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COMIX
CM Commodity Index Fund - Class I

Daily Price as of 09/24/21

NAV DAILY CHANGE
$6.12 $0.03 / +0.49%

Class I Details: COMIX

INCEPTION DATE GROSS/NET EXPENSES1
0.93%/0.65%
Why Invest?

The Next Generation of Commodity Indices

As a more modern commodity benchmark, the UBS Bloomberg Constant Maturity Commodity Index ("CMCI") seeks to reduce roll losses in contango environments in order to achieve higher risk-adjusted returns. In addition to diversification provided by 29 commodity futures components from the energy, precious metals, industrial metals, agriculture and livestock sectors, the CMCI introduces a freely determinable time element.

Fund Details
as of 08/31/21

  • Net Assets (All Classes)
    $658.6M
  • Number of Commodity Sectors
    5
  • Number of Commodity Components
    29
  • Avg. Weighted Contract Maturity
    6.6 Months
  • Benchmark Index
    UBS Bloomberg Constant Maturity Commodity Index (CMCI)

Understanding "Constant Maturity"

CMCI achieves “constant maturity” via a continuous rolling process, which allows maximum exposure to the asset class, and helps to minimize exposure to the negative effects of roll yield.

Traditional Indices Disregard Contango

With traditional indices, a continuing contango situation with futures confined to the steep part of the curve can lead to heavy roll losses.

CMCI's Constant Maturity Reduces Roll Losses

Using the CMCI constant maturity principle can significantly reduce roll losses in a typical contango environment.

CMCI Target Sector Weightings (%): Overview as of 2021-2022

Sector % OF NET ASSETS
Agriculture
31.0
Energy
30.5
Industrial Metals
25.7
Precious Metals
8.3
Livestock
4.6

CMCI Target Sector Weightings (%): Details for 2021-2022

AGRICULTURE
Soybeans 6.38
Corn 5.45
Sugar #11 4.88
Sugar #5 2.42
Soybean Meal 2.23
SRW Wheat 2.01
Soybean Oil 1.59
Coffee “C” Arabica 1.35
Cotton 1.34
HRW Wheat 1.12
Milling Wheat 0.90
Cocoa 0.69
London Cocoa 0.59
ENERGY
Brent Crude Oil 9.18
WTI Crude Oil 8.65
RBOB Gasoline 3.47
Gasoil 3.30
Natural Gas 2.98
ULS Diesel 2.92
INDUSTRIAL METALS
LME Copper 8.23
LME Aluminum 6.59
High Grade Copper 4.06
LME Nickel 2.98
LME Zinc 2.57
LME Lead 1.29
LIVESTOCK
Live Cattle 2.77
Lean Hogs 1.80
PRECIOUS METALS
Gold 6.90
Silver 1.37
GRAND TOTAL
100.00%

Three-Year Volatility
as of 08/31/21

  • UBS Bloomberg CMCI Index
    17.29
  • BCOM Index
    15.18
  • S&P GSCI Index
    28.91
  • S&P 500 Index
    18.48

Volatility is the annualized standard deviation of monthly returns.

Three-Year Maximum Drawdown (%)
as of 08/31/21

  • UBS Bloomberg CMCI Index
    -27.39
  • BCOM Index
    -26.32
  • S&P GSCI Index
    -52.79
  • S&P 500 Index
    -19.60

Maximum drawdown is the largest negative change in fund value over a given period of time.

CMCI Three-Year Correlation
as of 08/31/21

  • Bloomberg US Agg Bond Index
    -0.16
  • S&P 500 Index
    0.69

Correlation describes a complementary or parallel relationship between two investments. The correlation coefficient is a measure that determines the degree to which two variables’ movements are associated and will vary from -1.0 to 1.0. -1.0 indicates perfect negative correlation, and 1.0 indicates perfect positive correlation.

Commodity Benchmarks Defined: CMCI and Traditional Indices

  • The UBS Bloomberg Constant Maturity Commodity Index (CMCI) is a modern commodity benchmark that seeks to reduce roll losses in contango environments in order to achieve higher risk-adjusted returns. In addition to diversification provided by 29 commodity futures components from the energy, precious metals, industrial metals, agriculture and livestock sectors, the CMCI introduces a freely determinable time element.

  • The S&P® Goldman Sachs Commodity Index (S&P GSCI) is a composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures. High energy concentration; limited diversification. The index benefits when energy is strong, and suffers when energy is weak.

  • The Bloomberg Commodity Index (BCOM) is composed of futures contracts on 22 physical commodities covering five sectors, specifically energy, precious metals, industrial metals, agriculture and livestock. Commodity weightings are based on production and liquidity, subject to weighting restrictions applied annually such that no related group of commodities constitutes more than 33% of the index and no single commodity constitutes more than 15%.

  • The S&P® 500 Index (S&P 500) consists of 500 widely held common stocks covering industrial, utility, financial and transportation sectors.

  • The Barclays Capital Global Aggregate Bond Index (BarCap Agg Bond Index) is composed of the mortgage-backed and asset-backed securities and government/credit bonds.

All indices are unmanaged and include the reinvestment of all dividends, but do not reflect the payment of transaction costs, advisory fees or expenses that are associated with an investment in the Fund. An index’s performance is not illustrative of the Fund’s performance. Indices are not securities in which investments can be made.