Attribution Analysis
The Bache Commodity Index BCI provides institutional investors long-only,
broad-based commodity exposure to nineteen commodities across
the Energy, Metals and Agricultural Sectors. The Bache Commodity
Index utilizes the BCI methodology, which is a proprietary approach
developed to combine the benefts of transparency, liquidity and risk
reduction while providing additional sources of return beyond the
commodity beta offered by traditional commodity indices.
Summary
Invests in exchange-traded futures contracts, offering both
transparency and liquidity.
Sets maximum and minimum allocation targets to preserve broad
diversifcation.
Reduces transaction costs through a proprietary transaction
minimizing strategy.
Provides multiple sources of return and risk control by uniquely
combining four return factors:
Dynamic Asset Allocation
The momentum-driven model systematically increases commodity
exposure when prices are rising and reduces exposure when prices
are in decline. The model employs clearly defned rules, which
control the maximum and minimum levels of exposure by sector and
by individual commodity.
Daily Roll
The daily roll of commodity exposure from front month to next-out
futures contracts seeks to generate roll return, smooth volatility and
mitigate the return loss associated with futures curves in contango.
Beta
The beta factor provides broad-based exposure to the diversifcation
benefts and potential infation hedge and proft opportunities of a
long-only commodity investment.
Cash
In declining commodity markets the underlying exposure to
commodities is reduced and the cash position is increased.
Investment Strategy
December 2010 Factsheet
Bache Commodity Index
0
200
400
600
800
1000
'91 '92 '93 '94 '93 '96 '97 '98 '99 '00 '01 '02 '03 '04 '03 '06 '07 '08 '09 '10 '11
8eLa 8oll AsseL AllocaLlon Cash
RetuRn Risk
Standard Deviation Sharpe Ratio Correlation
Dec YTD 1-Yr 3-Yr 5-Yr 10-Yr 3-Yr 5-Yr 10-Yr 3-Yr 5-Yr 10-Yr with BCI*
Bache Commodity Index 7.6% 10.3% 10.3% 3.2% 5.6% 9.3% 17.3% 15.3% 14.6% 0.15 0.22 0.48 1.00
DJ UBS Commodity Index 10.7% 16.8% 16.8% -3.7% 1.2% 5.8% 24.8% 21.0% 17.7% -0.17 -0.05 0.20 .93
S&P GS Commodity Index 9.4% 9.0% 9.0% -12.8% -5.7% 1.8% 31.9% 27.7% 25.1% -0.42 -0.28 -0.02 .95
S&P 500 Index 6.7% 15.1% 15.1% -2.9% 2.3% 1.4% 22.2% 17.8% 16.4% -0.15 0.00 -0.05 .26
Barclays US Aggregate Index -1.1% 6.5% 6.5% 5.9% 5.8% 5.8% 4.2% 3.6% 3.8% 1.25 0.94 0.93 -.06
* Correlation over 10-year period.
Cumulative Return
Bache Commodity Index
(BCI)
Barclays US Aggregate Index
(Barc US Agg)
S&P 500 Index
(S&P 500)
S&P GS Commodity Index
(S&P GSCI)
DJ UBS Commodity Index
(DJ UBS)
10 Year
3 Year
0
30
100
130
200
230
300
330
400
'01 '02 '03 '04 '03 '06 '07 '08 '09 '10 '11
SM
BCI
DJ UBS
S&P GSCI
S&P 500
Barc US Agg
BCI
DJ UBS
S&P GSCI
S&P 500
Barc US Agg
-15%
-10%
-5%
0%
5%
10%
0% 5% 10% 15% 20% 25% 30% 35%
A
n
n
u
a
l
i
z
e
d
R
e
t
u
r
n
Standard Deviation
New York
Sales and Marketing
Laryssa Temnycky
laryssa.temnycky@bache.com
Tel. 212.778.1091
Mitzi Noma
mitzi.noma@bache.com
Tel. 212.778.4205 www.bache.com
Head of Commodity
Asset Management
Rupert Allan
rallan@bache.com
Tel. 212.778.1855
London
Sales and Marketing
Simon Smith
simon.smith@bache.com
Tel. +44 207.548.5110
Marc Fisher
marc.fsher@bache.com
Tel. +44 207.548.5110
Note: All data as of December 31, 2010. Slight diferences are due to rounding. All indices are total return.
Rolling 12 Month Style Factor Decomposition Previous Month Commodity Weights
10.59%
0.57%
-0.96%
0.12%
10.34%
- 5 % 0 % 5 % 1 0 % 1 5 %
Beta Factor
Daily Roll Factor
Dynamic Asset
Allocation Factor
Collateral
BCI Total Return
Barolays u3 Agg lndex
0%
10%
20%
30%
40%
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
BCI
DJ UBS
Barc US Agg
S&P 500
S&P GSCI
Average Weight in Month Maximum Long Weight
0% 5% 10% 15%
WTI Crude Oil
Brent Crude
Gasoline
Heating Oil
Gasoil
Natural Gas
Copper
Aluminum
Nickel
Gold
Silver
Lean Hogs
Live Cattle
Corn
Soybeans
Wheat
Coffee
Cotton
Sugar
A
g
r
i
c
u
l
t
u
r
e
E
n
e
r
g
y
M
e
t
a
l
s
Rolling 12 Month Return Attribution
Rolling 12 Month Standard Deviation
Risk vs Return
-3.14%
-.42%
-.14%
-.26%
-1.12%
-.78%
-5.84%
-8% -6% -4% -2% 0%
WTI Crude Oil
Brent Crude
Gasoline
Heating Oil
Gasoil
Natural Gas
Energy
.44%
-.14%
.22%
1.46%
.91%
2.89%
-2% 0% 2% 4%
Copper
Aluminum
Nickel
Gold
Silver
Metals
-.02%
.25%
.10%
1.13%
-.19%
.73%
1.34%
.58%
3.93%
-2% 0% 2% 4% 6%
Lean Hogs
Live Cattle
Corn
Soybeans
Wheat
Coffee
Cotton
Sugar
Agriculture
-3.14%
-.42%
-.14%
-.26%
-1.12%
-.78%
-5.84%
-8% -6% -4% -2% 0%
WTI Crude Oil
Brent Crude
Gasoline
Heating Oil
Gasoil
Natural Gas
Energy
.44%
-.14%
.22%
1.46%
.91%
2.89%
-2% 0% 2% 4%
Copper
Aluminum
Nickel
Gold
Silver
Metals
-.02%
.25%
.10%
1.13%
-.19%
.73%
1.34%
.58%
3.93%
-2% 0% 2% 4% 6%
Lean Hogs
Live Cattle
Corn
Soybeans
Wheat
Coffee
Cotton
Sugar
Agriculture
Agriculture Energy Metals
-3.14%
-.42%
-.14%
-.26%
-1.12%
-.78%
-5.84%
-8% -6% -4% -2% 0%
WTI Crude Oil
Brent Crude
Gasoline
Heating Oil
Gasoil
Natural Gas
Energy
.44%
-.14%
.22%
1.46%
.91%
2.89%
-2% 0% 2% 4%
Copper
Aluminum
Nickel
Gold
Silver
Metals
-.02%
.25%
.10%
1.13%
-.19%
.73%
1.34%
.58%
3.93%
-2% 0% 2% 4% 6%
Lean Hogs
Live Cattle
Corn
Soybeans
Wheat
Coffee
Cotton
Sugar
Agriculture
Energy
Metals
Agriculture
3 Year 10 Year
Bache Commodity Index returns prior to February 2007 are based on simulated or hypothetical performance that has certain inherent limitations. Unlike the results shown in an actual performance record, these results do
not represent actual trading. Also, because these trades have not been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity and trading
expenses. Simulated or hypothetical trading programs in general are also subject to the beneft of hindsight. No representation is being made that any account will or is likely to achieve profts or losses similar to the ones
shown above as past performance is not indicative of future results. The comments, opinions and estimates contained in this document are based on, or derived from publicly available information from sources that Bache
Commodities Group believes to be reliable. We do not guarantee their accuracy. This information is provided for informational purposes only and sets forth our views as of this date. Bache Commodities Limited is regulated
by the Financial Services Authority, and Prudential Bache Asset Management is registered with the US Securities and Exchange Commission and the US Commodity Futures Trading Commission. The source for all charts
and graphs is Bache Commodities Group, Bloomberg, LP and DJIndexes.com unless otherwise stated. The Bache Commodity Index, BCI, Bache Commodity Green Index and BCGI, are service marks of PFDS Holdings,
LLC., an affliate of Prudential Financial, Inc. (PFI). The methodology of, and intellectual property rights in, the Bache Commodity Index are proprietary to, and owned by, PFDS Holdings, LLC., and may be covered by one
or more pending patent applications. Bache and the Rock symbol are service marks of PFI and its related entities, registered in many jurisdictions worldwide. Prudential Financial, Inc. is not affliated with Prudential, plc a
company headquartered in the United Kingdom. 2010 Prudential Financial, Inc and its related entities.
BCIFSV1210
