Behind the CMCI lies an intelligent methodology.

In addition to the broad diversification provided by 28 commodity futures from the energy, precious metals, industrial metals, agriculture and livestock sectors, the CMCI introduces a freely determinable time element.

Easily tailor your investment to the changing economical environment.

In the CMCI universe you can choose freely between constant maturities of three, six and twelve months, and two to five year maturities for certain commodities. This can be done either selectively for individual commodities to diversify over time or collectively for all those included in the index to diversify both across commodities and over time.

In periods of persistent contango, this allows you to place your futures exposure at more favourable (i.e. less positively sloping) sections of the futures curve and keep it there. This will prevent your investment slipping into the steeper part of the curve, with its associated higher roll costs.

The constant maturity principle.

With the CMCI, the maturity of each commodity component remains fixed at a predefined time interval from the current date at all times. This constant maturity concept is achieved by a continuous rolling process, where a weighted percentage of contracts are swapped for longer dated contracts on a daily basis. This procedure produces a more continuous form of commodity exposure and provides a better balance of forward price behaviour than with traditional indices.

Traditional index versus CMCI - roll losses in a contango environment.

Traditional Index

With traditional indices, a continuing contango situation with futures confined to the steep part of the curve can lead to heavy roll losses (blue bar).

CMCI

Using the CMCI constant maturity principle can significantly reduce roll losses (blue bar) in a typical contango environment.