Market Attributes Commodities

Market Attributes Commodities S&P GSCI   February GSCI 2012 Index February Total Return: +6.06% (+8.43% YTD) (All returns are total returns unless...
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Market Attributes Commodities S&P GSCI   February GSCI 2012 Index

February Total Return: +6.06% (+8.43% YTD) (All returns are total returns unless otherwise noted.)

Petroleum Takes Control

S&P Indices Market Attributes Series provides market commentary highlighting developments across various asset classes. Analysis. Research. Education. www.SPindices.com

Commodity Indices Contributors: Michael McGlone, CFA, FRM

Senior Director [email protected] Jodie Gunzberg, CFA

Director [email protected]

The S&P GSCI gained 6.06% in February, led by strength in petroleum. Increasing political tension, notably with Iran, and a backdrop of increasing global economic optimism, higher equity prices and a weakening U.S. dollar provided solid underpinnings for commodity prices in February. Year-to-date (YTD), the S&P GSCI ended the month with a gain of 8.43%, just ® behind the S&P 500 YTD total return of 9.00%. Due to its high world productionweighted significance, petroleum has had the greatest positive impact on S&P GSCI total returns in 2012, as measured by the 10.54% YTD gain in the S&P GSCI Petroleum index and the sharp 8.34% increase in February alone. To the chagrin of most consumers, unleaded gas has been the second-best-performing S&P GSCI commodity in 2012, just behind silver, as measured by the 16.72% YTD increase in the S&P GSCI Unleaded Gas index. On a 12-month basis, the S&P GSCI Unleaded Gas index has been the best-performing S&P GSCI commodity, with a 23.8%gain. An optimistic global economic environment and extremely low base interest rates have elevated metals to be the best-performing commodity group in 2012, but comments from U.S. Federal Reserve Chairman Ben Bernanke on the last day of February contributed to some end-of-the-month deflation in metal prices. Led by strength in aluminum and copper, the 11.39% YTD increase in S&P GSCI Industrial Metals index edged out the precious metals index to claim title as the bestperforming sector index YTD.

Agriculture prices have remained relatively tame so far in 2012 as measured by the 2.36% YTD increase in the S&P GSCI Agriculture index, most of which was on the back of a 2.34% gain in February. The key driver of agriculture gains in February was the sharp increase in soybean prices, as reflected by the 9.35% monthly increase in the S&P GSCI Soybean index. The Chinese vice president’s commitment to purchase a substantial amount of U.S. grain following a visit to the U.S. heartland as well as worsening drought conditions in South America supported the agriculture price recovery in February. Petroleum strength, coinciding with futures curve movement toward backwardation in February resulted in lesser monthly gains in most of the modified roll indices, as represented by the 5.85% month-to-date (MTD) increase in the S&P GSCI 3-Month Forward index, compared to the 6.06% increase in the base S&P GSCI. Exhibit 1: Relevant Market Total Returns Total Return

S&P GSCI S&P GSCI Enhanced S&P GSCI 3-Month Forward S&P GSCI Dynamic roll S&P GSCI Light Energy S&P GSCI Covered Call Select S&P World Commodity Index S&P Systematic Global Macro S&P 500 U.S. Dollar Index S&P/ BG Cantor 7-10yr Bond U.S. 2yr Note Yield & Change

February 2012

YTD

12-Month

3-Year

5-Year

Since 1999

6.06% 6.07% 5.85% 4.32% 3.86% 2.14% 7.11% -0.11% 4.32% -0.72% -1.03% .30

8.43% 8.47% 8.52% 7.72% 7.08% 3.65% 12.52% 3.54% 9.00% -1.83% -0.07% 0.06

0.23% 0.04% -0.01% -1.48% -6.39% -11.67% 7.07% -1.34% 5.12% 2.40% 15.81% -0.27

55.05% 63.73% 64.63% 54.77% 50.03% 42.32% 100.01% 30.49% 97.94% -10.56% 25.42% -0.47

-7.64% 16.93% 19.83% 37.39% -2.45% 21.07% 32.70% 78.53% 8.16% -5.81% 52.74% -4.663

91.23% 355.37% 373.20% 513.22% 65.71% na 338.53% na 16.42% -22.73% 143.63% -5.91

Source: S&P Indices, Bloomberg. Data as of February 29, 2012. Charts are provided for illustrative purposes. Past performance is not a guarantee of future results. This chart may reflect hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

Market Attributes | COMMODITIES

February 2012

Exhibit 2: S&P GSCI Sector and Sub-Index Total Returns: February and YTD 2012 15%

February Total Returns

2012 YTD Total Returns

10%

5%

0% Industrial Metals

Precious Metals

Petroleum

Energy

Non-Energy

Livestock

Agriculture

Softs

-5% Source: S&P Indices. Bloomberg. Data as of February 29, 2012. Graphs are provided for illustrative purposes only. Past performance is not a guarantee of future results. Ethanol is not included in the S&P GSCI but included for illustrative purposes.

S&P GSCI Energy February Total Return: +8.08% (+9.64% YTD, 70.99% Weight)

Unleaded Gas Leads Energy Gains U.S. January advanced retail sales were reported in February at one-half of the expected increase, which was also one-half of the increase from January 2011. The S&P GSCI Unleaded Gas index has been the bestperforming single commodity energy index in 2012, with an YTD gain of 16.72%, just ahead of the S&P GSCI Brent Crude index YTD increase of 14.40%. On a 12-month basis, the S&P GSCI Unleaded Gas index has been the best-performing single-commodity index, with a gain of 23.79%. There is likely no commodity that is more “in the face” of consumers and that can potentially negatively affect consumer spending and sentiment more than spiking unleaded gas prices. Some analysts cited higher unleaded gas prices for recently disappointing retail sales and U.S. Federal Reserve Chairman Ben Bernanke said higher gasoline prices are “likely to push up inflation temporarily” at his February 29 testimony to congress. Brent versus WTI Following a bit of a reprieve in the latter half of 2011 in the performance battle between seaborne brent and WTI crude oil, brent has spurted ahead again in 2012. The S&P GSCI Brent Crude index has increased 14.40% YTD, compared the S&P GSCI Crude Oil index’s gain of 7.71%. In February, brent was the best-performing S&P GSCI commodity, as measured by the 10.22% MTD increase in the S&P GSCI Brent Crude index. The front brent crude oil future ended February at USD 122.66/bbl compared to the WTI crude oil’s price of USD 107.07/bbl, for a spread of USD 15.59. At the end of 2011, brent closed at a premium of USD 8.55/bbl to WTI crude oil after reaching a peak of USD 27.88/bbl. in October. “Seaborne” remains the key descriptor for brent as it better reflects global supply-demand conditions and political tensions, notably in Iran lately. Disagreements over pipelines in the U.S. have contributed to a bottleneck of supply, as seen in the WTI crude oil in Cushing, Oklahoma, storage hub, in addition to increasing North American production, notably from North Dakota and Canada, in the midst of slack U.S. demand. Both brent and WTI crude oil futures curves moved further into backwardation in February, as measured from the front contract month to the one-year out future (see Exhibit 5). Backwardation exists when further out futures trade at lower prices and is generally a reflection of tight supply supply-demand conditions. Rolling into backwardation, also improves total index returns, as reflected by the 10.0% 12-month increase in the brent spot futures price compared to the 14.40% increase in the S&P GSCI Brent Crude Oil index over the same period (see Exhibit 3 on the next page).

McGRAW-HILL

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Market Attributes | COMMODITIES

February 2012

Index Weight Migration The weight of brent has been increasing in the S&P GSCI over the past few years, while WTI crude has been declining. Some of the relative weight changes have been due to underlying commodity prices but most of the change in the weights is due to the S&P GSCI’s rules-based methodology. The total weight of petroleum in the index is based on world production but the weights of the individual commodities that represent petroleum are based on their total dollar value traded (TDVT), which are updated annually. The TDVT of brent has increased more than that of WTI crude and thus brent has increased its proportional representation in the S&P GSCI Petroleum index. Petroleum Catches Industrial Metals In terms of actual index impact, due to the greater global world production significance and subsequent higher index weight, the energy sector has had the greatest positive index impact on the S&P GSCI, accounting for almost 6.8% of its total returns (see Exhibit 7). Reflecting early-in-the-year optimism, the industrial metals sector sprinted ahead in January to lead all sector index gains but has since stagnated. Petroleum has almost caught up, as measured by the 10.54% YTD increase in the S&P GSCI Petroleum index, compared with the 11.39% increase in the S&P GSCI Industrial Metals index. The 2012 single-commodity leading loser, natural gas, has helped to temper overall energy index gains as reflected by the 19.04% YTD decline in the S&P GSCI Natural Gas index. The key difference between the return on the S&P GSCI Petroleum index and the S&P GSCI Energy index is natural gas. Exhibit 3: S&P GSCI Single Commodity Spot Futures and Index TR Changes: 12-Months thru Feb. 2012 20%

Front Futures Spot Change - 12-Months thru Feb. 2012 S&P GSCI Total Return - 12-Months thru Feb.2012

10% 0%

Natural Gas

Cotton

Cocoa

Nickel

Chicago Wheat

Coffee

Kansas Wheat

Zinc

Lead

Aluminum

LME Copper

Corn

Lean Hogs

Soybeans

Sugar

Silver

Live Cattle

Crude Oil

Heating Oil

Gasoil

Feeder Cattle

Brent Crude

-30%

Gold

-20%

Unleaded Gas

-10%

-40% -50% -60% Source: S&P Indices. Bloomberg. Data as of February 29, 2012. Graphs are provided for illustrative purposes only. Past performance is not a guarantee of future results. Ethanol is not included in the S&P GSCI but included for illustrative purposes.

Unleaded versus Natural Gas - Rich versus Cheap Historically the price of the unleaded gas futures has traded in a range of about 5x to 40x that of the natural gas future (see Exhibit 4 on the next page). Beginning in 2009, as North American supply began to increase rapidly and demand declined, natural gas has become rather cheap compared to unleaded gas. Exhibit 4 depicts the unleaded gas future ending February near 125x the price of the natural gas future. Based on the pre-2009 average spread of unleaded gas over natural gas of about 23, the equivalent price of unleaded gas would be about USD 0.60 based on the end of February natural gas front future price of USD 2.62/MMbtu. The front unleaded gas future price ended February at USD 3.26/gal. Most market participants have been asking themselves for the past few years, just how cheap can natural gas go? At current levels, there is plenty of incentive to convert to all possible uses for natural gas.

McGRAW-HILL

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Market Attributes | COMMODITIES

February 2012

Exhibit 4: CME/NYMEX Unleaded Gas Future Divided by Natural Gas Future: Jan. 1998 – Feb. 2012 140 120 100 80 60 40 20 0

Source: S&P Indices, Bloomberg, Bureau of Economic Analysis. Data as of February 29, 2012. Graphs are provided for illustrative purposes. Past performance is not an indication of future results.

Brent Leads the Trend Toward Backwardation Every S&P GSCI petroleum commodity returned to backwardation in February with the most significant shift occurring in brent. At the end February, the one year out brent future closed at a 6.7% discount to the front contact, compared to a 3.4% discount for the same measure at the end of January. This trend toward backwardation is also evidenced by the inferior performance of the modified roll indices compared to the base S&P GSCI. The S&P GSCI 3-Month Forward is a simple proxy for modified roll indices. In February, the S&P GSCI 3-Month Forward index increased 5.85%, compared to the greater increase of 6.06% in the base S&P GSCI. On a 12-month basis, the base S&P GSCI also outperformed with a gain of 0.23%, compared to a decline of 0.01% in the S&P GSCI 3-Month Forward index (see Exhibits 1 and 8). Exhibit 5: S&P GSCI Commodity Futures Prices and Backwardation Measures – February 2012 Commodity Natural Gas Chicago Wheat Kansas Wheat Aluminum Coffee Lead Live Cattle Cotton Zinc Feeder Cattle Nickel Gold Silver Copper Cocoa Crude Oil Heating Oil Soybeans Gasoil Sugar Lean Hogs Brent Crude Unleaded Gas Corn

Current Futures Price

One-YearOut*

Percentage Contango (+), Backwardation (-)

12 Months Prior Feb. 2011

Difference- Moving Towards: Contango (+), Backwardation (-)

2.616 664.25 699 2294.5 203.15 2138.75 129.75 89.86 2098.5 157.225 19186 1711.3 34.583 8497 2383 107.07 320.59 1313.5 1002.75 25.01 89.425 122.66 325.72 656.5

3.501 727 758 2426 214.4 2232.5 135 92.68 2161 161.5 19444 1726.2 34.83 8525 2376 106.64 317.9 1290 983.25 24.44 86.8 114.41 296.22 578.75

+ 33.8% + 9.4% + 8.4% + 5.7% + 5.5% + 4.4% + 4.0% + 3.1% + 3.0% + 2.7% + 1.3% + 0.9% + 0.7% + 0.3% - 0.3% - 0.4% - 0.8% - 1.8% - 1.9% - 2.3% - 2.9% - 6.7% - 9.1% - 11.8%

+ 16.2% + 17.9% + 6.3% + 3.3% - 0.3% - 2.5% + 8.6% - 39.8% + 2.3% - 0.1% - 3.0% + 0.7% - 0.3% - 0.3% - 6.1% + 4.3% + 5.3% - 2.3% + 1.9% - 23.0% - 3.2% - 4.9% + 1.0% - 14.8%

+ 17.6% - 8.4% + 2.2% + 2.5% + 5.8% + 6.8% - 4.6% + 42.9% + 0.7% + 2.8% + 4.3% + 0.2% + 1.0% + 0.6% + 5.8% - 4.7% - 6.1% + 0.5% - 3.9% + 20.8% + 0.2% - 1.9% - 10.1% + 3.0%

Source: S&P Indices., Bloomberg. Data as of February 29, 2012. Graphs are provided for illustrative purposes. Past performance is not an indication of future results.

McGRAW-HILL

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Market Attributes | COMMODITIES

February 2012

S&P GSCI Industrial Metals February Total Return: +1.14% (+11.39% YTD, 6.87% Weight)

Aluminum and Copper Assume Control Despite February declines in nickel and lead, strength in the more-significant industrial metals, aluminum and copper, carried the sector on the month. Due to their relative world production weighted significance, aluminum and copper make up 78.67% of the S&P GSCI Industrial Metals index (31.68% and 46.99%, respectively). The S&P GSCI Aluminum index increased 3.3% in February and the S&P GSCI Copper index increased 2.14%, bringing YTD total returns to 13.92% and 11.73%, respectively. Due to its higher index weight, copper has accounted for the greatest impact on the industrial metals sector total returns in 2012. On a 12-month basis, the 17.18% decline in the S&P GSCI Industrial Metals index is just behind the 19.88% decline in the S&P GSCI Agriculture index as the worst 12-month S&P GSCI sector performance. Chinese growth and demand conditions remain the key determinant of global industrial metals prices and recent easing of Chinese monetary conditions has helped to boost industrial metals prices. Some relative value investors have focused on the industrial metals and agriculture as key sectors that may be more attractive within longer-term bullish trends than many other sectors that experienced superior performance in 2011.

S&P GSCI Precious Metals February Total Return: -0.86% (+11.02% YTD, 3.42% Weight)

A Down Month The S&P GSCI Precious Metals index was the only major sector index to decline in February, with a MTD decline of 0.86%. The last day of February made for a bad month as the S&P GSCI Precious Metals index declined 4.71%, erasing the month’s gains on the back of a less-than-favorable response to U.S. Federal Reserve Chairman Ben Bernanke’s annual testimony to the U.S Congress. The marketplace seems to have been anticipating an ever-growing and potent punch bowl of monetary stimulus and Mr. Bernanke seemed to hint that there might not be as much as expected. Despite the February 29 decline of 6.89% in the S&P GSCI Silver index, it remained the best-performing S&P GSCI single commodity index in 2012 with a YTD gain of 23.88%. On a 12-month basis the S&P GSCI Silver index posted a gain of only 1.88% compared to the S&P GSCI Gold index’s 20.66% increase. Gold represents 85% of the S&P GSCI Precious Metals sector and has accounted for the majority of the 17.61% 12-month return in the S&P GSCI Precious Metals index. Since the end of 1999, the price of gold has increased 490%, compared to 539% for silver. Exhibit 6 below depicts the S&P/Case-Shiller Composite-10 U.S. Home Price Index divided by the price of gold. Near the beginning of 2006, about one-half of the index was roughly equivalent to the price of an ounce of gold. At the end of February 2012, the index represented approximately one-tenth of an ounce. Many investors concerned about potentially higher base interest rates and the rapid appreciation of the precious metals may be referring to charts like this for indications of alternative stores of value. Exhibit 6: S&P/Case-Shiller Composite-10 Index Divided by Gold: February 1987 – February 2012 0.60 0.50 0.40 0.30 0.20 0.10 0.00

Source: S&P Indices, Data as of February 29, 2012. Graphs are provided for illustrative purposes. Past performance is not a guarantee of future results.

McGRAW-HILL

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Market Attributes | COMMODITIES

February 2012

Exhibit 7: S&P GSCI Sector Index Impact on S&P GSCI Total Returns: 2012 YTD through February 8% 6% 4% 2% 0% Energy

Industrial Metals

Precious Metals

Agriculture

Livestock

Source: S&P Indices. Data as of February 29, 2012. Graphs are provided for illustrative purposes. Past performance is not a guarantee of future results.

S&P GSCI Agriculture Febrary Total Return: +2.34% (+2.36% YTD, 7.11% Weight)

More Beans for China Chinese Vice President Xi Jinping returned to visit America’s grain belt in February and, to the delight of U.S. farmers, he left with about 10% of the annual soybean crop. Soybean prices have recovered January losses with a 9.35% gain in February as measured by the S&P GSCI Soybean index, resulting in an YTD increase of 8.56%. Bean prices have been boosted by strong export demand from China and drought conditions in South America, notably Brazil and Argentina. February soybean gains boosted the 12-month return on the S&P GSCI Soybean index to -5.89%, improving its status as the second-best-performing S&P GSCI Agriculture index over this time period, just behind sugar (see Exhibits 3 and 9) Agriculture prices have increased recently but the sector has been the worst performer on a 12-month basis, as measured by the decline of 19.88% in the S&P GSCI Agriculture index. U.S. farmers are expected to plant the most corn acres since World War II in 2012. They certainly have plenty of incentive to produce, as the 2011 yearend corn price of USD 6.47/bu was the highest ever. Corn is the world’s most-produced grain in terms of U.S. dollar value per metric ton of global production, and the U.S. is the biggest producer and exporter. Supply and demand conditions in the corn market are the tightest among the grains. Corn prices are up slightly in 2012, as measured by the 1.78% increase in the S&P GSCI Corn Spot index. The corn futures curve ended the month with the steepest contango conditions among all the S&P GSCI commodities, reflecting still-tight supply demand conditions (see Exhibit 5). A notable difference between investing in soybeans and corn is the cost of storage. Beans generally are dry enough upon harvest to be sent straight to the market while corn generally has to be dried, therefore corn futures historically have reflected higher storage costs. Blame the Snow Ample global supplies of wheat and recent snow coverage on the North American winter wheat crop have pressured wheat prices. Due to its global significance, wheat has the second-highest weight among the S&P GSCI Agriculture commodities, just behind corn. It has been the biggest agriculture sector drag over the past 12months, as measured by the S&P GSCI Wheat index 12-month decline of 32.76%. A record harvest expected from Australia and ample harvests from Ukraine and Russia have helped bolster global wheat ending stocks but the S&P GSCI Wheat index has managed to post a 1.09% increase in 2012 despite a 0.92% decline in February. The S&P GSCI also includes Kansas wheat, which generally reflects the higher protein content winter wheat used for bread. Chicago wheat generally reflects wheat used for cake and pastries. The S&P GSCI Kansas Wheat index ended the month with a YTD decline of 2.19% on the back of a 1.99% loss in February. Good snow coverage has improved yield estimates for the winter wheat crop that is soon to emerge.

McGRAW-HILL

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Market Attributes | COMMODITIES

February 2012

Exhibit 8: S&P GSCI Sectors 12-Month Spot and Total Returns: February 2011 20% 12-Month S&P GSCI Spot Change 12-Month S&P GSCI Total Return 10% 0% -10%

Precious Metals

Livestock

Petroleum

Energy

S&P GSCI

Industrial Metals

Agriculture

Softs

-20% -30% -40% Source: S&P Indices, Bloomberg, USDA. Data as of February 29, 2012. Graphs are provided for illustrative purposes. Past performance is not an indication of future results.

Softs: Stronger Sugar with Weaker Coffee The S&P GSCI Softs index gained 1.72% in February for a YTD increase of 2.08%. Sugar is the most significantly weighted soft commodity with an end of February S&P GSCI index weight of 1.91%. Cotton is next at 1.07%. Strong sugar prices have been driving the softs in 2012 as measured by the S&P GSCI Sugar index YTD increase of 11.15% on the back of a 9.55% gain in February. Although the global sugar supply demand situation is expected to remain in surplus in 2012, it is in deficit in Asia due to strong demand and supply issues in India, one of the world’s largest producers. Output declines in Mexico have contributed to the recent rise in sugar prices. Also providing a backdrop of support for sugar prices is the end of the U.S. corn-based ethanol mandate. Backwardation conditions have been the most significant driver of sugar index investment total returns over the past 12 months, as reflected by the 0.47% increase in the S&P GSCI Sugar index compared to the spot futures price decline of 23% (see Exhibits 3 and 5). At the end of February the sugar futures curve reflected a backwardation condition near -2.3%, compared with -23% 12 months ago. Only the cotton futures curve has moved further away from the extreme backwardation conditions that existed at the beginning of 2011. Ample supplies have contributed to declines in the S&P GSCI Coffee and Cotton indices in 2012, adding to the 12-month declines of 29.72% and 43.38%, respectively.

S&P GSCI Livestock February Total Return: +0.90% (+3.44% YTD, 4.59% Weight)

Reduced Supplies and Increasing Demand Live cattle futures represent the most significant globally produced livestock commodity and thus have the highest weight among the livestock constituents, with a 2.66% S&P GSCI weight at the end of February. Both live cattle and feeder cattle reached new record high prices in February contributing the 0.90% MTD increase in the S&P GSCI Livestock index for a YTD increase of 3.44%. Reduced supplies in the U.S. and rapidly increasing global demand, notably from China, have continued to boost livestock prices. Despite lean hogs sustaining a backwardation condition at the end of February (see Exhibit 5), livestock is expensive to store and generally has issues with negative roll yields. Over the past 12 months, the S&P GSCI Live Cattle index has increased 2.13%, compared with a 18% gain in the spot futures. Livestock investors, as a result, often focus on more tactical exposure.

McGRAW-HILL

7

Market Attributes | COMMODITIES

February 2012

Exhibit 9: S&P GSCI Total Returns - February 29, 2012 Weight

Value

MTD

QTD

YTD

YTD

YTD

3-MO.

12-MO

(%)

2/29/2012

Change

Change

Change

High

Low

Change

Change

S&P GSCI

100.00%

5297.14

6.06%

8.43%

8.43%

5387.62

4925.13

6.15%

0.23%

S&P GSCI Energy Index

70.99%

1190.52

8.08%

9.64%

9.64%

1220.78

1090.43

6.89%

6.78%

S&P GSCI Petroleum Index

69.31%

2728.08

8.34%

10.54%

10.54%

2797.11

2494.78

8.34%

9.57%

2684.67

1.44%

5.56%

5.56%

2705.95

2536.25

4.36%

-13.07%

4370.14

4.99%

7.78%

7.78%

4424.74

4077.91

5.74%

-3.07%

3662.82

3.86%

7.08%

7.08%

3690.62

3431.05

5.31%

-6.39%

6.87%

1723.62

1.14%

11.39%

11.39%

1764.29

1542.81

6.91%

-17.18%

S&P GSCI Precious Metals Index

3.42%

2266.59

-0.86%

11.02%

11.02%

2378.51

2095.57

-1.28%

17.61%

S&P GSCI Agriculture Index

14.13%

711.30

2.34%

2.36%

2.36%

713.56

665.76

6.28%

-19.88%

S&P GSCI Livestock Index

4.59%

2311.96

0.90%

3.44%

3.44%

2334.77

2212.75

-0.23%

0.13%

S&P GSCI Softs Index

3.98%

110.94

1.72%

2.08%

2.08%

114.47

108.30

0.15%

-23.71%

S&P GSCI Crude Oil Index

32.17%

1575.20

8.31%

7.71%

7.71%

1614.90

1423.09

5.86%

5.29%

S&P GSCI Brent Crude Index S&P GSCI Unleaded Gasoline Index

18.75%

1232.11

10.22%

14.40%

14.40%

1261.69

1107.92

11.41%

14.40%

5.32%

4368.92

7.56%

16.72%

16.72%

4459.39

3845.36

20.63%

23.79%

S&P GSCI Heating Oil Index

5.08%

1573.65

5.96%

11.17%

11.17%

1626.19

1452.98

6.70%

7.26%

S&P GSCI GasOil Index

7.99%

1053.57

6.21%

10.18%

10.18%

1084.00

976.02

6.11%

9.64%

S&P GSCI Natural Gas Index

1.68%

0.63

-2.09%

-19.04%

-19.04%

0.81

0.61

-32.58%

-50.53%

S&P GSCI

S&P GSCI Non-Energy Index S&P GSCI Reduced Energy Index (CPW 2) S&P GSCI Light Energy Index (CPW 4) S&P GSCI Industrial Metals Index

S&P GSCI Energy

S&P GSCI Industrial Metals S&P GSCI Aluminum Index

2.18%

88.82

3.30%

13.92%

13.92%

88.96

78.59

7.59%

-14.79%

S&P GSCI Copper Index

3.23%

5116.07

2.14%

11.73%

11.73%

5271.01

4514.02

7.68%

-14.66%

S&P GSCI Lead Index

0.38%

387.86

-2.82%

5.30%

5.30%

420.06

354.14

1.13%

-16.76%

S&P GSCI Nickel Index

0.58%

527.73

-7.86%

2.53%

2.53%

598.20

513.79

9.55%

-34.10%

S&P GSCI Zinc Index

0.51%

116.61

0.03%

14.18%

14.18%

122.24

101.53

1.17%

-18.76%

S&P GSCI Precious Metals S&P GSCI Gold Index

2.90%

941.42

-1.67%

9.04%

9.04%

983.83

881.95

-2.39%

20.66%

S&P GSCI Silver Index

0.51%

1272.30

3.96%

23.88%

23.88%

1366.43

1055.35

5.41%

1.88%

S&P GSCI Wheat Index

2.70%

186.69

-0.92%

1.09%

1.09%

190.77

167.56

7.47%

-32.76%

S&P GSCI Kansas Wheat Index

0.79%

69.73

-1.99%

-2.19%

-2.19%

71.85

64.93

6.09%

-28.89%

S&P GSCI Corn Index

4.32%

158.67

2.23%

1.04%

1.04%

159.95

144.16

7.44%

-10.70%

S&P GSCI Soybeans Index

2.35%

3842.70

9.35%

8.56%

8.56%

3842.70

3394.78

14.87%

-5.89%

S&P GSCI Cotton Index

1.07%

326.38

-4.46%

-2.95%

-2.95%

364.04

322.00

-2.00%

-43.38%

S&P GSCI Sugar Index

1.91%

290.89

9.55%

11.15%

11.15%

297.17

259.80

9.32%

0.47%

S&P GSCI Coffee Index

0.78%

141.93

-6.51%

-11.37%

-11.37%

165.81

140.49

-15.13%

-29.72%

S&P GSCI Cocoa Index

0.21%

30.97

1.53%

10.30%

10.30%

32.65

27.00

0.92%

-38.66%

S&P GSCI Agriculture

Source: S&P Indices. Data as of February 29, 2012. Charts are provided for illustrative purposes. Past performance is not a guarantee of future results.

McGRAW-HILL

8

Market Attributes | COMMODITIES

February 2012

Exhibit 9: S&P GSCI Total Returns - February 29, 2012 (continued) S&P GSCI

Weight

Value

MTD

QTD

YTD

YTD

YTD

3-MO.

12-MO

(%)

2/29/2012

Change

Change

Change

High

Low

Change

Change 9.91%

S&P GSCI Livestock S&P GSCI Feeder Cattle Index

0.48%

158.79

1.58%

6.18%

6.18%

159.49

150.19

6.63%

S&P GSCI Live Cattle Index

2.66%

3971.05

0.92%

3.34%

3.34%

4013.82

3795.40

1.54%

2.13%

S&P GSCI Lean Hogs Index

1.44%

218.67

0.63%

2.74%

2.74%

220.99

208.92

-5.42%

-6.12%

S&P GSCI 1 Month Forward Index

543.08

5.93%

8.41%

8.41%

552.26

505.49

6.16%

-0.59%

S&P GSCI 2 Month Forward Index

732.33

5.89%

8.49%

8.49%

744.31

681.58

6.30%

-0.27%

S&P GSCI 3 Month Forward Index

727.10

5.85%

8.52%

8.52%

738.54

677.26

6.52%

-0.01%

S&P GSCI 4 Month Forward Index

771.60

5.73%

8.53%

8.53%

783.62

719.38

6.70%

0.70%

S&P GSCI 5 Month Forward Index

795.31

5.72%

8.56%

8.56%

807.30

742.85

6.90%

0.88%

S&P GSCI Index Euro

92.07

3.79%

5.23%

5.23%

93.06

87.76

6.82%

3.49%

S&P GSCI Index Euro Hedged

80.01

5.93%

8.25%

8.25%

81.31

74.52

5.85%

-1.30%

S&P GSCI Index Yen

64.31

12.59%

14.07%

14.07%

65.20

56.79

10.67%

-0.98%

S&P GSCI Index Yen Hedged

90.52

6.41%

8.71%

8.71%

92.14

83.92

6.34%

0.06%

S&P GSCI Swiss Franc

70.08

3.90%

4.46%

4.46%

70.87

66.78

4.58%

-2.86%

S&P GSCI Swiss Franc Hedged

82.18

5.90%

8.17%

8.17%

83.53

75.97

6.48%

-2.81%

S&P GSCI Agriculture Yen

69.95

8.62%

7.68%

7.68%

69.95

62.13

10.88%

-20.89%

776.17

6.07%

8.47%

8.47%

789.25

722.77

6.41%

0.04%

249.42

6.06%

8.43%

8.43%

253.68

231.90

6.15%

0.23%

188.59

3.65%

6.28%

6.28%

190.09

177.51

3.92%

-7.58%

603.46

3.77%

6.37%

6.37%

608.87

569.19

4.35%

-7.06%

S&P GSCI Equal Weight Select

243.08

3.21%

7.61%

7.61%

245.24

225.88

7.07%

-8.61%

S&P GSCI Dynamic Roll

958.27

4.32%

7.72%

7.72%

967.61

889.63

6.30%

-1.48%

S&P GSCI Covered Call Select

160.84

2.14%

3.65%

3.65%

162.23

153.79

1.01%

-11.67%

S&P GSCI Crude Oil Enhanced

2075.92

8.27%

7.68%

7.68%

2128.24

1876.07

6.49%

4.30%

S&P GSCI Crude Oil Covered Call

222.68

6.70%

7.99%

7.99%

223.59

204.46

7.62%

5.15%

S&P GSCI Forwards

S&P GSCI Currency

Additional S&P GSCI Enhanced Commodity Index S&P GSCI Capped Commodity 35/20 Index S&P GSCI Capped Component 35/20 Index S&P GSCI Enhanced Capped Component Index

Source: S&P Indices. Data as of February 29, 2012. Charts are provided for illustrative purposes. Past performance is not a guarantee of future results.

McGRAW-HILL

9

Market Attributes | COMMODITIES

February 2012

PERFORMANCE DISCLOSURES Indices are not collective investment funds and are unmanaged. It is not possible to invest directly in an S&P index. Past performance of an index is not an indication of future results. The inception date for the S&P GSCI is May 1, 1991 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date for the S&P GSCI Enhanced Index is March 31, 2007 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date for the S&P GSCI 3-Month Forward Index is January 3, 2008 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date for the S&P GSCI Equal Weight Select Index is September 9, 2010 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date for the S&P GSCI Covered Call Select Index is October 7, 2010 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date for the S&P Dynamic Futures Index (DFI) is February 19, 2010 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date for the S&P/BGCantor 7-10 Years U.S. Treasury Bond Index is December 7, 2009 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date for the S&P World Commodity Index (WCI) is June 5, 2010 at the market close. The index has not been in existence prior to that date and all data presented prior to that date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com.

The inception date of the S&P GSCI Dynamic Roll Index was January 27, 2011 at the market close. All information presented prior to the index inception date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date of the S&P GSCI Systematic Global Macro Index was August 9, 2011 at the market close. All information presented prior to the index inception date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. The inception date of the S&P GSCI Multiple Contract Index was January 26, 2012 at the market close. All information presented prior to the index inception date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.indices.standardandpoors.com. Prospective application of the methodology used to construct the S&P GSCI, S&P GSCI Enhanced Index, S&P GSCI 3-Month Forward Index, S&P Dynamic Futures Index (DFI), S&P Commodity Trading Strategy Index (CTSI), S&P/BGCantor 7-10 Years U.S. Treasury Bond Index, and S&P World Commodity Index (WCI) June not result in performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the indices. Please refer to the methodology paper for the indices, available at www.standardandpoors.com for more details about the indices, including the manner in which they are rebalanced, and the timing of such rebalancing, criteria for additions and deletions and index calculation. The indices are rules based, although the Index Committee reserves the right to exercise discretion, when necessary. The index performance has inherent limitations. The index returns shown do not represent the results of actual trading of investor assets. Standard & Poor’s maintains the indices and calculates the index levels and performance shown or discussed, but does not manage actual assets. Indices are statistical composites and their returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual and back-tested performance to be lower than the performance shown. For example, if an index returned 10% on a US$ 100,000 investment for a 12-month period (or US$ 10,000) and an annual asset-based fee of 1.5% were imposed at the end of the period (or US$ 1,650), the net return would be 8.35% (or US$ 8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.1%, a total fee of US$ 5,375, and a cumulative net return of 27.2% (or US$ 27,200).

McGRAW-HILL

10

Market Attributes | COMMODITIES

February 2012

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