Current Holdings Review DBC Harrison Caruthers Jaewoo Jang John Solitario Kuno Choi Sen Lin ID: 802045
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Slide1
Stanford Blyth Fund FICC Group
Current Holdings Review
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DBC
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Harrison Caruthers
Jaewoo
Jang
John
Solitario
Kuno Choi
Sen Lin
Slide2PowerShares DB Commodities (DBC)
02/18/2015
FICC Group Current Holdings Review
Symbol
Price
QuantityPrice PaidTotal GainMarket ValueDBC$18.30688$25.61- $5029.28 | - 28.54%$12590.4
Slide3Relative Performance to Benchmarks
02/18/2015
FICC Group Current Holdings Review
DBC has generally
underperformed the market over the past 3
years, though it has done better than other commodities tracking indices, such as the Bloomberg Commodity Index.source: http://etfdb.com/etf/DBC/#fundamentals
Slide4ETF Component Weightings
02/18/2015
FICC Group Current Holdings Review
Sector
Weight
Oil & Gas45.31%Agricultural Softs27.14%Gold & Silver13.65%Base Metals9.04%Miscellaneous
4.86%
Total
100%
Listed February 3, 2006, DBC follows
movements in the commodities market with a heavy emphasis
on
crude oil and other energy-related
commodities.
It
t
racks
the DB Commodities Index.
DBC Current Portfolio Summary
DBC by Weighting
Slide5Correlation Analysis 1
DBC highly correlated with Brent Crude at 0.90 over 5 years
Further holding onto DBC akin to a long directional bet on oil
source: https
://www.invesco.com/portal/site/us/financial-professional/etfs/tools/correlation-analyzer
02/18/2015FICC Group Current Holdings Review
Slide6Correlation Analysis 2
Mo
derate to high degree of inter-correlation between ETF components.
All are inversely correlated to value of USD against basket of foreign currencies.
Not significantly hedged. Heavy weighted correlation with oil & gas instruments.
source: http://www.mrci.com/special/correl.htm02/18/2015FICC Group Current Holdings Review
Slide7Thesis : Sell at Target Price $20
FICC recommends unwinding DBC position at target price $20.
Following the recession, DBC peaked at $30 with oil prices above $100 in 2011.
Previous highs not expected
.
Short-Medium outlook for oil markets bearish due to due to changing fundamentals. No strong directional opinion agricultural commodities or precious metals among members, hence no edge.02/18/2015FICC Group Current Holdings Review
Slide8Exogenous Shocks
Crude Oil : US-led advances in shale oil make scaling production cheap and fast. Upside potential limited.
US dollar strength. General downward pressure on commodity prices.
Chinese factory output stagnant. Copper and Aluminum demand hinges on industrial production.
Soft (agricultural) commodities : no trending, no edge. Downturn persistent since end of commodities super-cycle.
02/18/2015FICC Group Current Holdings Review
Slide9Arguments Against
OPEC raises prices / cuts output
US shale producers closing
Value-Approach
investment
strategy (oversold)Portfolio Diversification. 02/18/2015FICC Group Current Holdings Review
Slide10Thoughts?
02/18/2015
FICC Group Current Holdings Review