Education Series
Not all commodity indexes are alike
These frequently used commodity indexes offer investors varying types of exposure to the asset class, which can impact both risk and returns.
Understanding how they differ is key.
Credit Suisse Commodity Benchmark Index
WHAT THESE CHARTS SHOW
The S&P GSCI Total Return and
Credit Suisse indexes do not place
constraints on underlying sector
allocations, which can lead to
higher concentration in individual
commodities. Another key difference:
Bloomberg and Credit Suisse
rebalance regularly, while the S&P
GSCI does not.
Bloomberg Commodity Total Return Index
4.2%
Energy
Base metals
Precious metals
Agriculture
Livestock
22.0%
S&P GSCI® Total Return Index
4.4%
8.2%
29.0%
50.6%
19.7%
32.4%
9.8%
17.4%
13.4%
56.9%
5.4%
9.9%
16.9%
WHAT IT MEANS FOR INVESTORS
Differences in how the indexes are
weighted and rebalanced can cause
them to perform quite differently.
Those that rebalance regularly and
have sector allocation constrains
are less prone to overconcentration,
which can result in a more diversified
exposure to commodities.
Weighting
methodology
World production value, with market
liquidity inclusion thresholds
1/3 world production value
and 2/3 market liquidity
World production quantity,
with market liquidity inclusion thresholds
Contracts used
First three months (equally weighted by units)
Front month
Front month
Number of individual
commodities tracked
30
22
24
Rebalancing frequency
Monthly
Annual
Does not rebalance based on changes in prices
Index reconstruction
Annual
Annual
Annual
Sector weighting
constraints
None
Related commodity groups: max 33%; single
commodity: max 15%, min 2%; single
commodity and its derivatives; max 25%
None
Roll period
15 business days (fifth business day prior to end of
previous month to ninth business day of the month)
Five business days (fifth to the ninth business
day of the month)
Five business days (fifth to the ninth business
day of the month)
All data as of 30 June 2016.
PIE002_46203
CMR2016-0804-203036
A word about risk: Commodities are volatile investments and should only form a small part of a diversified portfolio. Commodities may not be suitable for all investors. Consult your financial
advisor to help you determine whether a commodity investment is right for you. Investments in commodities may be affected by overall market movements, changes in interest rates, and other
factors, such as weather, disease, embargoes, and international economic and political developments.
Past performance is no guarantee of future results. The index performance is presented for illustrative purposes only and does not reflect the performance of any PIMCO product.
The Bloomberg Commodity Total Return Index is an unmanaged index composed of futures contracts on 22 physical commodities. The index is designed to be a highly liquid and diversified
benchmark for commodities as an asset class. The Credit Suisse Commodity Benchmark Index is an unmanaged commodity index composed of futures contracts on 30 physical commodities.
The objective of the benchmark is to gain exposure to the broad commodity universe while maintaining sufficient liquidity. Commodity were chosen based on world production levels,
sufficient open interest and volume of trading. The index is designed to be a highly liquid and diversified benchmark of commodities as an asset class. S&P Goldman Sachs Commodity Index
Total Return (S&P GSCITR) is an unmanaged index composed of futures contracts on 25 physical commodities, designed to be a highly liquid and diversified benchmark for commodities as an
asset class. The Total Return Index includes an implied T-Bill rate on the notional value of the futures contracts.
“Collateralization” generally involves backing an investment in a futures contract (or other derivative instrument) with securities that are approximately equal in value to the notional value of
the futures exposure. These pledged assets are typically invested in high quality, fixed income securities.
This material has been distributed for informational purposes only and should not be considered as investment advise or a recommendation of any particular security, strategy or investment
product. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. No part of this material may be reproduced in any form, or referred to in
any other publication, without express written permission. PIMCO is a trademark of Allianz Asset Management of America L.P. in the United States and throughout the world.
PIMCO Investment LLC, distributor, 1633 Broadway, New York, NY 10019, is a comapny of PIMCO ©2016, PIMCO
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