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Bache Commodity Long/Short Index

The Bache Commodity Long/Short Index is an absolute return index that 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 utilizes 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.

Factsheet Adobe Acrobat PDF file

The Bache Commodity Long/Short Index Allocation
Commodity Subsector Market Contracts Traded Max Short Allocation Max Long Allocation
Energy (12.25%) 49.00%
Crude Oil WTI Crude Oil NYMEX All Months (4.25%) 17.00%
Crude Oil Brent Crude Oil ICE Futures Europe All Months (2.00%) 8.00%
Natural Gas Natural Gas NYMEX All Months (2.00%) 8.00%
Heating Oil Refined Products NYMEX All Months (0.63%) 2.50%
Gas Oil Refined Products ICE Futures Europe All Months (2.75%) 11.00%
Gasoline Refined Products NYMEX All Months (0.63%) 2.50%
Metals (10.75%) 21.50%
Aluminum Industrial Metal LME Mar, May, Jul, Sep, Dec (3rd Weds) (1.25%) 2.50%
Copper Industrial Metal LME Mar, May, Jul, Sep, Dec (3rd Weds) (2.00%) 4.00%
Nickel Industrial Metal LME Mar, May, Jul, Sep, Dec (3rd Weds) (1.25%) 2.50%
Gold Precious Metal COMEX Feb, Apr, Jun, Aug, Oct, Dec (5.00%) 10.00%
Silver Precious Metal COMEX Mar, May, Jul, Sep, Dec (1.25%) 2.50%
Agriculture (14.75%) 29.50%
Corn Grains CBT Mar, May, Jul, Sep, Dec (2.75%) 5.50%
Soybeans Grains CBT Jan, Mar, May, Jul, Sep, Nov (3.00%) 6.00%
Wheat Grains CBT Mar, May, Jul, Sep, Dec (2.00%) 4.00%
Live Cattle Livestock CME Feb, Apr, Jun, Aug, Oct, Dec (1.75%) 3.50%
Lean Hogs Livestock CME Feb, Apr, Jun, Aug, Oct, Dec (1.25%) 2.50%
Coffee Softs ICE Futures U.S. Mar, May, Jul, Sep, Dec (1.25%) 2.50%
Cotton Softs ICE Futures U.S. Mar, May, Jul, Oct, Dec (1.25%) 2.50%
Sugar Softs ICE Futures U.S. Mar, May, Jul, Oct (1.50%) 3.00%
Max Allocations (37.75%) 100.00%

Allocations are subject to change.

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