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INDICES

BLOOMBERG
ROLL SELECT
COMMODITY INDEX
The Bloomberg Roll Select Commodity Index (BCOMRS or “Roll Select”) is a dynamic version of the Bloomberg Commodity Index
(“BCOM”) that aims to mitigate the effects of contango market structure on index performance.

» For each commodity, the index rolls into the futures » Contract Selection is on the fourth business day of
contracts showing the most backwardation or least amount each month.
of contango, selecting from those eligible contracts with » The monthly selected contracts are applied during the
nine months or fewer until expiration. roll period, which takes place the 6th-10th business day
» The index is made up of 22 exchange-traded futures on of each month as defined in the Index methodology
physical commodities, representing 20 commodities » Bloomberg Commodity Index Target Weights are applied
which are weighted to account for economic significance annually during the January Roll Period. 2015 Target
and market liquidity. Weighting restrictions on individual Weights are listed below.
commodities and commodity groups promote diversification.

SECTOR COMMODITY TICKER 2015 TARGET SECTOR

NAME WEIGHTS WEIGHT
Precious Metals Gold GC 11.90% 16.18%
Silver SI 4.28%
Energy Natural Gas NG 8.74% 31.19%
WTI Crude Oil CL 7.84%
Brent Crude Oil CO 7.16%
ULS Deisel HO 3.76%
Unleaded Gasoline XB 3.69%
Grains Corn C 7.25% 22.98%
Soybeans S 5.68%
Wheat W 3.33%
Soybean Oil BO 2.81%
Soybean Meal SM 2.75%
HRW Wheat KW 1.17%
Industrial Metals Copper HG 7.54% 16.65%
Aluminum LA 4.59%
Zinc LX 2.40%
Nickel LN 2.12%
Softs Sugar SB 4.00% 7.72%
Coffee KC 2.21%
Cotton CT 1.51%
Livestock Live Cattle LC 3.33% 5.27%
Lean Hogs LH 1.94%
BLOOMBERG ROLL SELECT COMMODITY INDEX
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DEFINING CONTANGO & BACKWARDATION

Backwardation Contango
When the prices for exchange-traded futures contracts are When the prices for exchange-traded futures contracts are
lower in the distant delivery months than in the nearer delivery higher in the distant delivery months than in the nearer delivery
months, the market is said to be in “backwardation.” For months, the market is said to be in “contango.” For example,
example, the sale of a January contract would take place at a the sale of a January contract would take place at a price that
price that is higher than the purchase price of a March contract. is lower than the purchase price of a March contract.
Holding other factors constant, backwardation generally has Holding other factors constant, contango generally has a
a positive impact on index values, as the lower longer-term negative impact on index values, as the higher longer-term
future prices move higher over time in relation to shorter-term future prices move lower over time in relation to shorter-term
prices. This potential convergence over time is often referred prices. This potential convergence over time is often referred
to as a positive “roll yield.” For example, if the longer-term to as a negative “roll yield.” For example, if the longer-term
price was $40 and the shorter-term price remained at $50, price was $50 and the shorter-term price remained at $40,
then one would expect, if other factors remained constant, then one would expect, if other factors remained constant,
to earn $10, which would theoretically be realized when the to lose $10, which would theoretically be realized when the
contract purchased at $40 was later sold at $50. contract purchased at $50 was later sold at $40.

EXAMPLE OF BACKWARDATION EXAMPLE OF CONTANGO

»

»
Price

Price

»
Date Date

METHODOLOGY OF ROLL SELECT

The underlying principle of Roll Select is to identify the point of greatest backwardation, or least contango, in each
commodity’s futures curve and invest in the relevant futures contract representing that point

» Roll Select contract selection is performed on the fourth » Pairs of contracts are ranked in order of their annualized
business day of each month. basis, with the pair with the greatest basis ranking first.
» For all the underlying commodities in the Bloomberg The index invests in the longer dated contract of the top
Commodity Index, Roll Select calculates curve slope ranked pair. If two or more pairs have the same basis,
(basis) for each eligible contract. This observation is then the longer dated contract of the shorter maturity
performed on the fourth business day of each month and pair is selected.
only those contracts that fall within the 9 month tenor limit » No contract shall be selected for inclusion if there is no
are included in this process (see example BCOM chart corresponding prior period contact available for analysis.
on following on next page).
BLOOMBERG ROLL SELECT COMMODITY INDEX
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CONTRACT TABLES
The BCOM Contract Calendar and Prior Contracts Table from the Index Methodology should be used as a reference to
determine contracts considered in the monthly contract determination analysis.
When choosing the first contract eligible for selection, we look one month ahead of the contact selection date in the BCOM
Contact Calendar. For example, on the February determination date, the contract used in BCOM for WTI Crude Oil component is
March (H) contract. Looking one month ahead, the next eligible contract for inclusion in Roll Select would be the May (K) contract.

BCOM CONTRACT CALENDAR

COMMODITY Jan Feb Mar Apr May Jun July Aug Sep Oct Nov Dec
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Cocoa H H K K N N U U Z Z Z H
Feeder Cattle H H K K Q Q Q V V F F F
Gas Oil H H K K N N U U X X F F
Kansas Wheat H H K K N N U U Z Z Z H
Lead H H K K N N U U X X F F
Orange Juice H H K K N N U U X X F F
Platinum J J J N N N V V V F F F
Soybean Meal H H K K N N Z Z Z Z F F
Tin H H K K N N U U X X F F
Aluminum H H K K N N U U X X F F
Brent Crude Oil H K K N N U U X X F F H
Chicago Wheat H H K K N N U U Z Z Z H
Coffee H H K K N N U U Z Z Z H
COMEX Copper H H K K N N U U Z Z Z H
Corn H H K K N N U U Z Z Z H
Cotton H H K K N N Z Z Z Z Z H
Gold G J J M M Q Q Z Z Z Z G
Lean Hogs G J J M M N Q V V Z Z G
Live Cattle G J J M M Q Q V V Z Z G
Natural Gas H H K K N N U U X X F F
Nickel H H K K N N U U X X F F
RBOB Gasoline H H K K N N U U X X F F
Silver H H K K N N U U Z Z Z H
Soybean Oil H H K K N N Z Z Z Z F F
Soybeans H H K K N N X X X X F F
Sugar H H K K N N V V V H H H
ULS Deisel H H K K N N U U X X F F
WTI Crude Oil H H K K N N U U X X F F
Zinc H H K K N N U U X X F F
BLOOMBERG ROLL SELECT COMMODITY INDEX
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Knowing that for WTI Crude oil on the February determination date we are starting with May (K) contract, using the Prior
Period Contracts table below, we would compare May and April, July and June, September and August and November
and October contracts.

PRIOR PERIOD CONTRACTS

COMMODITY Jan Feb Mar Apr May Jun July Aug Sep Oct Nov Dec
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Aluminum Dec Feb Apr Jun Aug Oct
Brent Crude Oil Dec Feb Apr Jun Aug Oct
Coffee Dec Mar May Jul Sep
Copper Feb Apr Jun Aug Nov
Corn Dec Mar May Jul Sep
Cotton Dec Mar May Jul
Gold Dec Feb Apr Jun Oct
Lean Hogs Dec Feb Apr Jul Aug Oct
Live Cattle Dec Feb Apr Jun Aug Oct
Natural Gas Dec Feb Apr Jun Aug Oct
Nickel Dec Feb Apr Jun Aug Oct
Silver Dec Mar May Jul Sep
Soybean Meal Dec Jan Mar May Jul
Soybean Oil Dec Jan Mar May Jul
Soybeans Nov Jan Mar May Jul
Sugar Oct Mar May Jul
ULS Diesel Dec Feb Apr Jun Aug Oct
Unleaded Gas Dec Feb Apr Jun Aug Oct
Wheat Dec Mar Jun Jul Sep
(Chicago)
Wheat (Kansas) Dec Mar May Jul Sep
WTI Crude Oil Dec Feb Apr Jun Aug Oct
Zinc Dec Feb Apr Jun Aug Oct

EXAMPLE OF CONTRACT SELECTIONS

Example one
Listed below are a few examples of the June 4th 2015 Contract Selection for Aluminum, WTI Crude Oil and Brent
Crude - three of twenty two components in the Roll Select Index.
Since the example selection takes place in the month of June, to determine the first eligible contract, we look one month
ahead (into July) in the BCOM Contract Calendar table to determine the first eligible contract for testing. Based on the
below table for all three commodities in question, the first eligible contacts for testing will be the September (U) contact.

COMMODITY Jan Feb Mar Apr May Jun July Aug Sep Oct Nov Dec
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Aluminum H H K K N N U U X X F F
Brent Crude Oil H K K N N U U X X F F H
WTI Crude Oil H H K K N N U U X X F F
BLOOMBERG ROLL SELECT COMMODITY INDEX
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Starting from the September contract, the below ‘Prior Period Contracts’ table shows possible pairs that can be considered,
starting with Sep-Aug, Nov-Oct, and so on.

COMMODITY Jan Feb Mar Apr May Jun July Aug Sep Oct Nov Dec
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Aluminum Dec Feb Apr Jun Aug Oct
Brent Crude Oil Dec Feb Apr Jun Aug Oct
WTI Crude Oil Dec Feb Apr Jun Aug Oct

Each month, we add 273 business days to the contract selection date to provide a 9 months window for contract
consideration. All contracts tested for inclusion which have an expiration date that exceeds this 9 months window are
eliminated. For example, in the table below the contracts highlighted in green are excluded from the list of contracts eligible
for analysis because their expiration dates exceed the nine months (273 days).
With the remaining contracts that have satisfied the 9 months window test, we can now calculate the annualized percentage
spreads for each contract pair. The highest annualized percentage spread for each commodity will be the next contract
selected for the Roll Select Index.

Selection 6/4/15
Date
Roll Select Contract Selection
Date + 3/3/16
273 days
Commodity Ticker First Contract Tested Expiration Settlement Prior Previous Exp. Settlement Annualized Highest Contract
Eligible Curve Contract Date of Price of Period Month’s Date of Price of % Spread Spread Selected
Contract Ticker Contract Contract Contract Ticker Previous Previous
For Month Month
Inclusion
Aluminum LA U U LAU5 9/14/15 1747.75 Q LAQ5 8/17/15 1741.25 -0.04848
Aluminum LA U X LAX5 11/16/15 1761.5 V LAV5 10/19/15 1754.5 -0.05180
Aluminum LA U F LAF6 1/18/16 1776 Z LAZ5 12/14/15 1769 -0.04110 -0.04110 LAF6
Aluminum LA U H LAH6 3/14/16 1776 G LAG6 2/15/16 1776 excluded
Aluminum LA U K LAK6 5/16/16 1785.75 J LAJ6 4/18/16 1779.5 excluded
Aluminum LA U N LAN6 7/18/16 1798.75 M LAM6 6/13/16 1792 excluded
Brent CO U U COU5 8/14/15 63.28 Q COQ5 7/16/15 62.69 -0.11735
Crude
Brent CO U X COX5 10/15/15 64.27 V COV5 9/15/15 63.79 -0.09087
Crude
Brent CO U F COF6 12/16/15 65.11 Z COZ5 11/13/15 64.72 -0.06625 -0.06625 COF6
Crude
Brent CO U H COH6 1/29/16 65.73 G COG6 1/14/16 65.44 -0.10736
Crude
Brent CO U K COK6 3/31/16 66.34 J COJ6 2/29/16 66.04 excluded
Crude
Brent CO U N CON6 5/31/16 66.9 M COM6 4/29/16 66.63 excluded
Crude
WTI CL U U CLU5 8/20/15 58.62 Q CLQ5 7/21/15 58.34 -0.05811
Crude Oil
WTI CL U X CLX5 10/20/15 59.17 V CLV5 9/22/15 58.84 -0.07270
Crude Oil
WTI CL U F CLF6 12/21/15 59.86 Z CLZ5 11/20/15 59.53 -0.06491
Crude Oil
WTI Crude CL U H CLH6 2/22/16 60.34 G CLG6 1/20/16 60.12 -0.04033 -0.04033 CLH6
Oil
WTI Crude CL U K CLK6 4/20/16 60.76 J CLJ6 3/21/16 60.55 excluded
Oil
WTI Crude CL U N CLN6 6/21/16 61.09 M CLM6 5/20/16 60.96 excluded
Oil
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Example two
Here we demonstrate that a contract pair will not be selected for analysis if there is no corresponding prior period contact
available. In the below example, there are two contracts excluded from the selection process. For Sugar, during the March
Contract Selection Period, the Sugar March 2016 contract “SBH6” (highlighted in green) is excluded because the expiration
date exceeds the nine month window. The Sugar May 2015 contract “SBK5” (highlighted in purple) is excluded as well, as
the prior period contract expired prior to the selection process and no price is available (Sugar March 2015 Contract “SBH5”
expired on 2/27/15 which is before the selection date on 3/5/15). Therefore, Sugar will only have two contracts tested
for contact selection.

RELATIVE PERFORMANCE OF ROLL SELECT VS BCOM

Selection 3/5/15
Date
Roll Select Contract Selection
Date + 273 12/3/15
days
Commodity Ticker First Contract Tested Expiration Settlement Prior Previous Exp. Settlement Annualized Highest Contract
Eligible Curve Contract Date of Price of Period Month’s Date of Price of % Spread Spread Selected
Contract Ticker Contract Contract Contract Ticker Previous Previous
For Month Month
Inclusion
Sugar SB K K SBK5 4/30/15 13.44 H SBH5 2/27/15 expired excluded
Sugar SB K N SBN5 6/30/15 13.55 K SBK5 4/30/15 13.44 -0.04858 -0.04858 SBN5
Sugar SB K V SBV5 9/30/15 14.1 N SBN5 6/30/15 13.55 -0.15476 -0.04858
Sugar SB K H SBH6 2/29/16 15.16 V SBV5 9/30/15 14.1 excluded

HISTORICAL PERFORMANCE OUTPERFORMANCE OF ROLL SELECT VS BCOM

Roll Select outperformed BCOM in 19 out of the last 23 years. In most cases, the periods of underperformance originated in the
energy sector (with 1991 being the only exception when livestock was the only sector in which BCOMRS outperformed BCOM).
In 2000, for example, a dramatic spike in the front month natural gas prices was the biggest driver of the under-performance and
in 1999 and 1996, oil and oil products were the driving factors.
During the years when Roll Select performs stronger than BCOM, it is often due to dynamics of energy, livestock and
agriculture sectors which have the most defined curve dynamics among commodities within the index universe.
BLOOMBERG ROLL SELECT COMMODITY INDEX
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BCOM ROLL SELECT TICKERS

HEADLINE EXCESS RETURN TICKER TOTAL RETURN TICKER

BCOM Roll Select BCOMRS BCOMRST
SECTORS
BCOM Roll Select Agriculture BCOMRAG BCOMRAGT
BCOM Roll Select Ex-Agriculture & Livestock BBURXAL BBURXALT
BCOM Roll Select Grains BCOMRGR BCOMRGRT
BCOM Roll Select Softs BCOMRSO BCOMRSOT
BCOM Roll Select Livestock BCOMRLI BCOMRLIT
BCOM Roll Select Energy BCOMREN BCOMRENT
BCOM Roll Select Ex-Energy BCOMRXE BCOMRXET
BCOM Roll Select Petroleum BCOMRPE BCOMRPET
BCOM Roll Select Industrial Metals BCOMRIN BCOMRINT
BCOM Roll Select Precious Metals BCOMRPR BCOMRPRT
ENERGY
BCOM Roll Select Brent Crude Oil BCOMRCO BCOMRCOT
BCOM Roll Select WTI Crude Oil BCOMRCL BCOMRCLT
BCOM Roll Select Heating Oil BCOMRHO BCOMRHOT
BCOM Roll Select Natural Gas BCOMRNG BCOMRNGT
BCOM Roll Select Unleaded Gasoline BCOMRRB BCOMRRBT
INDUSTRIAL METALS
BCOM Roll Select Aluminum BCOMRAL BCOMRALT
BCOM Roll Select Copper BCOMRHG BCOMRHGT
BCOM Roll Select Nickel BCOMRNI BCOMRNIT
BCOM Roll Select Zinc BCOMRZS BCOMRZST
PRECIOUS METALS
BCOM Roll Select Gold BCOMRGC BCOMRGCT
BCOM Roll Select Silver BCOMRSI BCOMRSIT
AGRICULTURE
BCOM Roll Select Coffee BCOMRKC BCOMRKCT
BCOM Roll Select Corn BCOMRCN BCOMRCNT
BCOM Roll Select Cotton BCOMRCT BCOMRCTT
BCOM Roll Select Kansas Wheat BCOMRKW BCOMRKWT
BCOM Roll Select Soybean Meal BCOMRSM BCOMRSMT
BCOM Roll Select Soybean Oil BCOMRBO BCOMRBOT
BCOM Roll Select Soybeans BCOMRSY BCOMRSYT
BCOM Roll Select Sugar BCOMRSB BCOMRSBT
BCOM Roll Select Wheat BCOMRWH BCOMRWHT
LIVESTOCK
BCOM Roll Select Lean Hogs BCOMRLH BCOMRLHT
BCOM Roll Select Live Cattle BCOMRLC BCOMRLCT
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