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BCI Introduction


The Bache Commodity IndexSM (BCISM) is a transparent, fully investable commodity index. Our unique method of constructing the index results in lower turnover and lower risk than other commodity indices, while maintaining the potential returns.

The BCISM consists of 19 commodities traded on seven major futures exchanges in the United States and the United Kingdom, providing broad, long-term diversified exposure to individual commodities within each sector. Commodities are selected for the BCISM because of their importance to the sector, as well as to the overall market.

The BCISM is based on actively managed commodity weights through well-defined rule set, providing potential for high risk adjusted returns and downside protection. Its structured asset allocation strategy uses price momentum methodology to control risk. The index also rebalances to target weights daily, whereas other indices tend to rebalance annually. Daily rebalancing prevents the index from becoming dominated by a single commodity or commodity sector. With these combined disciplines, the index offers an innovative enhanced index strategy to investors.

The BCISM2009 Allocation*

Sector Commodity Subsector Market Contracts Traded Max Allocation
Energy 50.0%
Crude Oil WTI Crude Oil NYMEX All Months 20.0%
Crude Oil Brent Crude Oil ICE Futures Europe All Months 5.0%
Natural Gas Natural Gas NYMEX All Months 10.0%
Heating Oil Refined Products NYMEX All Months 2.5%
Gas Oil Refined Products ICE Futures Europe All Months 10.0%
Gasoline Refined Products NYMEX All Months 2.5%
Metals 20.0%
Aluminum Industrial Metal LME Mar, May, Jul, Sep, Dec (3rd Weds) 2.5%
Copper Industrial Metal LME Mar, May, Jul, Sep, Dec (3rd Weds) 5.0%
Nickel Industrial Metal LME Mar, May, Jul, Sep, Dec (3rd Weds) 2.5%
Gold Precious Metal COMEX Feb, Apr, Jun, Aug, Oct, Dec 7.5%
Silver Precious Metal COMEX Mar, May, Jul, Sep, Dec 2.5%
Agriculture 30.0%
Corn Grains CBT Mar, May, Jul, Sep, Dec 7.5%
Soybeans Grains CBT Jan, Mar, May, Jul, Sep, Nov 5.0%
Wheat Grains CBT Mar, May, Jul, Sep, Dec 5.0%
Live Cattle Livestock CME Feb, Apr, Jun, Aug, Oct, Dec 2.5%
Lean Hogs Livestock CME Feb, Apr, Jun, Aug, Oct, Dec 2.5%
Coffee Softs ICE Futures U.S. Mar, May, Jul, Sep, Dec 2.5%
Cotton Softs ICE Futures U.S. Mar, May, Jul, Oct, Dec 2.5%
Sugar Softs ICE Futures U.S. Mar, May, Jul, Oct 2.5%
Max Allocation 100.0%

* The BCISM Advisory Committee reviews and recommends its index composition on annual basis. The current allocation was implemented since March 2009.

For more information regarding the Bache Commodity IndexSM, download our handbook.

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