The Bache Commodity Long/Short Index is an absolute return index, which provides institutional investors broad-based, long/short commodity exposure to 19 commodities across the energy, metals and agriculture sectors. The Bache Commodity Long/Short Index utilises the BCI methodology, a proprietary approach developed to combine the benefits of transparency, liquidity and risk reduction while providing additional sources of return beyond the commodity beta offered by traditional commodity indices. The Bache Commodity Long/Short Index seeks to generate alpha in both up and downward-trending commodity markets, while capping short positions to mitigate risk and maximize risk-adjusted returns.
The Bache Commodity Long/Short Index Allocation
| Commodity | Subsector | Market | Contracts Traded | Max Short Allocation | Max Long Allocation |
|---|---|---|---|---|---|
| Energy | (23.7%) | 47.3% | |||
| Crude Oil WTI | Crude Oil | NYMEX | All Months | (8.2%) | 16.4% |
| Crude Oil Brent | Crude Oil | ICE Futures Europe | All Months | (4.3%) | 8.6% |
| Natural Gas | Natural Gas | NYMEX | All Months | (3.3%) | 6.6% |
| Heating Oil | Refined Products | NYMEX | All Months | (1.3%) | 2.5% |
| Gasoil | Refined Products | ICE Futures Europe | All Months | (5.4%) | 10.7% |
| Gasoline | Refined Products | NYMEX | All Months | (1.3%) | 2.5% |
| Metals | (12.9%) | 25.7% | |||
| Aluminum | Industrial Metal | LME | Mar, May, Jul, Sep, Dec (3rd Weds) | (1.4%) | 2.8% |
| Copper | Industrial Metal | LME | Mar, May, Jul, Sep, Dec (3rd Weds) | (2.7%) | 5.3% |
| Nickel | Industrial Metal | LME | Mar, May, Jul, Sep, Dec (3rd Weds) | (1.3%) | 2.5% |
| Gold | Precious Metal | COMEX | Feb, Apr, Jun, Aug, Oct, Dec | (6.3%) | 12.6% |
| Silver | Precious Metal | COMEX | Mar, May, Jul, Sep, Dec | (1.3%) | 2.5% |
| Agriculture | (13.5%) | 27.0% | |||
| Corn | Grains | CBT | Mar, May, Jul, Sep, Dec | (2.6%) | 5.1% |
| Soybeans | Grains | CBT | Jan, Mar, May, Jul, Sep, Nov | (2.5%) | 5.0% |
| Wheat | Grains | CBT | Mar, May, Jul, Sep, Dec | (1.7%) | 3.4% |
| Live Cattle | Livestock | CME | Feb, Apr, Jun, Aug, Oct, Dec | (1.6%) | 3.2% |
| Lean Hogs | Livestock | CME | Feb, Apr, Jun, Aug, Oct, Dec | (1.3%) | 2.5% |
| Coffee | Softs | ICE Futures U.S. | Mar, May, Jul, Sep, Dec | (1.3%) | 2.5% |
| Cotton | Softs | ICE Futures U.S. | Mar, May, Jul, Oct, Dec | (1.3%) | 2.5% |
| Sugar | Softs | ICE Futures U.S. | Mar, May, Jul, Oct | (1.4%) | 2.8% |
| Max Allocations | (50.0%) | 100.0% | |||
Allocations are subject to change.
Tickers
Bloomberg: BCILST