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Data & Technology
NYSE Bonds & Commodities Index

NYSE® Bonds & Commodities Index

The NYSE® Bonds & Commodities Index  (Ticker: NYBAC) is designed to provide exposure to a basket of four futures indices, tracking U.S. Treasuries, gold, copper and the value of the U.S. dollar as compared to the Euro. The Index uses a rules-based approach to adjust exposure to the Index components based on volatility signals in order to target 7% volatility, while taking into account minimum and maximum weights for each Index component, and constraints on the day-over-day rebalancing for each Index component.

Multi-asset indices

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Index components


U.S. Treasury Futures
Gold Futures
Copper Futures
Short EUR/USD Futures

Index features

Access diversified assets

The Index has the ability to access U.S. Treasury Futures, Gold Futures, Copper Futures and a short position in EUR/USD Futures (together the “Index components”).

Dynamic allocation to asset classes

The Index employs a rules-based mean-variance optimization framework to allocate dynamically across asset classes through the Index components based on momentum and volatility signals. Under the methodology, the optimization is designed to identify target allocations that minimize portfolio variance while respecting minimum and maximum component weights and day-over-day rebalancing constraints.

Transaction costs

The Index is calculated with daily transaction cost deductions for each of the Index components, and a further running cost deducted monthly in connection with the U.S. Treasury Futures component. These costs will act as a drag on the Index and will cause the Index to underperform equivalent indices that do not embed such costs.

Volatility target

The Index employs a 7% volatility control mechanism, which can increase or decrease the Index’s exposure to the Index components. This information is only a high-level summary of the Index. You should read the full Index Rules and Methodology, including the risks and limitations associated therewith.

Correlation matrix


NYBACUS Treasury FuturesCopperGoldShort EUR/USDNYSE U.S. 500 Index (TR)
NYBAC1.000.290.310.490.15-0.09
US Treasury Futures0.291.00-0.110.18-0.16-0.25
Copper0.31-0.111.000.33-0.280.28
Gold0.490.180.331.00-0.370.03
Short EUR/USD0.15-0.16-0.28-0.371.00-0.15
NYSE U.S. 500 Index (TR)-0.09-0.250.280.03-0.151.00

As of March 31, 2026

Performance


DateTickerEOD Level1 Day ReturnMTD ReturnYTD Return1 Year Return3 Year Return5 Year Return (ann.)10 Year Return (ann.)Since Incep. Return (ann.)
3/31/2026NYBAC401.720.29%-1.93%1.95%10.48%5.68%5.91%6.82%6.22%

The key statistics of the Index are derived from simulated performance data provided as an illustration of how the Index would have performed during the relevant period had the Index sponsor been calculating the Index using the current Index methodology. Such simulated performance data has inherent limitations, as the simulated data is produced by the retroactive application of a backtested methodology. Simulated performance data is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance and may reflect a bias toward strategies that have performed well in the past. This data does not reflect actual performance, nor was a contemporaneous investment model run of the Index. No future performance of the Index can be predicted based on the simulated performance described herein. All data presented for the NYSE® Bonds & Commodities Index prior to its live date of April 24, 2026 is based on hypothetical historical performance.

Historical performance


The key statistics of the Index are derived from simulated performance data provided as an illustration of how the Index would have performed during the relevant period had the Index sponsor been calculating the Index using the current Index methodology. Such simulated performance data has inherent limitations, as the simulated data is produced by the retroactive application of a backtested methodology. Simulated performance data is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance and may reflect a bias toward strategies that have performed well in the past. This data does not reflect actual performance, nor was a contemporaneous investment model run of the Index. No future performance of the Index can be predicted based on the simulated performance described herein. All data presented for the NYSE® Bonds & Commodities Index prior to its live date of April 24, 2026 is based on hypothetical historical performance.

NYBAC Index % exposure and weights


US Treasury FuturesGoldCopperShort EUR/USD
% of time Included100.00%100.00%61.58%61.88%
Average64.67%18.27%10.35%31.90%
Min2.51%3.24%0.00%0.00%
Median42.07%12.00%7.07%19.84%
Max180.00%65.10%38.73%125.77%

Monthly returns

Learn more about the NYSE® Bonds & Commodities Index