The Index is composed of futures contracts on some of the most liquid and widely used base metals — aluminum, zinc and copper (grade A). The Index utilizes an Optimum Yield methodology, which seeks to minimize the effects of negative roll yield that may be experienced by conventional commodities indexes. “Negative roll yield” is a term that describes the adverse impact of an upward-sloping price curve for futures contracts, which makes it more expensive to replace expiring contracts with new contracts. The Index selects the futures contract with the best possible “implied roll yield” based on the closing price for each eligible futures contract. The Index is rebalanced and reconstituted annually in November.
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As of 02/02/2023
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