밝게빛나는구리 : 실물기반의 S&P GSCI CASH COPPER 지수 1: 소개 구리는그고유한특징때문에전력케이블부터소비자전자제품에이르기까지여러제조업계에서널리사용되고있다 World Bureau of Meal Saisics(2012) 통계에따르면 2011 년전세계정제구리소비는 1,950 만미터톤이며이중중국이 40% 를차지했다. 2000 년부터 2011 년까지중국의수요가매년 13.5% 증가했는데이는세계평균보다 5 배높다. 이러한성장의상당부분은발전부문에서나타났으며현재발전부문은중국의총최종용도수요중 46% 를차지하고있고그뒤를가전제품과운송이뒤따르고있다. 지난 10 년간산업용금속의현금가격이 1 미터톤당 1,800 달러에서현재 8,000 달러까지상승하면서기관투자자와개인투자자모두의관심을끌고있다. 최근까지구리시장에대한주요투자수단은주식과선물계약이다. 그러나이제투자자는새로출시한 S&P GSCI Cash Copper 지수와연계된상품을선택함으로써구리에대해직접적인투자를할수있다. Conribuor: Daniel Ung, CAIA, FRM Associae Direcor Index Research & Design daniel_ung@spdji.com Inroducing a new way o explore indices www.spindices.com 구리투자에대한증가하는관심에대응하여 S&P Dow Jones Indices 는 S&P GSCI Cash Copper 지수를출시했으며이지수를통해투자자는선물계약거래와연관된롤수익률에영향을받지않고실물구리보유의수익률을시뮬레이션할수있다. 또한, 특히실물투자를위해설계된이지수는구리보관과관련된창고비용을설명해준다. 본내용에서는다음주제를다룬다. 구리시장의근본적인동인 S&P GSCI Cash Copper 지수에대한소개 지수의실제적용 구리수익률과경제활동의연관성 지수의인플레이션특성 S&P GSCI Cash Copper 지수에대한할당이다각화이점을과거부터제공해왔는지의여부 2: 구리시장 정제구리에대한중국의소비가강한것에대해서는의심의여지가없다. 그러나경제이론에따르면수요강세가자동으로가격상승을가져오는것은아니다. 그대신, 가격인플레이션이나타나는이유는다름아닌구리처럼공급이비탄력적인상품의경우수요상승과더불어적절한공급대응이어렵기때문이다. 이러한사실에서볼때구리시장의최근상황을설명하는데있어논란의여지는있지만여러가지로수요보다공급이중요하다는결론에도달한다. 통계는이러한주장을확인해준다. World Bureau of Meal Saisics (2012) 에따르면지난 10 년간주요광물산업은수요가 2.4% 증가한반면광물생산은연간 1.8% 로미미하게증가했다. 구리시장은지난 10 년중 7 년동안공급이부족했다.
2.1: 구리는어떻게정제되는가? 오래된고철을재활용하거나구리를포함한광석을채굴하여정제구리를생산하며 85% 이상을후자의방식으로생산한다. 자연상태에서구리매장층은다른유해한물질과함께존재하며유용한금속은대개희박한양으로포함되어있다. 사용하는추출방법은발견대상광석의형태에의존한다 ( 그림 1 참고 ). 일반적으로, 금속정광 (concenrae) 을생산하려면먼저광물을으깨고농축하는건식야금과정으로황화동광석을추출한다. 그다음이러한정광을제련하고 순수한 구리를생산하기위해상당한고온에서추가정제를한다. 반면구리가풍부한침출액을만들기위해광석에스며들어광석을녹이도록황산을사용하는습식야금과정을통해더낮은등급의광석이얻어진다. 그다음이러한금속을용액으로부터추출하고용매추출, 전해채취와같은기법을통해더욱정제한다. 전체적으로, 정제구리의 70% 이상이정광에서생산되고 18% 는용매추출 - 전해채취기술에서유도되며나머지는 2 차고철에서생산된다 (Inernaional Copper Sudy Group, 2010). 구리정광의가장큰생산국은칠레와페루이다. Exhibi 1: From Copper Ore o Manufacured Producs Source: The Inernaional Copper Sudy Group (2010). Diagram creaed by S&P Dow Jones Indices based on informaion from he Inernaional Copper Sudy Group and is provided for illusraive purposes only, 2.2: 구리공급도전과제 구리시장이직면한문제중하나는 1990 년대투자부족이다. 원활하지않은공급상황을다루기위해연간 65 만 ~70 만톤을생산할것으로예상되는칠레의에스페란자광산과같은새로운채굴프로젝트등의조치가현재취해지고있다. 그러나다음과같은중대한도전과제가남아있다. 정광의공급부족 : 모든채굴된구리의약 80% 가정광으로바뀌고나머지는용매추출과전해채취를통해회수된다. 광석등급하락, 장비고장과부족, 노동분쟁때문에 2000 년이후정광의공급증가는연간단지 1.4% 이었다 ( 그림 2 참고 ). 예를들어인도네시아에서그라스버그광산의파업만으로도작년광산생산량은 13% 감소했다. 2
Exhibi 2: Puriy in Copper Ores Source: Brook Hun. Char creaed by S&P Dow Jones Indices based on informaion from Brook Hun and is provided for illusraive purposes only. Daa as of June 2012. 자본지출과운영경비의상승 : 신용경색후유예기간이었던 2009 년을제외하고운영비는지난 10 년동안치솟았다. 직접현금원가는상승한연료비와숙련된인력의부족으로인해지난 1 년동안 24% 상승했다 (Meals Cos Service, Brook Hun, 2012). 지난 5 년동안 211% 이상의평균임금상승에도불구하고 (Pearlman and Rowley, 2011) 기업들이경쟁사로부터인재를스카우트함에따라많은일자리공석이채워지지않은채로남아있으며직원이직률이높다. 게다가전문가채굴차량에대한타이어등주요생산투입물의부족으로인해자본지출또한상당히상승하여가격이 3 배로상승했고 (Behrmann, 2011) 생산리드타임은늘어났다. 경우에따라서는이로인해생산이느려지거나심지어는신규프로젝트가연기되었다. 정부간섭의강화 : 잠비아와호주등최근몇년간정부는천연자원으로부터보다큰세수를확보하기를희망하면서새로운재정정책을도입하려고노력하고있다. 자원민족주의의물결이생산의한계비용을잠재적으로높일수있다. 구리산업의구조적공급이슈가대체로가격을뒷받침해왔지만이러한뒷받침을저해할수있는요소가존재한다. 특히, 현재의높은가격에대해전선, 자동차, 에어컨과같은일부제조업체는상품에사용하는구리를알루미늄으로대체하기시작했다. 이러한대체는일부구리수요의영구적인손상을가져올수있다. 나아가, 실물 ETF 와인덱스펀드의주도하에세계경제에현재만연한불확실성은최종소비자수요와투자수요모두에있어추가적인소비하락으로이어질수있다. 3: S&P GSCI CASH COPPER 지수 투자자는 S&P GSCI Cash Copper 지수를통해보관비용공제후실물구리투자의일수익률을추적할수있다. 일평균창고임대를포함한후실물 ( 현금 ) 구리의보유를평가함으로써이값을일단위로계산한다. 지수의폭넓은적용가능성을위해실물프리미엄과같은국가별비용, 보험, 회차인도조건요율을배제한다. 3.1: 실물구리가격은 LME(London Meal Exchange) 구리현금가격과관련이있는가? LME 가발표하는공식적인가격은실물시장에서금속을평가하기위해사용되는가격과민접하게대응되기때문에국제적으로실물금속계약의기준으로서인정받고있다. LME 금속계약에서구매자와판매자는만기일이지난후해당금속을가져오거나전달해야한다. 실물전달과정을촉진하고국제고객의요구를충족시키기위해 LME 는지리적으로잘분산된창고망을승인해왔다. LME 에서계약의실물전달은보증서방식으로이루어지며이때보증서란무작위로할당된 LME 창고에서 3
구체적인금속을받을권리를보유자 ( 구매자 ) 에게허가하는문서이다. 그결과구매자는자신이원하지않는장소에서심지어는사용하지않는금속의형태로보증서를배정받기도한다. 이러한만일의사태가발생한다면구매자는현지수급상황에따라보험료를지불하거나지급액을받음으로써전문브로커를통해자신의보증서를교환할수있다. LME 보증서교환은공개시장에서수행되지않으며일반적으로의미하는교환에의해관리되는활동이아니다. 따라서실물프리미엄을포함하더라도실물시장에서구매한금속이 LME 가격을기준으로대개가격이결정된다는점을고려할때 LME 현금가격을 고른 전세계가격으로간주되어야한다. 실물프리미엄은금속의품질, 위치, 브랜드를반영하며가치의대부분이 LME 현금가격에서파악되기때문에총가치의작은부분으로나타난다 ( 그림 3 참고 ). 실물구리와불가분하게연결되어있기때문에비록지수의계산에서실물프리미엄을고려하지않지만 S&P GSCI Cash Copper 지수는실물구리의보유에대한대표적인측정법이다. Exhibi 3: Physical Premium as a Proporion of Official Cash Copper Price Source: Bloomberg. Daa from Augus 2003 o April 2012. Char creaed by S&P Dow Jones Indices based on informaion from Bloomberg and is provided for illusraive purposes only 4: S&P GSCI CASH COPPER 지수의실제적용 4.1: 지수의잠재적활용 S&P GSCI Cash Copper 지수는투자자에게구리가격에대한접근을제공한다. 주식기반투자와달리 S&P GSCI Cash Copper 지수는회사별회사요소등무관한요소의영향을제외한다. 만약생산자가구리시장을이해하는데있어전문성을갖고있다고투자자가생각한다면이러한기술을활용하는데있어장점이있을수있다. 그러나주식기반투자는구리에대한가변적영향만을제공할수있다. 또한 S&P GSCI Cash Copper 지수는 LME 구리현금가격을기준으로구성되기때문에현금 ( 또는 현물 ) 구리시장의영향을받는다. 이에따라, 현물 에대한투자를달성할수없으며수익률이 3 가지요소, 즉현물, 롤, 담보수익률로구성되는선물기반의지수로부터벗어난다. 그림 4 에서보듯롤수익률은크게바뀔수있다. 플러스롤수익률은전반적인수익률을높일수있는반면마이너스롤수익률을낮출수있다. 롤수익률이플러스인지마이너스인지는상품의수급역학관계에달려있다. 마이너스롤은일반적으로재고과다와관련이있으며플러스롤은대개부족과일치한다. 예상재고수준에따라상황이변하는경향이있다. 4
Exhibi 4: Monhly Roll Reurns of S&P GSCI Copper Fuures Source: S&P Dow Jones Indices, Bloomberg. Calculaions based on monhly reurns of S&P GSCI Copper Excess Reurn and S&P GSCI Copper Spo Reurn. Chars are provided for illusraive purposes. I is no possible o inves direcly in an index. This graph may reflec hypoheical hisorical performance. Please see he Performance Disclosure a he end of his documen for more informaion regarding he inheren limiaions associaed wih back-esed performance. 4.2: 지수의실제적용 S&P GSCI Cash Copper 지수는다음을포함하여다양한적용을할수있다. 구리에대한실물투자를측정 : 지수와연동하는 ETF(Exchange Traded Funds) 와같은상품은투자전략의일환으로자신의포트폴리오에구리를보유하려는투자자에게특히유용할수있다. 왜냐하면이러한투자의기반이되는금속은전부환매할수있고상품발행이부가한제약을받기때문이다. 구조적상품 : S&P GSCI Cash Copper 지수는 LME 구리현금가격에대한관계때문에구조적투자상품내에서기초자산이될수있다. LME 구리현금가격은이미이분야에서잘구성된기반이된다. 또한이지수는보관비용의이유가되기때문에실물보유의가치에대한대표지수로볼수있다. 적극적인거래전략 : 이지수에기반한잠재적상품은구리자체에대해또는옵션전략의일부로서적극적인거래전략에대한기반이될수있다. 그러나이지수가거래전략을구현하는데이용될수있는지의여부는국가의규정과규제에달려있다. 5: 구리와경제활동사이의관계 제조과정에서금속은투입물로서요구되기때문에경제활동이금속에대한수요를주도한다. 대부분의금속은공급이단기적으로상당히비탄력적이기때문에수요가증가할때가격이인상되는경향이있으며전면적인플레이션에기여한다. 경제가과열되는것을방지하기위해전면적인플레이션은해당국가의중앙은행으로하여금이자율을인상하도록유도한다. 이러한상황에서경기팽창은최고조에도달하며이후성장은늦추어지고자금조달비용상승으로인해투자는감소한다. 몇달의침체와더불어이자율이높아질수록금속에대한수요가감소하여가격은하락한다. 이러한관점에서볼때경제적활동과산업금속사이에강한관계가있는것처럼보인다 ( 그림 5 참고 ). Exhibi 5: Correlaion beween Indusrial Meals and Economic Growh since he 1980s Indusrial Meal Copper 39% Aluminium 35% Nickel 31% Lead 36% Correlaion wih World GDP growh Source: Bloomberg, Thomson Daasream, S&P Dow Jones Indices. Daa from June 1986 for copper, March 1987 for lead and nickel and Sepember 1987 for aluminium o April 2012. 5
이에따라그림 5 의분석에따르면경제성장과산업금속수익률사이에양의관계가있다. 또한구리가세계경제실적과가장강력하게연관된것처럼보이는것을주목할만하다. 구리가 GDP 와관련이있다는것을밝혔기때문에 Adams, Füss, Kaiser (2008) 가제안한것과유사한틀을활용하여다양한경기순환에서구리수익률이어떻게변화하는지살펴본다면흥미로울것이다. 이전에언급했던것처럼이자율인상의효과가경제에영향을주기전종종시간상의지연이있다. 이러한이유때문에다양한경기순환에서구리수익률이과거에어떻게변화했는지살펴보는분석의두번째부분은세계 GDP 보다분기별세계산업생산을선호한다. 산업생산의분기별변화를다음의 4 개의기간으로나눈다 : 강한팽창, 약한팽창, 강한경기후퇴, 약한경기후퇴. 본내용의분석을위해강한성장이란성장이플러스이고두분기동안증가한기간으로정의하며약한성장의경우성장은플러스이지만하락하는기간을의미한다. 강한경기후퇴는최소두분기동안성장이마이너스일때나타난다. 약한경기후퇴는성장이두분기연달아마이너스지만나아지는것을의미한다. 1987 년과 2012 년사이에 80 분기의성장이있었고 19 분기의경기후퇴가있었다. 이들기간동안구리의평균수익률은그림 6 과같다. Exhibi 6: Copper Reurn in Differen Business Cycles Business Cycle Quarers Average Copper Reurn/Year Srong Expansion 38 23% Weak Expansion 43 11% Weak Recession 14 7% Srong Recession 5-30% Source: Bloomberg, Thomson Daasream, S&P Dow Jones Indices, Daa from March 1987 o April 2012. Calculaions are based on LME cash copper prices. 위의결과에따르면구리수익률은강한팽창단계에서가장높고강한경기후퇴단계에서가장낮은것처럼보인다. 그러나무엇보다두드러진것은수익률이약한경기후퇴기간동안수익률이상당히잘유지되는것처럼보인다는점이다. 6: S&P CASH COPPER 지수의인플레이션특징 상품투자의중요한특징은인플레이션에대한헤지능력이다 (Greer, 1978). 채권, 주식과달리상품이전체 CPI(Consumer Price Index) 를계산하는상품바스켓의일부라는주장을기반으로이러한관계를예측한다. 따라서상품가격상승은인플레이션에직접적으로영향을줄것이다. 실제로연구에따르면상품과인플레이션간에양의관계가있다. 가장높은과거롤수익률을보인상품이인플레이션과가장높은상관관계를갖는다고제안함으로써일부저자들은 ( 선물거래를통해 ) 인플레이션과롤수익률의관계까지도제안해왔다 (Erb and Harvey, 2006). S&P GSCI Cash Copper 지수가실물투자를위해설계되어있으며이에따라선물의롤링에의존하지않는다는것을고려할때인플레이션과의양의관계가여전히유효한지살펴본다면흥미로울것이다. 이러한관계를확인하기위해 S&P GSCI Cash Copper 수익률을 1994 년부터인플레이션의두요소 ( 예상및비예상 ) 에대해회귀하였다 : R e u 0 1 ( ) 2 ( ) e R 는 S&P GSCI Cash Copper 의연간수익률 (% 로표현 ) 이다. 0 는상수이다. ) e 1 ( 1 는예상한 u 인플레이션, 2 ( 1 ) 는예상하지못한인플레이션, e 은오차항이다. 계수 1 와 2 는각각예상한인플레이션과예상하지못한인플레이션에대한상관관계를측정한다. 미국 CPI 에서연간변화는예상한인플레이션의측정법으로사용되고이러한인플레이션에서연간변화는예상하지못한인플레이션에대한대용물로사용된다. 이것은올해의인플레이션에대한가장좋은예측이작년인플레이션이라고명시한랜덤워크가설에기반하고있다 (Ka and Oomen, 2007). 6
이러한분석의결과는다음과같다 : R e u 25.94 24.45 ( ) 38.59 ( ) e Exhibi 7: ANOVA Resuls for he Regression Analysis over a Three-Year Horizon Expeced Inflaion Unexpeced Inflaion Inercep Value 24.45 38.59-25.94 Saisical Significance ** ** ** ** Denoes saisical significance a 5% level Source: S&P Dow Jones Indices. Daa as of June 1994. The index was launched in April 2012. I is no possible o inves direcly in an index. Chars are provided for illusraive purposes. Please see he Performance Disclosure a he end of his documen for more informaion regarding he inheren limiaions associaed wih back-esed index performance. 이회귀모형은비록예상하지못한인플레이션에대한상관관계가더중요하더라도예상한인플레이션과예상하지못한인플레이션이구리수익률에대해양의상관관계를갖고있음을나타낸다. 이분석은모든관련요인을파악했다고주장하지않기때문에회귀방정식에서음의절편항에제한적으로중요성을부여해야한다. 오히려, 이것은구리수익률을판단하는데있어인플레이션의중요성과예상하지못한인플레이션을평가하는데효과가있다. 나아가이모형의설명력은시간이길어질수록크게증가한다. 유사한분석을금에대해서도실시하였으며예상한인플레이션과예상하지못한인플레이션모두금수익률을설명하는데있어통계적으로의미가있다고확인되지않았다. 이결과는금보유에대한수익률이시작날짜선택에매우민감하고 1980 년대초금을구입한투자자의경우인플레이션과관련하여손실을경험했을것이라는결과와일치한다 (Cai e al, 2008) 이러한분석이미국을기준으로하고있지만결과가약간다르더라도다른국가로동일한연구를확대할수있다. 왜냐하면투자자의포트폴리오에서상품의할당비율은다양한소비패턴과경제발전수준으로인해국가마다다를수있기때문이다. 전반적으로구리수익률은금보다인플레이션기간, 특히예상하지못한인플레이션이강할때더높은것으로보인다. 특히구리가 CPI 에서매우작은부분을차지한다는점에서이는의미가있다. 7: S&P GSCI CASH COPPER 지수의다각화특징 상당수의연구가전통적인투자포트폴리오에서상품으로인한혜택에집중해왔으며본내용은 S&P GSCI Cash Copper 에서작은할당이과거에도유사한긍정적효과를만들었는지살펴보았다. 본내용의의도는다각화혜택을달성하기위해다각화가잘된상품지수를단일상품으로대체하는것을주장하기보다는구리가다른상품과유사한특징을갖고있는지조사하는것이다. 이번분석에서두개의포트폴리오의수익률특징을비교한다. 첫번째포트폴리오는최대 60% 의주식과 40% 의채권을포함한다. 두번째포트폴리오는비슷하게할당하고있지만최대 5% 를 S&P GSCI Cash Copper 지수에할당한다. 결과는그림 8 과같다 : Exhibi 8: Risk-Reward Comparison for Porfolio 1 and Porfolio 2 Porfolio 1 Porfolio 2 Socks 60% Socks 55% Bonds 40% Bonds 40% S&P GSCI Cash Copp 5%* *Noe: A 5% allocaion of GSCI Cash Copper is chosen in order o avoid having an overly concenraed posiion in a single commodiy. As invesors generally allocae 7%-13% of heir porfolio in commodiy invesmens, a 5% weigh is herefore deemed reasonable. 7
Exhibi 9: Hisorical Diversificaion Effec of Allocaing S&P GSCI Cash Copper o a Tradiional Porfolio Source: S&P Dow Jones Indices, Barclays. Daa from May 1994 o April 2012. I is no possible o inves direcly in an index. Chars are provided for illusraive purposes. This graph may reflec hypoheical hisorical performance. Please see he Performance Disclosure a he end of his documen for more informaion regarding he inheren limiaions associaed wih back-esed index performance. 이분석에따르면포트폴리오 1 과포트폴리오 2 모두연간약 8% 의비슷한초과수익률을제공하며 GSCI Cash Copper 지수 5% 를포트폴리오에포함시키면포트폴리오의리스크는연간 0.5% 낮아진다. 적어도이번기간동안에는구리할당을포함할경우긍정적인다각화혜택이있었던것으로보인다. 그러나구리와채권의상관관계 (0.155) 와주식의상관관계 (0.159) 가비록매우낮기는하지만플러스이기때문에이러한혜택은감소한다. 8: 결론 본내용에서서술한분석으로부터다음의결론에도달할수있다. 광석등급하락, 파업의발생증가, 생산투입물의부족과같은업계의구조적이슈는지난 10 년동안광산생산성장이수요를만족시키지못했음을보여준다. 그러나수요에관한일부우려가이러한낙관적인분위기를다소누그러뜨리고있다. S&P GSCI Cash Copper 지수는일수익률지수로서관련보관비용을감안하면서실물구리투자를추적하도록설계되어있다. S&P GSCI Cash Copper 지수와연결된잠재적상품을소극적이고투자전략과적극적인투자전략모두에서활용할수있다. 구리는다른산업금속에비해경제활동과보다긴밀히연관된것으로보이며팽창과약한경기후퇴환경에서성과가높은것으로보인다. 구리는예상하지못한인플레이션이높을때성과가좋은경향이있다. 구리에대한작은할당이일부다각화혜택을제공할수있다. 8
REFERENCES Adams, Zeno, Füss, Roland and Kaiser Dieer G., 2008, Macroeconomic Deerminans of Commodiy Fuures Reurns, The Handbook of Commodiy Invesing. Behrmann, Elisabeh, 2011. Mining Truck Tires Pricier han Porsches, Miami Condominiums, Bloomberg. hp://www.bloomberg.com/news/2011-06-29/mining-ruck-ires-pricier-han-porsches-miamicondominiums.hml. Cai, Jun, Cheung Yan-Leung, Wong Michael C.S. Wha Moves he Gold Marke? Journal of Fuures Markes. Erb, Claude and Harvey, Campbell R., 2006. The Tacical and Sraegic Value of Commodiy Fuures. Greer, Rober, 1978. Conservaive Commodiies: A Key Inflaion Hedge. The Journal of Porfolio Managemen. Inernaional Copper Sudy Group, 2010. The World Copper Facbook 2010. Ka, Harry M. and Oomen Roel C.A., 2007. Wha Every Invesor should Know Abou Commodiies Par II: Mulivariae Reurn Analysis, Alernaive Invesmen Research Cenre Working Paper No. 33. Lilewood, Ian and Gardner, Adrian. 2012. Meals Cos Services, Brook Hun. Pearlman, Jonahan and Rowley, Emma, 2011. Boom Time for Workers a he Mining Gians, The Telegraph. hp://www.elegraph.co.uk/finance/newsbysecor/indusry/mining/8979101/boom-ime-forworkers-a-he-mining-gians.hml. PERFORMANCE DISCLOSURE Inroducing a new way o explore indices www.spindices.com 9
The incepion dae of he S&P GSCI Cash Copper Index was April 26, 2012, a he marke close. All informaion presened prior o he index incepion dae is back-esed. Back-esed performance is no acual performance, bu is hypoheical. The back-es calculaions are based on he same mehodology ha was in effec when he index was officially launched. Complee index mehodology deails are available a www.spindices.com. Pas performance of he Index is no an indicaion of fuure resuls. Prospecive applicaion of he mehodology used o consruc his index may no resul in performance commensurae wih he back-es reurns shown. The back-es period does no necessarily correspond o he enire available hisory of he index. Please refer o he mehodology paper for he index, available a www.spdji.com or www.spindices.com for more deails abou he index, including he manner in which i is rebalanced, he iming of such rebalancing, crieria for addiions and deleions, as well as all index calculaions. I is no possible o inves direcly in an Index. Anoher limiaion of back-esed hypoheical informaion is ha generally he back-esed calculaion is prepared wih he benefi of hindsigh. Back-esed daa reflec he applicaion of he index mehodology and selecion of index consiuens in hindsigh. No hypoheical record can compleely accoun for he impac of financial risk in acual rading. For example, here are numerous facors relaed o he equiies (or fixed income, or commodiies) markes in general which canno be, and have no been accouned for in he preparaion of he index informaion se forh, all of which can affec acual performance. The index reurns shown do no represen he resuls of acual rading of invesor asses. S&P/Dow Jones Indices LLC mainains he indices and calculaes he index levels and performance shown or discussed, bu does no manage acual asses. Index reurns do no reflec paymen of any sales charges or fees an invesor would pay o purchase he securiies hey represen. The imposiion of hese fees and charges would cause acual and back-esed performance o be lower han he performance shown. In a simple example, if an index reurned 10% on a US $100,000 invesmen for a 12-monh period (or US$ 10,000) and an acual asse-based fee of 1.5% were imposed a he end of he period on he invesmen plus accrued ineres (or US$ 1,650), he ne reurn would be 8.35% (or US$ 8,350) for he year. Over 3 years, an annual 1.5% fee aken a year end wih an assumed 10% reurn per year would resul in a cumulaive gross reurn of 33.10%, a oal fee of US$ 5,375, and a cumulaive ne reurn of 27.2% (or US$ 27,200). 10
DISCLAIMER Copyrigh 2012 by S&P/Dow Jones Indices LLC, a subsidiary of The Companies. All righs reserved. Sandard & Poor s, S&P, and S&P 500 are regisered rademarks of Sandard & Poor s Financial Services LLC. Dow Jones is a regisered rademark of Dow Jones Trademark Holdings LLC ( Dow Jones ). Trademarks have been licensed o S&P/Dow Jones Indices LLC. Redisribuion, reproducion and/or phoocopying in whole or in par is prohibied wihou wrien permission. This documen does no consiue an offer of services in jurisdicions where S&P/Dow Jones Indices LLC, Dow Jones, S&P or heir respecive affiliaes, parens, subsidiaries, direcors, officers, shareholders, employees or agens (collecively S&P Dow Jones Indices ) do no have he necessary licenses. All informaion provided by S&P Dow Jones Indices is impersonal and no ailored o he needs of any person, eniy or group of persons. S&P Dow Jones Indices receives compensaion in connecion wih licensing is indices o hird paries. Any reurns or performance provided wihin are for illusraive purposes only and do no demonsrae acual performance. Pas performance of an index is no a guaranee of fuure invesmen resuls. I is no possible o inves direcly in an index. Exposure o an asse class represened by an index is available hrough invesable insrumens based on ha index. S&P Dow Jones Indices does no sponsor, endorse, sell, promoe or manage any invesmen fund or oher vehicle ha is offered by hird paries and ha seeks o provide an invesmen reurn based on he reurns of any index. There is no assurance ha invesmen producs based on he index will accuraely rack index performance or provide posiive invesmen reurns. S&P Dow Jones Indices LLC is no an invesmen advisor, and S&P Dow Jones Indices LLC makes no represenaion regarding he advisabiliy of invesing in any such invesmen fund or oher vehicle. A decision o inves in any such invesmen fund or oher invesmen vehicle should no be made in reliance on any of he saemens se forh in his documen. Prospecive invesors are advised o make an invesmen in any invesmen fund or oher invesmen vehicle only afer carefully considering he risks associaed wih invesing in such funds, as deailed in an offering memorandum or similar documen ha is prepared by or on behalf of he issuer of he invesmen fund or oher invesmen vehicle. Inclusion of a securiy wihin an index is no a recommendaion by S&P Dow Jones Indices o buy, sell, or hold such securiy, nor is i considered o be invesmen advice. These maerials have been prepared solely for informaional purposes based upon informaion generally available o he public from sources believed o be reliable. No conen (including raings, credi-relaed analyses and daa, model, sofware or oher applicaion or oupu herefrom) or any par hereof (Conen) may be modified, reverse engineered, reproduced or disribued in any form by any means, or sored in a daabase or rerieval sysem, wihou he prior wrien permission of S&P Dow Jones Indices. The Conen shall no be used for any unlawful or unauhorized purposes. S&P Dow Jones Indices and any hird-pary daa providers (collecively S&P Dow Jones Indices Paries) do no guaranee he accuracy, compleeness, imeliness or availabiliy of he Conen. S&P Dow Jones Indices Paries are no responsible for any errors or omissions, regardless of he cause, for he resuls obained from he use of he Conen, or for he securiy or mainenance of any daa inpu by he user. THE CONTENT IS PROVIDED ON AN AS IS BASIS. S&P DOW JONES INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no even shall S&P Dow Jones Indices Paries be liable o any pary for any direc, indirec, incidenal, exemplary, compensaory, puniive, special or consequenial damages, coss, expenses, legal fees, or losses (including, wihou limiaion, los income or los profis and opporuniy coss) in connecion wih any use of he Conen even if advised of he possibiliy of such damages. S&P Dow Jones Indices keeps cerain aciviies of is business unis separae from each oher in order o preserve he independence and objeciviy of heir respecive aciviies. As a resul, cerain business unis of S&P Dow Jones Indices may have informaion ha is no available o oher business unis. S&P Dow Jones Indices has esablished policies and procedures o mainain he confidenialiy of cerain non-public informaion received in connecion wih each analyical process. In addiion, S&P Dow Jones Indices provides a wide range of services o, or relaing o, many 11
organizaions, including issuers of securiies, invesmen advisers, broker-dealers, invesmen banks, oher financial insiuions and financial inermediaries, and accordingly may receive fees or oher economic benefis from hose organizaions, including organizaions whose securiies or services hey may recommend, rae, include in model porfolios, evaluae or oherwise address. S&P acquired he GSCI from Goldman Sachs on February 2, 2007 and i was subsequenly renamed he S&P GSCI. Goldman Sachs began firs publishing he GSCI relaed indices in 1991 bu has calculaed he hisorical value of he GSCI beginning January 2, 1970 based on acual prices from ha dae forward and he selecion crieria, mehodology and procedures in effec during he applicable periods of calculaion (or, in he case of all calculaion periods prior o 1991, based on he selecion crieria, mehodology and procedures adoped in 1991). The GSCI has been normalized o a value of 100 on January 2, 1970, in order o permi comparisons of he value of he GSCI o be made over ime. ABOUT S&P DOW JONES INDICES S&P Dow Jones Indices LLC, a subsidiary of The Companies is he world s larges, global resource for index-based conceps, daa and research. Home o iconic financial marke indicaors, such as he S&P 500 and he Dow Jones Indusrial Average SM, S&P Dow Jones Indices LLC has over 115 years of experience consrucing innovaive and ransparen soluions ha fulfill he needs of insiuional and reail invesors. More asses are invesed in producs based upon our indices han any oher provider in he world. Wih over 830,000 indices covering a wide range of asses classes across he globe, S&P Dow Jones Indices LLC defines he way invesors measure and rade he markes. To learn more abou our company, please visi www.spdji.com. 12