Commodities Allocation From 10 GSCI SubIndices

In this allocation, we take the universe of GSCI sub-indices and treat each of them as if it were a single commodity. This allows us to build a purer and more transparent mix of exposures than when we use commodities-related ETFs.

Symbol	Name	Target Allocation (%)
SPGSBFP	S&P GSCI Biofuel Index Excess Return	17.101805
SPGSBRP	S&P GSCI Brent Crude Oil Index Excess Return	7.916214
SPGSCCP	S&P GSCI Cocoa Index Excess Return	2.517933
SPGSCNP	S&P GSCI Corn Index Excess Return	9.360204
SPGSCTP	S&P GSCI Cotton Index Excess Return	7.574047
SPGSFCP	S&P GSCI Feeder Cattle Index Excess Return	16.353412
SPGSGCP	S&P GSCI Gold Index Excess Return	12.986099
SPGSIAP	S&P GSCI Aluminum Index Excess Return	9.584364
SPGSICP	S&P GSCI Copper Index Excess Return	9.927305
SPGSLHP	S&P GSCI Lean Hogs Index Excess Return	6.678617

» Recent performance of our allocation versus its benchmark:

Note: The benchmark (Bloomberg Commodity Index) has been scaled to achieve equal volatility over the period, in order to get a pound for pound visual comparison of compounded returns.

» Key performance metrics over the last 18 months:

	Excess Return	Realized Volatility	Relative Volatility / Benchmark	Sharpe Ratio	Maximum Drawdown¹	Calmar Ratio	Correlation	Beta	R-squared²	Annualized Alpha³	Treynor Ratio	Up Capture	Down Capture	Active Return⁴	Tracking Error⁴	Information Ratio⁴
ALLOCATION	8.2%	11.4%	0.75	0.72	-10.3%	0.79	0.81	0.61	66%	3.6%	0.09	60.6%	55.7%	4.4%	7.0%	0.63
BENCHMARK	4.2%	15.2%	–	0.28	-13.0%	0.32	–	–	–	–	–	–	–	–	–	–
SPGSBFP	-16.2%	19.5%	1.28	-0.83	-18.9%	-0.85	0.46	0.6	22%	-11.9%	-0.19	61.8%	79.3%	-21.7%	20.1%	-1.08
SPGSBRP	-7.8%	33.8%	2.22	-0.23	-27.4%	-0.29	0.68	1.51	46%	-6.7%	-0.04	137.3%	146.3%	-16.3%	27.1%	-0.6
SPGSCCP	142.3%	81.4%	5.35	1.75	-39.1%	3.64	0.03	0.17	0%	124.8%	4.67	77.4%	-31.8%	34.1%	113.2%	0.3
SPGSCNP	-21.2%	23.5%	1.55	-0.9	-28.6%	-0.74	0.31	0.48	9%	-14.6%	-0.31	44.5%	66.2%	-28.2%	27.7%	-1.02
SPGSCTP	-35.9%	26.1%	1.72	-1.38	-41.5%	-0.87	0.26	0.44	7%	-25.3%	-0.58	15.9%	54.8%	-42.4%	31.8%	-1.33
SPGSFCP	32.4%	18.2%	1.2	1.79	-15.4%	2.1	0.23	0.28	5%	20.9%	0.75	27.6%	1.4%	23.3%	22.5%	1.03
SPGSGCP	52.1%	21.1%	1.39	2.47	-8.2%	6.32	0.55	0.76	30%	30.9%	0.43	97.5%	61.3%	41.7%	20.1%	2.08
SPGSIAP	9.9%	23.8%	1.56	0.42	-21.5%	0.46	0.4	0.63	16%	6.2%	0.1	61.7%	53.4%	0.7%	25.9%	0.03
SPGSICP	8.5%	23.3%	1.53	0.36	-24.1%	0.35	0.55	0.84	30%	4.4%	0.07	79.5%	73.4%	0.3%	22.2%	0.01
SPGSLHP	4.7%	27.6%	1.81	0.17	-21.9%	0.21	0.12	0.23	2%	4.9%	0.14	13.4%	6.3%	-7.6%	36.5%	-0.21
Notes:

¹ Drawdowns are calculated on daily closing prices (i.e. not intraday highs and lows).
² The R-squared indicates how much the variance of a security can be explained by the variance of the benchmark: if a security has a low R-squared value, the CAPM single-factor linear relationship doesn’t explain much of the variance of the security, and the CAPM metrics (beta, alpha, Treynor ratio) are not useful for this particular security.
³ The annualized alpha is a compounded calculation from CAPM estimations on daily returns.
⁴ The active performance metrics are calculated relative to the volatilty-adjusted benchmark (i.e. the benchmark multiplied by the relative volatility of the allocation).

» Charting each security in the allocation:

Check out some of our other allocations and don’t hesitate to get in touch if you have any comments or questions.

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