybean Oil BCOMBO 9.12% -6.66% -1.14% 1.85% 0.69% -23.66% -45.22% -33.44% -25.80% -60.76%Soybean Meal BCOMSM 5.99% -5.09% -1.70% 0.60% -1.12% -1.67% 79.45% 152.51% 309.50% 945.45%HRW Wheat BCOMKW -0.52% -13.77% -2.11% -14.22% -16.03% -23.41% -34.92% -26.69% -34.98% -64.54%

Copper BCOMHG 7.91% -11.71% -0.72% -4.74% -5.42% -15.39% -32.54% -23.83% 78.80% 134.32%Alumnium BCOMAL -2.78% 0.49% -8.48% -2.31% -10.59% -1.24% -36.82% -37.48% -46.70% -61.12%

Zinc BCOMZS -3.12% -2.49% -1.97% -5.54% -7.40% -3.10% -13.19% -23.60% 6.01% -16.38%Nickel BCOMNI -7.20% -0.01% -7.14% -7.20% -13.83% -5.93% -30.45% -37.83% -10.08% 100.65%Gold BCOMGC -5.17% 7.95% 0.73% 2.38% 3.12% -8.48% -30.30% 4.99% 121.79% 84.72%Silver BCOMSI -4.03% 10.31% 0.28% 5.87% 6.17% -23.06% -53.91% -4.93% 76.09% 99.89%Sugar BCOMSB -6.65% 1.86% -6.86% -4.91% -11.44% -37.77% -58.89% -44.77% -34.26% -32.63%Coffee BCOMKC -14.69% -2.82% -11.12% -17.10% -26.32% -28.77% -47.79% -28.08% -59.99% -83.63%Cotton BCOMCT 8.92% -1.51% 0.32% 7.28% 7.62% -17.35% -17.21% 15.93% -35.92% -84.26%

Lean Hogs BCOMLH -6.61% -12.65% -7.96% -18.42% -24.92% -33.90% -27.92% -32.15% -80.10% -90.83%Live Cattle BCOMLC -0.38% -6.09% -3.35% -6.44% -9.58% 6.27% 0.67% 15.91% -29.01% -37.49%

Index Name Ticker

Index Name Ticker

PERFORMANCE: Bloomberg Commodity Indices


4

Commodities vs. Equities vs. Bond vs. USD

All major BCOM benchmarks posted positive monthly returns in February, the first time since June 2014. The headline BCOM index gained 2.57%.

The volatilities for the main BCOM family were fairly stationary in February.

Commodities fared well versus U.S. large cap stocks, which made the biggest monthly gain since October 2011, returning 5.5% in February.

The 60-day moving volatilities for all asset classes rose slightly during February with commodities still on top.

PERFORMANCE: Bloomberg Commodity IndicesChart 1: Return

Chart 3: Return

Chart 5: Correlation

Chart 2: Volatility (Realized, 60 days)


BCOM is positively correlated with U.S. large cap stocks, and negatively correlated with treasuries and the dollar.

0%

1%

2%

3%

4%

5%

30-Jan-15 13-Feb-15 27-Feb-15

Bloomberg CommodityIndex

Bloomberg Roll SelectCommodity Index

Bloomberg CommodityIndex 3 Month Forward

Bloomberg Commodityex-Ags & Livestock Index

12%

14%

16%

18%

20%

22%

24%

26%

30-Jan-15 13-Feb-15 27-Feb-15

BloombergCommodity Index

Bloomberg RollSelect CommodityIndexBloombergCommodity Index 3Month ForwardBloombergCommodity ex-Ags &Livestock Index

-4%-3%-2%-1%0%1%2%3%4%5%6%7%

30-Jan-15 13-Feb-15 27-Feb-15


S&P 500 Index

Bloomberg USTreasury Bond Index

Bloomberg DollarSpot Index

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

30-Jan-15 13-Feb-15 27-Feb-15


S&P 500 Index

Bloomberg USTreasury Bond Index

Bloomberg DollarSpot Index

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30-Jan-15 13-Feb-15 27-Feb-15

BCOM - S&P 500Index

BCOM - BloombergUS Treasury BondIndex

BCOM - BloombergDollar Spot Index


5

Chart 10: Correlation Between Energy and GroupsEnergy had become positively correlated with all other commodity groups except precious metals.

Chart 11: Commodity Inter-group Correlation

After being hard hit in January, energy and grains were the turnaround story, posting positive returns in February.

With a combined weight of 17.6% of BCOM, diesel, gasoline and brent helped keep the energy group on top during February.

The 60-day moving volatility for the energy index continued to rise and ended above 40% for February.

February monthly volatilities for energy and metals were lower than those for January, but are still at a relatively high level compared to the previous year. Livestock volatility for February was substantially higher than in previous quarters.

Chart 8: Return vs. Previous Quarters Chart 9: Volatility vs. Previous Quarters

PERFORMANCE: BCOM SubgroupsChart 6: Return Chart 7: Volatility (Realized, 60 days)

Chart 12: Commodity Subgroup Correlation with Equity, Bond, USD

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

30-Jan-15 13-Feb-15 27-Feb-15

Energy

Grains

Industrial Metals

Precious Metals

Softs

Livestock10%

15%

20%

25%

30%

35%

40%

45%

50%

30-Jan-15 13-Feb-15 27-Feb-15

Energy

Grains

Industrial Metals

Precious Metals

Softs

Livestock

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

Energy Grains IndustrialMetals

PreciousMetals

Softs Livestock BCOM

Feb '15 Jan '15 1Q14 2Q14 3Q14 4Q14 Full year 2014

0%

10%

20%

30%

40%

50%

60%

Energy Grains IndustrialMetals

PreciousMetals

Softs Livestock BCOM


-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

Energy-GrainsCorrelation

Energy-Industrial

MetalsCorrelation

Energy-PreciousMetals

Correlation

Energy-SoftsCorrelation

Energy-Livestock

Correlation

Feb '15 Jan '15 1Q14 2Q14 3Q14 4Q14

Feb '15 Energy GrainsIndustrial

MetalsPrecious Metals Softs Livestock

Energy 100%Grains 47% 100%Industrial Metals 26% 45% 100%Precious Metals -4% 5% 26% 100%Softs 12% 35% 53% -11% 100%Livestock 33% 10% 23% 10% 3% 100%

Energy GrainsIndustrial

MetalsPrecious Metals Softs Livestock

S&P 500 Index 50% 22% 23% -11% 0% -15%

Bloomberg US Treasury Bond Index

-29% -51% 6% 38% -21% -27%

Bloomberg Dollar Spot Index

-66% -28% -46% -13% -31% 9%


6

PERFORMANCE: BCOM Single Commodity IndicesChart 13: Return For February 2015

Chart 14: Volatility For February 2015

Chart 15: Inter-Commodity Correlation for February 2015

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Nat

ural

Gas

WTI

Cru

de

Bren

t Cru

de

ULS

Die

sel

Unl

eade

d Ga

solin

e

Corn

Soyb

eans

Whe

at

Soyb

ean

Oil

Soyb

ean

Mea

l

HRW

Whe

at

Copp

er

Alum

nium

Zinc

Nick

el

Gold

Silv

er

Suga

r

Coff

ee

Cott

on

Lean

Hog

s

Live

Catt

le

Natural Gas 100%WTI Crude 12% 100%Brent Crude 5% 97% 100%ULS Diesel 14% 96% 98% 100%Unleaded Gasoline 12% 90% 91% 91% 100%Corn 9% 48% 45% 44% 36% 100%Soybeans -3% 47% 42% 35% 32% 74% 100%Wheat 2% 47% 40% 36% 25% 77% 70% 100%Soybean Oil -10% 64% 63% 60% 58% 46% 48% 69% 100%Soybean Meal 14% 33% 28% 22% 19% 64% 90% 47% 12% 100%HRW Wheat 12% 52% 46% 44% 34% 80% 77% 95% 67% 57% 100%Copper -21% 28% 26% 27% 15% 43% 50% 37% 20% 43% 40% 100%Alumnium -33% 44% 39% 40% 35% 42% 59% 45% 56% 38% 48% 76% 100%Zinc -23% 43% 37% 41% 35% 32% 44% 42% 49% 28% 49% 72% 80% 100%Nickel -20% 24% 17% 20% 27% -23% -5% -10% 17% -14% 2% 37% 44% 64% 100%Gold -26% -16% -5% -5% -1% 4% 0% -9% 16% -19% -7% 9% 28% 4% -1% 100%Silver 6% 5% 9% 17% 16% 19% 0% 5% 15% -15% 14% 32% 33% 35% 29% 76% 100%Sugar -21% 11% 4% 1% -19% 31% 40% 42% 0% 38% 32% 46% 26% 31% -10% -26% -17% 100%Coffee -11% 14% 11% 23% 1% 0% -8% 14% 38% -22% 15% 27% 47% 58% 29% 12% 22% 15% 100%Cotton 13% 57% 54% 50% 33% 34% 31% 25% 17% 31% 26% 41% 25% 7% 9% -22% -8% 38% -10% 100%Lean Hogs 18% 25% 29% 29% 38% -1% -10% -13% -16% 8% -12% 7% -2% 16% 12% -11% 7% -28% -7% -13% 100%Live Cattle -8% 22% 21% 19% 24% 34% 2% 29% 11% -7% 15% 32% 19% 31% 9% 8% 34% 41% -1% 16% 26% 100%

LivestockEnergy Grains Industrial Metals Precious Softs


7

PERFORMANCE: Single Commodity IndiciesENERGY GROUP

GRAINS GROUP


INDUSTRIAL METALS GROUP


Chart 16: Return

Chart 20: Return


Money managers increased their long positions in Brent crude in the third week in February. Bullish wagers increased and remained at their highest level since July. Short positions in WTI increased by the most in CFTC data going back to 2006. The Bloomberg Brent Crude Index was up 14.8%, while the Bloomberg WTI Crude Index gained 3.8%. ULS Diesel was a star performer in February. The Bloomberg Heating Oil Index (BCOMHO) returned 15.7%. Net-short positions in ULS diesel shrank 49.8% to 15,229 contracts, the least since August. Futures rose 2.6% to $2.0289 a gallon in the last week of February as freezing temperatures, refinery upsets and repairs pinched supplies.

Soybean futures rose on Brazil supply concern as truckers continued to strike. U.S. farmers from Louisiana to North Dakota are preparing to switch more land to soybeans as they seek to limit losses from a slumping corn market. While corn remains the biggest domestic crop, prices have tumbled so much after two years of record harvests that the grain fetches less than it costs some farmers to produce. For the first time since the 1970s, corn planting will decline for a third straight season, while soybean acreage expands to the most ever, according to a Bloomberg survey of trading firms and analysts.

Chart 18: Return

In the backdrop of growing inventory levels, the Bloomberg Copper Index (BCOMHG) climbed 7.9% in February on speculation that more government support will boost economic growth and commodity demand in China. Less bearish copper investors now hold a net-short position of 343 contracts, compared with 9,188 a week earlier. The Bloomberg Industrial Metals Index (BCOMIM), comprised of copper, aluminum, zinc and nickel, gained 1.13% in February.

-60%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

Natural Gas WTI Crude Brent Crude ULS Diesel UnleadedGasoline


-30%

-20%

-10%

0%

10%

20%

30%

Corn Soybeans Wheat Soybean Oil SoybeanMeal

HRW Wheat


-20%-15%-10%

-5%0%5%

10%15%20%25%

Copper Alumnium Zinc Nickel


0%

5%

10%

15%

20%

25%

30%

35%



0%

10%

20%

30%

40%

50%

60%

70%

80%

Natural Gas WTI Crude Brent Crude ULS Diesel UnleadedGasoline


0%

5%

10%

15%

20%

25%

30%

35%

Corn Soybeans Wheat Soybean Oil SoybeanMeal

HRW Wheat



8

PERFORMANCE: Single Commodity Indices PRECIOUS METALS GROUP

SOFTS GROUP


LIVESTOCK GROUP


Chart 22: Return Chart 23: Volatility (Realized, 60 days)

Chart 24: Return

Chart 26: Return

The production levels of hogs has exceeded expectations, so we’re seeing that affect the market. The Bloomberg Livestock Index (BCOMLI), composed of both live cattle and lean hogs contracts, dropped 2.7% in February. Cheap pork is eroding beef demand, which may not pick up until grilling season. U.S. pork output in 2015 will reach an all-time high, the government forecasts.

The Bloomberg Gold Index (BCOMGC) dropped 5.2% in February. The net-bullish position in gold fell 38% to 103,528 contracts at the end of February. Prices declined 5.2% in February as a rally for equities and the dollar cut demand for haven assets. Minutes from the Fed’s January meeting showed some policy makers argued for keeping interest rates near record lows for longer. The policy makers cited a strengthening dollar, international flash points from Greece to Ukraine and slow wage growth among reasons for delaying the first rate increase since 2006, according to the record released on Feb. 18. Higher borrowing costs cut gold’s allure because the metal generally offers returns only through price gains.

The Bloomberg Coffee Index (BCOMKC) was the notable underperformer in BCOM index family in February, retreating 14.7%. Downpours in Brazil in the past month mean moisture levels are adequate in most coffee growing areas, replenishing soil left parched by a drought in 2014. The rains in the top coffee producer and exporter spurred hedge funds to cut their bullish positions by the most in a year. Coffee swung from a bear market to a bull market twice over the past year, making it the most volatile component of BCOM. After 2014’s drought caused prices to double, futures retreated for a sixth consecutive month in February. The rain picture is changing the trajectory for coffee. The net-bullish position in coffee tumbled 60 percent to 8,167 futures and options in the week ended Feb. 24, CFTC data show. It was the biggest drop since funds were net-bearish in January 2014. Long holdings fell by the most since October.

-40%-30%-20%-10%

0%10%20%30%40%50%60%70%

Sugar Coffee Cotton


-20%-15%-10%

-5%0%5%

10%15%20%25%30%35%

Lean Hogs Live Cattle


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Gold Silver


0%

10%

20%

30%

40%

50%

60%

Sugar Coffee Cotton


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%



-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

Gold Silver



9

COMMODITY FUTURES TERM STRUCTUREENERGY GROUP

GRAINS GROUP

Brent-WTI spread widened in February. Brent and Gasoline ended February with milder contango while WTI ended with steeper contango. ULS Diesel had a huge swing at the front of the curve with March contract ending much higher than the April contract.

Futures curves for grains continued to rotate counterclockwise during February as front month prices rose.

2.5

3.5

4.5

5.5

MAR

15

SEP

15M

AR 1

6SE

P 16

MAR

17

SEP

17M

AR 1

8SE

P 18

MAR

19

SEP

19M

AR 2

0SE

P 20

MAR

21

SEP

21M

AR 2

2SE

P 22

MAR

23

SEP

23M

AR 2

4SE

P 24

MAR

25

SEP

25M

AR 2

6SE

P 26

MAR

27

Natural Gas

30-Jan-2015 27-Feb-2015

40

50

60

70

MAR

15

JUN

15

SEP

15DE

C 15

MAR

16

JUN

16

SEP

16DE

C 16

MAR

17

JUN

17

SEP

17DE

C 17

MAR

18

JUN

18

SEP

18DE

C 18

MAR

19

JUN

19

SEP

19DE

C 19

MAR

20

JUN

20

SEP

20

WTI Crude

30-Jan-2015 27-Feb-2015

5060708090

MAR

15

JUL

15

NO

V 15

MAR

16

JUL

16

NO

V 16

MAR

17

JUL

17

NO

V 17

MAR

18

JUL

18

NO

V 18

MAR

19

JUL

19

NO

V 19

MAR

20

JUL

20

NO

V 20

MAR

21

JUL

21

NO

V 21

Brent Crude

30-Jan-2015 27-Feb-2015

150170190210230

FEB

15

APR

15

JUN

15

AUG

15

OCT

15

DEC

15

FEB

16

APR

16

JUN

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

JUN

17

AUG

17

OCT

17

DEC

17

FEB

18

APR

18

ULS Diesel

30-Jan-2015 27-Feb-2015

140

160

180

200

FEB

15

APR

15

JUN

15

AUG

15

OCT

15

DEC

15

FEB

16

APR

16

JUN

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

JUN

17

AUG

17

OCT

17

DEC

17

Unleaded Gasoline

30-Jan-2015 27-Feb-2015

450

500

550

600

MAR

15

MAY

15

JUL

15

SEP

15

DEC

15

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

Wheat

30-Jan-2015 27-Feb-2015

2829303132333435

MAR

15

MAY

15

JUL

15

AUG

15

SEP

15

OCT

15

DEC

15

JAN

16

MAR

16

MAY

16

JUL

16

AUG

16

SEP

16

OCT

16

DEC

16

JAN

17

MAR

17

MAY

17

JUL

17

AUG

17

SEP

17

Soybean Oil

30-Jan-2015 27-Feb-2015

360380400420440460

MAR

15

MAY

15

JUL

15

SEP

15

DEC

15

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

Corn

30-Jan-2015 27-Feb-2015

920

970

1020

MAR

15

MAY

15

JUL

15

AUG

15

SEP

15

NO

V 15

JAN

16

MAR

16

MAY

16

JUL

16

AUG

16

SEP

16

NO

V 16

JAN

17

MAR

17

MAY

17

JUL

17

Soybeans

30-Jan-2015 27-Feb-2015


10

COMMODITY FUTURES TERM STRUCTURE

INDUSTRIAL METALS GROUP

PRECIOUS METALS GROUP

Term structures for industrial metals were relatively persistent from previous month, with aluminum and zinc showing slightly steeper contango.

Term structure for gold and silver remained relatively unchanged from the previous month, despite a large price drop for both.

275

295

315

335

355

375

MAR

15

MAY

15

JUL

15AU

G 15

SEP

15O

CT 1

5DE

C 15

JAN

16

MAR

16

MAY

16

JUL

16AU

G 16

SEP

16O

CT 1

6DE

C 16

JAN

17

MAR

17

MAY

17

JUL

17AU

G 17

SEP

17

Soybean Meal

30-Jan-2015 27-Feb-2015

500520540560580600620640

MAR

15

MAY

15

JUL

15

SEP

15

DEC

15

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

HRW Wheat

30-Jan-2015 27-Feb-2015

220

230

240

250

260

270

280

FEB

15

APR

15

JUN

15

AUG

15

OCT

15

DEC

15

FEB

16

APR

16

JUN

16

AUG

16

OCT

16

DEC

16

MAR

17

JUL

17

DEC

17

MAY

18

SEP

18

MAR

19

JUL

19

DEC

19

Copper

30-Jan-2015 27-Feb-2015

17501850195020502150225023502450

FEB

15JU

L 15

DEC

15M

AY 1

6O

CT 1

6M

AR 1

7AU

G 17

JAN

18

JUN

18

NO

V 18

APR

19SE

P 19

FEB

20JU

L 20

DEC

20M

AY 2

1O

CT 2

1M

AR 2

2AU

G 22

JAN

23

JUN

23

NO

V 23

APR

24SE

P 24

FEB

25

Aluminum

30-Jan-2015 27-Feb-2015

1150

1200

1250

1300

1350

1400

FEB

15M

AR 1

5AP

R 15

JUN

15

AUG

15O

CT 1

5DE

C 15

FEB

16AP

R 16

JUN

16

AUG

16O

CT 1

6DE

C 16

JUN

17

DEC

17JU

N 1

8DE

C 18

JUN

19

DEC

19JU

N 2

0DE

C 20

Gold

30-Jan-2015 27-Feb-2015

1515.5

1616.5

1717.5

1818.5

19

FEB

15

MAR

15

APR

15

MAY

15

JUL

15

SEP

15

DEC

15

JAN

16

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

JUL

17

DEC

17

JUL

18

DEC

18

JUL

19

DEC

19

Silver

30-Jan-2015 27-Feb-2015

2000202020402060208021002120214021602180

FEB

15M

AY 1

5AU

G 15

NO

V 15

FEB

16M

AY 1

6AU

G 16

NO

V 16

FEB

17M

AY 1

7AU

G 17

NO

V 17

FEB

18M

AY 1

8AU

G 18

NO

V 18

FEB

19M

AY 1

9AU

G 19

NO

V 19

FEB

20

Zinc

30-Jan-2015 27-Feb-2015

13000

13500

14000

14500

15000

15500

FEB

15M

AY 1

5AU

G 15

NO

V 15

FEB

16M

AY 1

6AU

G 16

NO

V 16

FEB

17M

AY 1

7AU

G 17

NO

V 17

FEB

18M

AY 1

8AU

G 18

NO

V 18

FEB

19M

AY 1

9AU

G 19

NO

V 19

FEB

20M

AY 2

0

Nickel

30-Jan-2015 27-Feb-2015


11

COMMODITY FUTURES TERM STRUCTURE

SOFTS GROUP

LIVESTOCK GROUPLean hogs futures curve rotated counterclockwise to a steeper contango at the front end, while the live cattle curve experienced a clockwise rotation to a steeper backwardation.

Front month contracts for sugar and cotton became relatively more expensive than the longer contracts.

12

13

14

15

16

17

18

MAR

15

MAY

15

JUL

15

OCT

15

MAR

16

MAY

16

JUL

16

OCT

16

MAR

17

MAY

17

JUL

17

OCT

17

Sugar

30-Jan-2015 27-Feb-2015

120130140150160170180190

MAR

15

MAY

15

JUL

15

SEP

15

DEC

15

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

Coffee

30-Jan-2015 27-Feb-2015

5456586062646668

MAR

15

MAY

15

JUL

15

OCT

15

DEC

15

MAR

16

MAY

16

JUL

16

OCT

16

DEC

16

MAR

17

MAY

17

JUL

17

OCT

17

Cotton

30-Jan-2015 27-Feb-2015

60

65

70

75

80

85

90

FEB

15

APR

15

MAY

15

JUN

15

JUL

15

AUG

15

OCT

15

DEC

15

FEB

16

APR

16

MAY

16

Lean Hogs

30-Jan-2015 27-Feb-2015

130

135

140

145

150

155

160

FEB

15

APR

15

JUN

15

AUG

15

OCT

15

DEC

15

FEB

16

APR

16

JUN

16

Live Cattle

30-Jan-2015 27-Feb-2015


12

COMMITMENT OF TRADERS REPORT: COMMODITY FUTURES & OPTIONS, MONEY MANAGERS COT <GO>

Group CommodityEnd of Month Jan 2015 Net Position

(Lots)

End of Month Feb 2015 Net Position

(Lots)

Notional Change ($mm, using end of

Feb 2015 price)

End of Month Feb 2015 Notional

($mm) Natural Gas -54,143 -67,217 -379 -1,951 WTI Crude 216,325 202,609 -676 9,985 Brent Crude 143,039 182,783 2,331 10,722 ULS Diesel -30,316 -15,229 1,286 -1,298 Gasoline 52,178 41,189 -748 2,803

1,814 20,261 Corn 169,917 80,191 -1,694 1,514 Soybeans -33,021 284 1,692 14 Wheat -12,026 -32,238 -511 -815 Soybean Oil 22,454 24,751 43 467 Soybean Meal 33,972 32,536 -51 1,161 HRW Wheat 11,744 5,912 -156 158

-677 2,499 Copper -12,976 -343 836 -23 Aluminum 109,502 113,619 184 5,070 Zinc 50,989 49,906 -55 2,541 Nickel 25,558 16,917 -721 1,412

244 9,001 Gold 167,693 103,528 -7,680 12,391 Silver 40,164 29,281 -881 2,370

-8,561 14,761 Sugar 3,984 -37,095 -652 -589 Coffee 20,645 8,167 -680 445 Cotton -8,512 46,887 1,794 1,518

462 1,375 Live Cattle 58,975 50,031 -560 3,135 Lean Hogs 34,290 31,426 -79 862

-639 3,997Total -7,358 51,894

Livestock

Energy

Grains

Industrial Metals

Precious Metals

Softs


13

GLOBAL COMMODITIES INVENTORIES AND SALES DATAECO17 <GO>

Group Inventory/SalesRelated

CommoditiesUnit

End of Month Jan

2015

End of Month

Feb 2015

Change (%)

DOE Natural Gas Total Inventory Natural Gas bcf 2,428 1,938 -20%DOE Crude Oil Total Inventory WTI, Brent mm barrels 413 434 5%DOE Cushing Oklahoma Crude Oil Total Stocks WTI, Brent mm barrels 41 49 18%DOE Distillate Fuel Oil Total Inventory ULS Diesel mm barrels 134 125 -7%DOE Motor Gasoline Total Inventory Gasoline mm barrels 241 240 0%USDA Corn Total Export Sales Corn thousand MT 852 864 1%USDA Soybeans Total Export Sales Soybeans thousand MT 497 495 0%USDA All Wheat Total Export Sales Wheat, HRW Wheat thousand MT 487 459 -6%USDA Soybean Oil Total Export Sales Soybean Oil thousand MT 15 14 -6%USDA Soybean Cake Meal Total Export Sales Soybean Meal thousand MT 302 85 -72%Comex Copper Total Inventory Copper thousand short ton 21 18 -16%LME Copper Total Inventory Copper mm MT 5 6 19%LME Primary Aluminum Total Inventory Aluminum mm MT 81 79 -3%LME Zinc Total Inventory Zinc mm MT 13 11 -10%LME Nickel Total Inventory Nickel mm MT 9 9 1%Comex Gold Total Inventory Gold mm ounces 8 8 5%Comex Silver Total Inventory Silver mm ounces 178 177 -1%

Softs USDA All Upland Cotton Total Export Sales Cotton thousand bales 453 137 -70%USDA Cattle Slaughter Estimates Daily Live Cattle thousand heads 105 102 -3%USDA Hogs Slaughter Estimates Daily Lean Hogs thousand heads 419 419 0%

Livestock

Energy

Grains

Industrial Metals

Precious Metals


14

BCOM CONSTITUENT WEIGHTSBCOM Index MEMB <GO>

Group Commodity 27-Feb-2015 Actual Weight

30-Jan-2015 Actual Weight

Feb 2015 Weight Change

2015 Target Weight

Natural Gas 8.33% 8.41% -0.08% 8.74% WTI Crude 8.03% 7.90% 0.13% 7.84% Brent Crude 8.31% 7.73% 0.58% 7.16% ULS Diesel 4.17% 3.91% 0.26% 3.76% Gasoline 5.07% 4.06% 1.01% 3.69%

33.91% 32.01% 1.90% 31.19% Corn 7.09% 6.93% 0.16% 7.25% Soybeans 5.51% 5.29% 0.22% 5.68% Wheat 2.87% 2.96% -0.09% 3.33% Soybean Oil 2.71% 2.61% 0.10% 2.81% Soybean Meal 2.66% 2.62% 0.04% 2.75% HRW Wheat 1.00% 1.04% -0.04% 1.17%

21.84% 21.45% 0.39% 22.98% Copper 7.35% 6.98% 0.37% 7.54% Aluminum 4.64% 4.90% -0.26% 4.59% Zinc 2.33% 2.45% -0.12% 2.40% Nickel 1.96% 2.12% -0.16% 2.12%

16.28% 16.45% -0.17% 16.65% Gold 11.87% 12.88% -1.01% 11.90% Silver 4.29% 4.56% -0.27% 4.28%

16.16% 17.44% -1.28% 16.18% Sugar 3.77% 4.10% -0.33% 4.00% Coffee 1.77% 2.10% -0.33% 2.21% Cotton 1.63% 1.52% 0.11% 1.51%

7.17% 7.72% -0.55% 7.72% Live Cattle 3.00% 3.13% -0.13% 3.33% Lean Hogs 1.64% 1.81% -0.17% 1.94%

4.64% 4.94% -0.30% 5.27%

Energy

Livestock

Softs

Precious Metals

Industrial Metals

Grains


15

COMMODITY PRICE FORECASTSCPFC <GO>

Group Commodity Q1 15 Q2 15 Q3 15 Q4 15

Natural Gas Forward 2.82 2.85 2.92 3.18Forecast 3.02 3.13 3.50 3.62

WTI Crude Forward 50.05 54.91 57.92 59.78Forecast 49.30 52.50 62.00 70.00

Brent Crude Forward 56.50 62.51 64.78 66.58Forecast 55.00 57.00 65.00 70.00

ULS Diesel Forward 161.61 160.62 167.14 173.41Forecast 201.19 200.00 211.00 214.00

Gasoline Forward 138.69 157.06 151.60 142.33Forecast 181.00 200.00 200.00 200.00

Corn Forward 386.24 395.13 407.52 418.24Forecast 375.00 376.00 387.00 392.50

Soybeans Forward 1,001.65 1,014.75 1,005.38 989.94Forecast 992.00 975.00 950.00 971.00

Wheat Forward 522.34 507.88 519.73 534.58Forecast 532.50 536.50 561.00 560.00

Copper Forward 5,798.86 5,823.39 5,814.57 5,808.32Forecast 6,195.50 6,250.00 6,338.00 6,500.00

Aluminum Forward 1,808.65 1,793.37 1,806.39 1,820.02Forecast 1,900.00 1,939.00 2,000.00 2,070.00

Zinc Forward 2,075.94 2,028.97 2,042.47 2,056.17Forecast 2,180.50 2,250.00 2,307.43 2,362.50

Nickel Forward 14,345.70 13,675.40 13,730.80 13,769.80Forecast 15,991.70 16,767.20 18,127.00 18,877.50

Gold Forward 1,226.80 1,205.13 1,206.55 1,207.58Forecast 1,209.50 1,185.00 1,209.50 1,232.00

Silver Forward 16.72 16.31 16.36 16.41Forecast 17.00 16.70 17.30 17.90

Sugar Forward 14.31 13.61 14.39 15.52Forecast 15.15 15.75 16.25 17.10

Coffee Forward 149.87 131.23 135.52 139.99Forecast 170.00 180.00 185.00 180.70

Cotton Forward 62.10 63.91 64.67 65.09Forecast 60.80 63.00 63.00 65.00

Softs

Bloomberg survey of commodity analysts

Energy

Grains

Industrial Metals

Precious Metals


16

COMMODITY FUND FLOWS FOR US-LISTED ETPsXLTP FLOW <GO>

Report Period: 1/30/2015 - 2/27/2015

Net Flows ($mm)Beginning Fund

Market Cap ($mm)

% of Funds Market Cap

-167.96 7,836.89 -2.14%1,253.03 6,027.62 20.79%

-18.69 1,536.05 -1.22%-8.00 285.08 -2.81%-2.36 34.84 -6.77%

713.82 46,922.81 1.52%1,769.84 62,643.28 2.83%

All Commodities Sector: Top 10 Creations

Ticker Name Net Flows ($mm)Beginning Fund

Market Cap ($mm)


GLD US SPDR Gold Shares 536.07 30,648.90 1.75%UWTI US VelocityShares 3x Long Crude E 407.65 258.71 157.57%OIL US iPath Goldman Sachs Crude Oil 159.73 565.84 28.23%USO US United States Oil Fund LP 139.25 2,171.74 6.41%UCO US ProShares Ultra Bloomberg Crud 136.66 632.21 21.62%SLV US iShares Silver Trust 108.24 5,415.23 2.00%SCO US ProShares UltraShort Bloomberg 108.20 241.27 44.85%DBO US PowerShares DB Oil Fund 75.79 359.26 21.10%DGL US PowerShares DB Gold Fund 74.85 141.48 52.90%UNG US United States Natural Gas Fund 71.56 581.11 12.31%

All Commodities Sector: Top 10 Redemptions

Ticker Name Net Flows ($mm)

Beginning Fund Market Cap

($mm)


DBC US PowerShares DB Commodity Index -197.22 3,642.66 -5.41%DJP US iPath Bloomberg Commodity Inde -62.65 1,309.62 -4.78%IAU US iShares Gold Trust -41.76 6,768.86 -0.62%PALL US ETFS Physical Palladium Shares -15.49 378.30 -4.09%DBA US PowerShares DB Agriculture Fun -13.85 863.04 -1.60%DBE US PowerShares DB Energy Fund -10.25 131.91 -7.77%BCM US iPath Pure Beta Broad Commodit -9.72 70.20 -13.85%DBB US PowerShares DB Base Metals Fun -9.26 171.57 -5.40%DBP US PowerShares DB Precious Metals -7.90 171.88 -4.59%JJG US iPath Bloomberg Grains Subinde -5.50 118.19 -4.65%

Sector

Industrial MetalsLivestock

Precious MetalsTotal

Broad BasedEnergy

Agriculture


17

Return

Realized Vol (252 days)

HISTORICAL PERFORMANCE: Bloomberg Commodity Indices

-50%

0%

50%

100%

150%

200%

250%

300%

350%

400%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Bloomberg Commodity Index Bloomberg Roll Select Commodity Index Bloomberg Commodity Index 3 Month Forward

0%

5%

10%

15%

20%

25%

30%

35%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Bloomberg Commodity Index Bloomberg Roll Select Commodity Index Bloomberg Commodity Index 3 Month Forward


18

HISTORICAL PERFORMANCE: Commodities vs. Equities vs. Bond vs. USDReturn


Realized Correlation (252 days)

-40%

-20%

0%

20%

40%

60%

80%

100%

2010 2011 2012 2013 2014 2015

Bloomberg Commodity Index S&P 500 Index Bloomberg US Treasury Bond Index Bloomberg Dollar Spot Index

0%

5%

10%

15%

20%

25%

2011 2012 2013 2014 2015

Bloomberg Commodity Index S&P 500 Index Bloomberg US Treasury Bond Index Bloomberg Dollar Spot Index

-80%

-60%

-40%

-20%

0%

20%

40%

60%

80%

2011 2012 2013 2014 2015

BCOM - S&P 500 Index BCOM - Bloomberg US Treasury Bond Index BCOM - Bloomberg Dollar Spot Index


19

HISTORICAL PERFORMANCE: BCOM SubgroupsReturn


Realized Correlation (252 days)

-100%

0%

100%

200%

300%

400%

500%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Energy Grains Industrial Metals Precious Metals Softs Livestock

0%

10%

20%

30%

40%

50%

60%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Energy Grains Industrial Metals Precious Metals Softs Livestock

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

70%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Energy - Grains Energy - Industrial Metals Energy - Precious Metals Energy - Softs Energy - Livestock


20

HISTORICAL PERFORMANCE: BCOM Single Commodity IndicesReturn - Energy

Realized Vol (252 days) - Energy

Return - Grains

-200%

0%

200%

400%

600%

800%

1000%

1200%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Natural Gas WTI Crude Brent Crude ULS Diesel Unleaded Gasoline

0%

10%

20%

30%

40%

50%

60%

70%

80%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Natural Gas WTI Crude Brent Crude ULS Diesel Unleaded Gasoline

-200%

-100%

0%

100%

200%

300%

400%

500%

600%

700%

800%

900%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Corn Soybeans Wheat Soybean Oil Soybean Meal HRW Wheat


21

HISTORICAL PERFORMANCE: BCOM Single Commodity IndicesRealized Vol (252 days) - Grains

Return - Industrial Metals

Realized Vol (252 days) - Industrial Metals

0%

10%

20%

30%

40%

50%

60%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Corn Soybeans Wheat Soybean Oil Soybean Meal HRW Wheat

-100%

0%

100%

200%

300%

400%

500%

600%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015


0%

10%

20%

30%

40%

50%

60%

70%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



22

HISTORICAL PERFORMANCE: BCOM Single Commodity IndicesReturn - Precious Metals

Realized Vol (252 days) - Precious Metals

Return - Softs

-100%

0%

100%

200%

300%

400%

500%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Gold Silver

0%

10%

20%

30%

40%

50%

60%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Gold Silver

-150%

-100%

-50%

0%

50%

100%

150%

200%

250%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Sugar Coffee Cotton


23

HISTORICAL PERFORMANCE: BCOM Single Commodity IndicesRealized Vol (252 days) - Softs

Return - Livestock

Realized Vol (252 days) - Livestock

0%

10%

20%

30%

40%

50%

60%

70%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Sugar Coffee Cotton

-100%

-80%

-60%

-40%

-20%

0%

20%

40%

60%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



24

COMMODITY CHEATSHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICE

Broad Commodities EnergyTop commodity news CTOP Top energy news ETOPCommodity markets menu <COMDTY> F9 Top oil news OTOP Global commodity prices GLCO Crude Oil Production Dashboard BI OILSCommodity playbook CPLY First Word oil NI BFWOIL Commitments of traders report COT News on oil inventories TNI OIL INV Calendar of commodity events ECO17 Oil Buyer's Guide newsletter NI OBGBRIEFCommodity arbitrage calculator CARC Pipes & Wires newsletter NI PAWSBRIEFCommodity fundamental data explorer FDM Oil market analysis BOILCommodity futures overview CMBQ Nat gas spot prices BGASSecurity finder SECF Forward European utility markets EUMCommodity data contributors & broker CDAT News on oil markets NI OILMARKET Contract table menu CTM News on OPEC NI OPEC Seasonality chart SEAG OPEC production and prices OPECCommodity curve analysis CCRV Oil markets menu OIL Commodity fair values CFVL Crude stored in tankers NOONCommodity price forecasts CPFC Refinery outages REFOCommitments of Traders Report COT Oil’s decline EXT5 Commodity maps BMAP Oil versus inflation expectations SWIFCommodity options monitor OMON Commodities charts COSY MetalsCommodity Investors menu CMNV Top metal news METT US exchange traded product fund flows ETF Precious metal dashboard BI PMETG

Base metals dashboard BI BMETCommodity 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

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.


25

bloomberg commodity index (bcom)...the bloomberg coffee index (bcomkc) was the standout...

Documents