Diversificare il portafoglio con le materie prime

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1 Diversificare il portafoglio con le materie prime Febbraio 2013 Massimo Siano, Head of Italian Market Tel: +44 (0) Jessica Lana, Associate Director Tel: +44 (0) Team italiano Tel: +44 (0)

2 ETF Securities Listed world s first gold ETP CSL commodity platform launched Listed world s first oil ETP MSL physical metals platform launched 2007 Listed world s first short & leveraged commodity ETPs 2008 Multicounterparty UCITS funds launched FXL currency platform launched 2009 Listed physical metals in the US and Japan Physical platinum and palladium listed in the US Listed commodity ETP platform in Japan IML physical industrial metals platform launched Listed Asianvaulted gold ETP in the US IML physical industrial metals platform expanded 2011 Second counterparty joins CSL platform 2012 HCSL hedged commodity platform launched 2

3 ETF Securities 3

4 ETC coperti dal rischio cambio USDCHF 2012 Swiss Franc outperforms mar-12 apr-12 mag-12 giu-12 lug-12 ago-12 Source: ETF Securities Performance in USD terms Performance in CHF terms Swiss Franc underperforms Performance in USD terms Performance in CHF terms 0.00 mar-11 apr-11 mag-11 giu-11 lug-11 ago-11 set-11 Source: ETF Securities Private and confidential 4

5 ETC coperti dal rischio cambio USDCHF Quotati sul SIX Swiss Exchange Swiss Franc Daily Hedged Agriculture DJ UBS FDSM Swiss Franc Daily Hedged Aluminium Swiss Franc Daily Hedged Brent Crude Swiss Franc Daily Hedged Cocoa Swiss Franc Daily Hedged Coffee Swiss Franc Daily Hedged Copper Swiss Franc Daily Hedged Corn Swiss Franc Daily Hedged Cotton Swiss Franc Daily Hedged Energy DJ UBS FDSM Swiss Franc Daily Hedged Gold Swiss Franc Daily Hedged Grains DJ UBS FDSM Swiss Franc Daily Hedged Industrial Metals DJ UBS FDSM Swiss Franc Daily Hedged Lead Swiss Franc Daily Hedged Longer Dated Agriculture Swiss Franc Daily Hedged Longer Dated All Commodities Swiss Franc Daily Hedged Longer Dated Energy Swiss Franc Daily Hedged Natural Gas Swiss Franc Daily Hedged Nickel Swiss Franc Daily Hedged Platinum Swiss Franc Daily Hedged Precious Metals DJ UBS FDSM Swiss Franc Daily Hedged Silver Swiss Franc Daily Hedged Softs DJ UBS FDSM Swiss Franc Daily Hedged Soybeans Swiss Franc Daily Hedged Sugar Swiss Franc Daily Hedged Tin Swiss Franc Daily Hedged Wheat Swiss Franc Daily Hedged WTI Crude Oil Swiss Franc Daily Hedged Zinc Private and confidential 5

6 Commodity come asset class

7 Performance Ranking Performance delle classi di attivo Asset Class Performance Ranked Year yr avg 1 Commodities Real Estate Real Estate Commodities Real Estate Commodities Bonds Real Estate Real Estate Bonds Real Estate Real Estate 7.4% 17.6% 27.9% 56% 27.7% 13% 11.6% 34.6% 29.1% 11.0% 26.3% 10% 2 Cash Equities Commodities Real Estate Equities Cash Cash Equities Commodities Cash Equities Commodities 2.4% 12% 16% 32.1% 9% 3.1% 3.4% 31% 27% 1.0% 14.0% 8.3% 3 Bonds Commodities Equities Equities Commodities Equities Commodities Commodities Equities Real Estate Bonds Equities -4.3% 6% 7% 27% 3% 1% -27% 19% 21% -2.9% 1.8% 5.7% 4 Real Estate Cash Cash Bonds Cash Bonds Equities Bonds Bonds Equities Cash Bonds -12.9% 1.7% 1.5% 14.4% 2.2% -2.4% -40% 3.7% 14.1% -4.4% 0.4% 3.3% 5 Equities Bonds Bonds Cash Bonds Real Estate Real Estate Cash Cash Commodities Commodities Cash -32% -10.0% -1.9% 1.6% -5.9% -15.9% -45.4% 0.9% 0.6% -6.6% -3.1% 2% Data: Equity - MSCI World, Bond - Barclays Aggregate Global Bond Index, Real Estate - EPRA/NAREIT Global, Commodity - DJ-UBS CI-F3 SM All Commodities, Cash - Euribor. Data in EUR, from December 31, 2002 to December 31, 2012 (10 Yr average) Sources: ETF Securities, Bloomberg 7

8 Quale commodity storicamente performa meglio in fase di crescita? Lead Average Monthly Returns 7.9% Copper Nickel 7.2% 7.1% Palladium Zinc 6.3% 6.5% Tin Silver 5.1% 5.0% Aluminium Platinum Soybeans Unleaded Gasoline Oil (Brent) Cotton Precious Metal Basket 4.0% 3.9% 3.8% 3.5% 3.3% 3.2% 3.2% Petroleum 2.7% Source: Bloomberg, ETF Securities 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% Source: Bloomberg, ETF Securities Average monthly performance during the best 20% months of growth performance over the past 10 years (from December 2002 to December 2012). Growth is calculated as the simple average of US ISM and EU PMI growth on a 3 month moving average basis. Private and confidential 8

9 Gold Precious Metals All Commodities Agriculture Energy Industrial Metals FTSE 100 S&P 500 EuroStoxx 50 CAC 40 DAX 30 Quale commodity storicamente performa meglio in fase di recessione? Return during S&P 500 worst 20% Monthly Data, From December 31, 2002 to December 31, % 2% 0% -2% -4% -6% -8% -10% Source: Bloomberg 9

10 Correlazione materie prime e inflazione Commodities vs. Inflation Quarterly, December 31, December 31, 2012 Annual % Annual % US inflation (LHS) DJ UBS TR Commodity Index Sources: ETF Securities, Bloomberg Sources: ETF Securities, Bloomberg 10

11 Correlazione materie prime e dollaro USA Commodities vs. US Dollar Quarterly, December 31, December 31, DJ UBS TR Commodity Index US Dollar Index (RHS, Inverted scale) Sources: ETF Securities, Bloomberg Sources: ETF Securities, Bloomberg 11

12 Oct-2006 Oct-2007 Oct-2008 Oct-2009 Oct-2010 Oct-2011 Oct-2012 % Bassi tassi d interesse anche nel lungo periodo 7 6 Central Bank Target Policy Interest Rates Federal Reserve European Central Bank Bank of England Source: ETF Securities 12

13 Paesi emergenti sempre più rilevanti nel PIL mondiale 35% Share of World GDP (Nominal US$B) 30% 25% 20% 15% 10% 5% 0% China + India Japan NIAE EU + UK US + Canada Source: IMF, ETF Securities. IMF estimates after

14 Gross National Income ($US per capita) Potenziale di crescita di Cina e India 45,000 40,000 35,000 30,000 25,000 20,000 Asian Development Rates Japan (t=0, 1962) Korea (t=0, 1974) China (t=0, 1995) India (t=0, 2002) Malaysia (t=0, 1973) 15,000 10,000 5,000 India China Time (years) Data: Annual Sources: World Bank, ETF Securities 14

15 Energy Use (Kg of oil equivalent per capita) La crescita del PIL pro capite supporta la domanda per le materie prime 9,000 Rising per Capita Incomes Drive Commodity Demand USA 6,000 Australia 3,000 Malaysia Russia Japan Italy France UK Germany 0 China Mexico Egypt Brazil India 0 5,000 10,000 15,000 20,000 25,000 30,000 35,000 40,000 45,000 50,000 GDP per capita (current US$) Sources: World Bank, ETF Securities Data: As of

16 Come selezionare un indice di materie prime

17 Perchè accedere ad un indice generale di materie prime? Forti rendimenti storici ponderati al rischio Bassa volatilità Diversificazione Performance of Equity vs. Commodity Benchmark Indices Calculations based on total return index cumulative returns from 15 Jan 2003 to 15 Jan Rebased 100 = 15 January Source: ETF Securities, Bloomberg 17

18 L importanza della scelta dell indice Diversificazione tra le materie prime Liquidità delle materie prime Ponderazioni delle materie prime Maturità dei future Metodologia del rollover 18

19 Esempio: Maturità e costo del rollover 19

20 Composizione dell indice e ponderazioni 20

21 Diversificazione settoriale dell indice Concentration by Sector S&P GSCI = S&P Goldman Sachs Commodity Index, DJ-UBSCI = DJ-UBS All Commodity Index, DBLCI-OY Balanced = Deutsche Bank Liquid Commodity Index-Optimum Yield Balanced, UBS CMCI = UBS Bloomberg Constant Maturity Commodity Index, DB Booster = DB Booster Commodity Index, RICI = Rogers International Commodity Index. Calculations are based on most recent target weights published by each index provider on their website. Source: ETF Securities, Bloomberg 21

22 S&P GSCI DJ-UBSCI DJ-UBS TR F3 db Booster S&P GSCI Enhanced UBS CMCI DBLCI-OY Balanced RICI Liquidità delle materie prime sottostanti all indice Liquidity ($mn) $4,500 $4,000 $3,897 $3,500 $3,000 $3,199 $2,500 $2,000 $1,500 $1,000 $500 $0 $249 $240 $153 $74 $46 $21 S&P GSCI = S&P Goldman Sachs Commodity Index, DJ-UBS CI = DJ-UBS Commodity Index, DBLCI-OY Balanced = Deutsche Bank Liquid Commodity Index-Optimum Yield Balanced, UBS CMCI = UBS Bloomberg Constant Maturity Commodity Index, DB Booster = DB Booster Commodity Index, RICI = Rogers International Commodity Index. Figures are the maximum creation amount in $m without representing more than 15% of the least liquid commodity daily volume adjusted by target weight, assuming the rolling is done in one day. Calculations are based on most recent weights published by each index provider on their website. Data are updated to 15 January Source: ETF Securities, Bloomberg 22

23 Costi di transazione Number of transactions (annual) S&P GSCI = S&P Goldman Sachs Commodity Index, DJ-UBS = DJ-UBS All Commodity Index SM, DBLCI-OY Balanced = Deutsche Bank Liquid Commodity Index-Optimum Yield Balanced, UBS CMCI = UBS Bloomberg Constant Maturity Commodity Index, RICI = Rogers International Commodity Index. Calculations are based on each index roll methodology. Figures show the total number of rolling in a year taking into account the rolling period of each index. Source: ETF Securities, Bloomberg 23

24 Sharpe ratio: rendimento / rischio Sharpe Ratio S&P GSCI DJ-UBSCI S&P GSCI Enhanced db Booster DBLCI-OY DJ-UBSCI F3 S&P GSCI = S&P Goldman Sachs Commodity Index, DJ-UBSCI = DJ-UBS Commodity Index, DBLCI-OY = Deutsche Bank Liquid Commodity Index-Optimum Yield. Calculations are based on 10 years annualised returns, 10 years annualised volatilities and risk free rate equals to 1 year average of the US 10 Yrs rates. Data are updated to 15 th of January Source: ETF Securities, Bloomberg 24

25 Comparazione degli indici Dow Jones-UBS Commodity Index 1 DJ-UBSCI S&P Goldman Sachs Commodity Index GSCI UBS Bloomberg Constant Maturity Commodity Index CMCI Strategy Classic Classic Forward (Constant Maturity Index Methodology 2/3 liquidity, 1/3 world production World Production 1/3 liquidity, 2/3 economic data Deutsche Bank Liquid Commodities Index DBLCI-OY Enhanced (Optimal yield) Constant Maturity, world production by most liquid contracts # Constituents Caps/Floors Min component 2% Max component 15% No Min component 0.6% Max driven by UCITS No Max sector 33% Roll Period 6 th 10 th business day each month 5 th - 9 th business day each month Daily 2 nd 6 th business day each month Roll Strategy To the specified contract months 20% every roll day To the front months 20% every roll day To the specified contract months Energy monthly, nonenergy annually, 20% every roll day Excess/Total Return Total Return Total Return Total Return Total Return Rebalancing Annual Annual Monthly Monthly Base Currency USD USD USD USD/EUR Currency Hedged Yes EUR, GBP No Yes EUR, CHF, GBP Yes EUR, GBP ETPs on Indices ETF Securities ipath Amundi db x-tracker UBS db x-tracker Powershares Data: Last public available data as of December 31, 2012 (1) At the 2013 rebalancing, Dow Jones-UBS added two new commodity contracts to their index; Soyabean Meal and Wheat (KC Red) 25 For Investment Professional Use Only, Not For Public Dissemination Past performance is no guarantee of future results

26 Comparazione degli indici 1 as at January 13, number of roll events for DBLCI-OY and db Booster indexes is equal to potential maximum in a year (including rolling period) - 3 based on average daily traded volume over the past 3 months adjusted by commodity target weights: * Average maturity of the futures contracts each index is exposed to as of 15 th of Jan 2013, ** Maximum creation amount in $m without representing more than 15% of the least liquid commodity daily volume assuming the rolling is done in one day. Risk-free rate = 0.75% (1 year average of US 5 YR Rate). Source: ETF Securities, Bloomberg 26

27 COMF DJ-UBS Commodity Index TR 3 Month Forward SM

28 DJ-UBS Commodity Index Total Return 3 Month Forward SM ETFX DJ-UBS All Commodities 3 Month Forward Fund ETFS Longer Dated All Commodities Emittente ETFX Fund Company Plc ETFS Commodity Securities Ltd Codice di borsa COMF FAIG Regime Fiscale Reddito di capitale e diverso Solo reddito diverso Valuta di base USD USD MER 0.55% p.a. 0.49% p.a. Forma giuridica Fondo OICVM Titolo di debito collateralizzato Codice indice DJUBSF3T Index DJUBSF3T Index Esposizione 4-6 mesi 4-6 mesi Valuta di negoziazione EUR EUR 28

29 Definizione di Total Return Il Total Return é la somma di 3 rendimenti: prezzo spot del Commodity, Roll over del future sottostante e Collateral Return Spot Return Non investibile ma misurabile dal valore del future con scadenza nel mese + Roll Return Rendimento dell intera somma reinvestita dal future prima della scadenza in un altro future con diversa scadenza = Excess Return Misura il rendimento della posizione del future senza il valore della garanzia collaterale + Collateral Return Tasso d interesse del valore contante dell investimento = TOTAL RETURN 29

30 Aug-07 Oct-07 Dec-07 Feb-08 Apr-08 Jun-08 Aug-08 Oct-08 Dec-08 Feb-09 Apr-09 Jun-09 Aug-09 Oct-09 Dec-09 Feb-10 Apr-10 Jun-10 Aug-10 Oct-10 Dec-10 Feb-11 Apr-11 Jun-11 Contract Price Esempio di curva in Contango Curve dei future sul Brent Crude e WTI Crude in data 29 giugno 2007 $74.0 $73.5 $73.0 Brent Crude Brent Oil $72.5 $72.0 $71.5 WTI Oil WTI Crude $71.0 $70.5 $70.0 $69.5 Contango fino a questo punto. Backwardation sui punti successivi. $69.0 Delivery month Data Source: Bloomberg 30

31 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Contract Price Esempio di curva in Backwardation Curve dei future sul Brent Crude e WTI Crude in data 20 luglio 07 $78 $77 $76 $75 $74 Brent Crude Brent Oil $73 $72 WTI Oil WTI Crude $71 $70 Delivery month Data Source: Bloomberg 31

32 Contracts Price DJ-UBS CI-F3 SM metodologia del rollover DJ-UBS CI SM replica contratti con scadenza approx 1-3 mesi DJ-UBS CI-F3 SM replica contratti con scadenza approx 4-6 mesi Example of Futures Curves $120 $118 Classic ETC Forward ETC $76 $74 $116 $72 $114 $70 $112 $68 $110 $108 Roll $66 $64 $106 $62 M0 M3 M6 M9 M12 M15 M18 M21 M24 M27 M30 M33 Months to Maturity 32

33 USD per barrel DJ-UBS CI-F3 SM esempio rollover in contango Per DJ-UBS CI SM il costo sarebbe del 3,24%. Per DJ-UBS CI-F3 SM il costo sarebbe 1,73% nello stesso giorno La curva delle materie prime tende a diventare più piatta nella parte destra $70 $69 $68 $ % Roll Cost $66 $65 $ % Roll Cost $63 $ Months to Delivery 33

34 DJ-UBS CI-F3 SM performance total return 1, All Commodities Total Return Jan Jan 2013 DJ-UBSCI Total Return Index DJ-UBSCI F3 Total Return Index DJ-UBS Commodity Index 3 Month Forward Composition of Returns 50% 40% 30% 20% 10% 0% -10% -20% -30% -40% Collateral Yield Spot Return Roll Yield Total Retun Sources: ETF Securities, DJ-UBS Sources: ETF Securities, DJ-UBS 34

35 Performance Ranking Performance delle classi di attivo Year yr avg 1 Commodities Real Estate Real Estate Commodities Real Estate Commodities Bonds Real Estate Real Estate Bonds Real Estate Real Estate 26.7% 40.7% 38.0% 35.9% 42.4% 24.5% 6.8% 38.3% 20.4% 7.7% 28.7% 12.1% 2 Bonds Equities Commodities Real Estate Equities Equities Cash Equities Commodities Cash Equities Commodities 12.9% 34.0% 25.3% 15.4% 21.0% 11.7% 2.1% 34.6% 18.7% 0.2% 16.1% 10.8% 3 Real Estate Commodities Equities Equities Commodities Bonds Commodities Commodities Equities Real Estate Bonds Equities 2.8% 26.9% 15.2% 10.8% 14.9% 7.9% -30.4% 22.5% 12.7% -5.8% 3.7% 8.1% 4 Cash Bonds Bonds Cash Bonds Cash Equities Bonds Bonds Equities Cash Bonds 1.3% 7.6% 5.9% 2.6% 4.9% 3.9% -42.2% 6.5% 6.4% -7.3% 0.3% 5.7% 5 Equities Cash Cash Bonds Cash Real Estate Real Estate Cash Cash Commodities Commodities Cash -19.3% 0.9% 1.2% -0.2% 3.8% -7.0% -47.7% 0.5% 0.2% -9.4% -1.3% 1.6% Data: Equity - MSCI World, Bond - Barclays Aggregate Global Bond Index, Real Estate - EPRA/NAREIT Global, Commodity - DJ-UBS CI-F3 SM All Commodities, Cash - US T-Bill 3 Month. Data in USD, from December 31, 2002 to December 31, 2012 (10 Yr average) Sources: ETF Securities, Bloomberg 35

36 Profilo rischio / rendimento con materie prime Correlation with Return Risk Sharpe Equity Bond PTF E&B Equity = MSCI AC World 8.1% 16.8% Bond = Barclays Capital Bond Composite-Global Index 5.7% 3.9% % Equity - 40% Bond 7.2% 11.1% DJ-UBS Commodity Index 3 Month Forward 10.8% 17.7% % Equity - 39% Bond - 2% DJ-UBS Commodity Index 3 Month Forward 7.3% 6.5% % Equity - 38% Bond - 5% DJ-UBS Commodity Index 3 Month Forward 7.4% 6.5% % Equity - 35% Bond - 10% DJ-UBS Commodity Index 3 Month Forward 7.6% 6.5% PM Basket 14.7% 19.7% % Equity - 39% Bond - 2% PM Basket 7.4% 6.5% % Equity - 38% Bond - 5% PM Basket 7.7% 6.5% % Equity - 35% Bond - 10% PM Basket 8.2% 6.6% GOLD 16.9% 18.8% % Equity - 39% Bond - 2% GOLD 7.5% 6.6% % Equity - 38% Bond - 5% GOLD 7.9% 6.6% % Equity - 35% Bond - 10% GOLD 8.6% 6.7% Note: Data in USD, 31 Dec Dec Equity = MSCI World as benchmark. Bond = Barclays Capital Bond Composite-Global as benchmark. PTF E&B = portfolio of equities and bonds. Risk-free rate set at 1.78% (1 year average of US 10 Yr. rates). Sources: ETF Securities, Bloomberg 36

37 Azioni, obbligazioni e materie prime in 10 anni MSCI AC World Barclays Capital Bond Composite-Global Index DJ-UBS Commodity Index 3 Month Forward PM Basket GOLD Sources: ETF Securities, Bloomberg

38 Performance di un portafoglio con 2% materie prime % Equity - 39% Bond - 2% DJ-UBS Commodity Index 3 Month Forward 59% Equity - 39% Bond - 2% PM Basket 59% Equity - 39% Bond - 2% GOLD 60% Equity - 40% Bond Sources: ETF Securities, Bloomberg

39 Performance di un portafoglio con 5% materie prime % Equity - 38% Bond - 5% DJ-UBS Commodity Index 3 Month Forward 58% Equity - 38% Bond - 5% PM Basket 58% Equity - 38% Bond - 5% GOLD 60% Equity - 40% Bond Sources: ETF Securities, Bloomberg

40 Performance di un portafoglio con 10% materie prime % Equity - 35% Bond - 10% DJ-UBS Commodity Index 3 Month Forward 55% Equity - 35% Bond - 10% PM Basket 55% Equity - 35% Bond - 10% GOLD 60% Equity - 40% Bond Sources: ETF Securities, Bloomberg

41 EXPECTED RETURN Ponderazione ottimale e frontiera efficiente in 10 anni 11% 10% Efficient Frontiers With Broad Commodity and Bond and Equity Benchmarks MSCI World, Barclays Capital Bond Composite-Global, Dow Jones-UBS Commodity Index 3 Month Forward 9% 8% MSCI World, Barclays Capital Bond Composite-Global 7% 6% MSCI World, Barclays Capital Bond Composite- Global, Dow Jones-UBS Commodity Index 5% 3.5% 5.5% 7.5% 9.5% 11.5% 13.5% 15.5% 17.5% 10 Years EXPECTED STANDARD DEVIATIONReturn Risk Sharpe Equities = MSCI World 8.1% 16.8% Bonds = Barclays Capital Bond Composite-Global 5.7% 3.9% DJ-UBS Commodity Index 5.9% 18.5% DJ-UBS Commodity Index 3 Month Forward 10.8% 17.7% % Equities % Bonds - 0.7% DJ-UBS Commodity Index 5.9% 3.7% % Equities % Bonds % DJ-UBS Commodity Index 3 Month Forward 6.4% 4.0% Note: Monthly data in USD from Dec 31, 2002 to Dec 31, Equities proxied using MSCI World as benchmark. Bonds proxied using Barclays Capital Bond Composite Global as benchmark. Risk-free rate set at 1.73% (1 year average of US 10 Yr. rates). Sources: ETF Securities, Bloomberg 41

42 Appendice

43 DJ-UBSCI SM componenti dell indice 2013 Commodity Commodity sub-indices components and weightings All Commodities Energy Ex-Agriculture & Livestock Petroleum Brent Crude 6% 18% 9% 26% WTI Crude Oil 9% 28% 14% 42% RBOB 3% 11% 5% 16% Heating Oil 4% 11% 5% 16% Natural Gas 10% 32% 16% Ex-Energy Industrial Metals Aluminum 5% 7% 8% 29% Copper (COMEX) 7% 11% 11% 43% Nickel 2% 3% 4% 13% Zinc 3% 4% 4% 15% Precious Metals Gold 11% 16% 17% 74% Silver 4% 6% 6% 26% Livestock Live Cattle 3% 5% 63% Lean Hogs 2% 3% 37% Agriculture Grains Corn 7% 10% 23% 41% Soybeans 5% 8% 18% 32% Wheat (Chicago) 3% 5% 11% 20% Wheat (Kansas) 1% 2% 4% 8% Softs Coffee 2% 4% 8% 30% Cotton 2% 3% 6% 22% Sugar 4% 6% 13% 48% Soy Meal 3% 4% 8% The Dow Jones - UBS Commodity Index SM. Soybean Oil 3% 4% 9% Target weights effective from January

44 DJ-UBS CI SM ( Classic ) metodologia del rollover Il rollover (se) avviene dal quinto al nono giorno lavorativo di inizio mese, 20% al giorno. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Commodity F G H J K M N Q U V X Z Natural Gas Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Crude Oil Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Brent Oil Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Unleaded Gas Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Heating Oil Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Live Cattle Feb Apr Apr Jun Jun Aug Aug Oct Oct Dec Dec Feb Lean Hogs Feb Apr Apr Jun Jun Jul Aug Oct Oct Dec Dec Feb Chicago Wheat Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Corn Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Soybeans Mar Mar May May Jul Jul Nov Nov Nov Nov Jan Jan Soybean Oil Mar Mar May May Jul Jul Dec Dec Dec Dec Jan Jan Aluminum Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Copper Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Zinc Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Nickel Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Lead Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Tin Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Gold Feb Apr Apr Jun Jun Aug Aug Dec Dec Dec Dec Feb Silver Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Platinum Apr Apr Apr Jul Jul Jul Oct Oct Oct Jan Jan Jan Sugar Mar Mar May May Jul Jul Oct Oct Oct Mar Mar Mar Cotton Mar Mar May May Jul Jul Dec Dec Dec Dec Dec Mar Coffee Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Cocoa Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Kansas Wheat Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Soybean Meal Mar Mar May May Jul Jul Dec Dec Dec Dec Jan Jan Source: DJ-UBS, ETF Securities 44

45 DJ-UBS CI-F3 SM ( Forward ) metodologia del rollover Il rollover (se) avviene dal quinto al nono giorno lavorativo di inizio mese, 20% al giorno. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Commodity F G H J K M N Q U V X Z Natural Gas May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Crude Oil May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Brent Oil Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May May Unleaded Gas May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Heating Oil May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Live Cattle Jun Jun Aug Aug Oct Oct Dec Dec Feb Feb Apr Apr Lean Hogs Jun Jun Jul Aug Oct Oct Dec Dec Feb Feb Apr Apr Chicago Wheat May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May Corn May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May Soybeans May Jul Jul Nov Nov Nov Nov Jan Jan Mar Mar May Soybean Oil May Jul Jul Dec Dec Dec Dec Jan Jan Mar Mar May Aluminum May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Copper May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May Zinc May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Nickel May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Lead May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Tin May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May Gold Jun Jun Aug Aug Dec Dec Dec Dec Feb Feb Apr Apr Silver May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May Platinum Jul Jul Jul Oct Oct Oct Jan Jan Jan Apr Apr Apr Sugar May Jul Jul Oct Oct Oct Mar Mar Mar Mar Mar May Cotton May Jul Jul Dec Dec Dec Dec Dec Mar Mar Mar May Coffee May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May Cocoa May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May Kansas Wheat May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May Soybean Meal May Jul Jul Dec Dec Dec Dec Jan Jan Mar Mar May Source: DJ-UBS, ETF Securities 45

46 Informazioni importanti Informazioni importanti Generale La presente comunicazione è stata diffusa da ETF Securities (UK) Limited ( ETFS UK ), la quale è autorizzata e disciplinata dalla Financial Services Authority (Autorità per i servizi finanziari) del Regno Unito. I prodotti trattati nel presente documento sono emessi da ETFS Commodity Securities Limited ( CSL ), ETFS Hedged Commodity Securities Limited ( HCSL ), ETFS Industrial Metal Securities Limited ( IML ), ETFS Metal Securities Limited ( MSL ), ETFS Oil Securities Limited ( OSL ), ETFS Foreign Exchange Limited ( FXL ), ETFX Fund Company Plc ( ETFX ), Gold Bullion Securities Limited ( GBS ed insieme a CSL, HCSL, IML, MSL, OSL, FXL ed ETFX gli Emittenti ). CSL, HCSL, IML, MSL, OSL, FXL e GBS sono regolamentati dalla Jersey Financial Services Commission (Commissione per i servizi finanziari del Jersey). ETFX è una società d'investimento a capitale variabile di tipo aperto con responsabilità separata tra i comparti (ognuno un Fondo ) di diritto irlandese. La Società è stata autorizzata dalla Banca centrale d Irlanda (il Regolamentatore Finanziario) come OICVM ai sensi del Regolamento delle Comunità Europee (Organismi di investimento collettivo in valori mobiliari) del 2003 ed emetterà una categoria di azioni separata (le Azioni ) per ogni Fondo. Se effettuata all'interno dell'italia, la presente comunicazione è rivolta esclusivamente a investitori qualificati e la sua circolazione tra il pubblico è proibita. Il presente documento non è, e in nessun caso deve essere interpretato come, un messaggio pubblicitario né un eventuale ulteriore misura a sostegno di un offerta pubblica di azioni negli Stati Uniti o in qualsiasi provincia o territorio degli stessi, in cui né l'emittente né alcun titolo da esso emesso è autorizzato o registrato per la distribuzione e nessun prospetto informativo relativo all Emittente è stato depositato presso alcuna commissione di vigilanza finanziaria o autorità normativa. Né il presente documento né copie dello stesso devono essere introdotti, trasmessi o distribuiti (direttamente o indirettamente) negli Stati Uniti. Né gli Emittenti né alcun titolo da essi emessi sono stati o saranno registrati ai sensi della Legge sui valori mobiliari (Securities Act) del 1933 o della Legge sulle società di investimento (Investment Company Act) del 1940 degli Stati Uniti né sono idonei ai sensi di alcuna legge statale applicabile in materia di valori mobiliari. Il presente documento può contenere commenti indipendenti sul mercato redatti da ETFS UK e basati su informazioni disponibili al pubblico. ETFS UK non rilascia alcuna garanzia in merito all'esattezza o alla correttezza delle informazioni contenute nel presente documento e qualsiasi opinione relativa a prodotti o all'attività del mercato è soggetta a variazioni. I fornitori di dati terzi utilizzati per il reperimento di informazioni riportate nella presente comunicazione non rilasciano alcuna garanzia o dichiarazione di alcun genere in merito a tali dati. I dati sulla performance storica riportati nel presente documento potrebbero essere basati su backtesting. I dati di performance sottoposti a backtesting sono puramente ipotetici e sono divulgati nel presente documento a scopo esclusivamente informativo. I dati sottoposti a backtesting non rappresentano il rendimento reale e non devono essere interpretati come un indicazione della performance effettiva o futura. La performance passata non costituisce una guida o una garanzia di rendimenti futuri. Le informazioni contenute nella presente comunicazione non costituiscono un'offerta di vendita né un sollecito ad acquistare titoli. La presente comunicazione non dovrebbe essere utilizzata come base per assumere decisioni d'investimento. In base a quanto disposto dall Autorità per i servizi finanziari del Regno Unito ( FSA ), ETFS UK è tenuta a specificare di non agire in alcun modo per conto dell investitore in relazione all investimento o all'attività di investimento a cui la presente comunicazione è riferita. In particolare, ETFS UK non fornirà all investitore alcun servizio di investimento e/o valutazione, o raccomandazione, in relazione ai termini di un operazione. Nessun rappresentante di ETFS UK è autorizzato ad adottare una condotta che possa portare l investitore a ritenere altrimenti. ETFS UK non è pertanto tenuta a fornire all investitore le tutele prestate ai suoi clienti; l investitore dovrà pertanto rivolgersi ad un consulente legale, finanziario e fiscale secondo quanto riterrà opportuno. Avvertenze sui rischi I titoli emessi dagli Emittenti sono prodotti complessi e strutturati che implicano un considerevole livello di rischio e non sono adatti a tutti i tipi di investitori. I titoli offerti dagli Emittenti sono rivolti a investitori sofisticati, professionali e istituzionali. Qualsiasi decisione d'investimento dovrebbe essere basata sulle informazioni contenute nel prospetto informativo degli Emittenti (o in eventuali supplementi agli stessi) che comprendono, tra l'altro, informazioni su determinati rischi associati a un investimento. Il prezzo dei titoli è soggetto a oscillazioni e gli investitori potrebbero non recuperare l importo investito. I titoli sono denominati in dollari USA e il valore degli investimenti denominati in altre valute sarà influenzato dai movimenti dei tassi di cambio. Gli investimenti nei titoli dell'emittente che offrono un'esposizione corta e/o a leva finanziaria sono adatti soltanto a investitori sofisticati, professionali e istituzionali che comprendono il significato di leva finanziaria e di rendimenti giornalieri composti e che sono in grado di accettare il potenziale di perdita accentuata rispetto a investimenti che non incorporano tali strategie. In periodi superiori a un giorno, gli investimenti con un'esposizione corta e/o a leva finanziaria non offrono necessariamente agli investitori un rendimento equivalente a quello derivante da investimenti lunghi o corti non sottoposti a leva finanziaria moltiplicato per il relativo fattore di leva finanziaria. Per informazioni più dettagliate su questi e altri rischi associati all'investimento nei titoli offerti dagli Emittenti, si rimandano gli investitori alla sezione Fattori di rischio del prospetto informativo pertinente. I prospetti informativi degli Emittenti sono disponibili su Per ulteriori informazioni contattare ETFS UK al numero o all'indirizzo info@etfsecurities.com. 46