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Bank of America Merrill Lynch Announces Year-End Rebalancing Changes for the Merrill Lynch Commodity Index eXtraSM

Wednesday, November 23, 2016 12:04 pm EST

Dateline:

New York City

Following an annual review in accordance with its rules, the target constituent weights for the BofA Merrill Lynch Commodity Index eXtra (MLCX) will rebalance to the values shown in Table 1 below on December 31, 2016. Similar changes will propagate across the MLCX sub-indices.

Cocoa will be added to MLCX at the December 31, 2016, rebalancing with a 0.70 percent weight as it now meets the quantitative criteria for selection and is deemed by the Index Committee to be appropriate. For a second straight year, the Brent Crude Oil weight drops the most (-1.32 percent), while the Gasoline weight increases the most (+0.97 percent). The Copper weight (-0.81 percent) also declines significantly.

MLCX is designed to provide a liquid, consistent, representative and cost-efficient benchmark for measuring commodity market performance. The index has representation in six key market sectors: Energy, Base Metals, Precious Metals, Grains & Oil Seeds, Livestock, and Soft Commodities & Others.

 

Table 1MLCX contract weights

 

Commodity

2016

               

2017

            

Change

 

Brent Crude Oil

28.116845%

26.801118%

-1.315727%

 

Gasoline (RBOB)

12.002656%

12.969769%

0.967113%

 

Gasoil

12.181546%

12.043909%

-0.137637%

 

Wheat

5.832795%

5.983355%

0.150560%

 

Corn

5.069962%

5.965483%

0.895521%

 

Crude Oil (WTI)

5.189844%

5.382154%

0.192310%

 

Gold

4.677434%

4.957877%

0.280443%

 

Copper

5.647866%

4.838249%

-0.809617%

 

Aluminum

3.716389%

3.483408%

-0.232981%

 

Natural Gas

2.509109%

2.803050%

0.293941%

 

Live Cattle

3.058645%

2.728967%

-0.329678%

 

Sugar

2.467653%

2.700097%

0.232444%

 

Soybean Meal

2.560466%

2.539092%

-0.021374%

 

Soybean

1.346286%

1.344594%

-0.001692%

 

Coffee

1.433921%

1.211275%

-0.222646%

 

Zinc

1.272907%

1.109178%

            

-0.163729%

 

Lean Hogs

1.179683%

1.030756%

-0.148927%

 

Nickel

1.122229%

0.822850%

-0.299379%

 

Cocoa

0.000000%

0.697352%

0.697352%

 

Silver

0.613764%

0.587467%

-0.026297%

 

 

 

Table 2MLCX sector weights

         

2016

           

2017

            

Change

Energy

60.000000%

60.000000%

0.000000%

Grains & Oilseeds

14.809509%

15.832524%

1.023015%

Base Metals

11.759391%

10.253685%

-1.505706%

Precious Metals

5.291198%

5.545344%

0.254146%

Soft Commodities & Others

3.901574%

4.608724%

0.707150%

Livestock

4.238328%

3.759723%

-0.478605%

Source:  BofA Merrill Lynch

 

 

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