SDCITR SummerHaven Dynamic Commodity Index Total Return Index

The Index is comprised of 14 equal weighted futures contracts that will be selected on a monthly basis from a list of 27 possible futures contracts, in three steps: 1) Choose 7 commodities with the greatest backwardation (or least contango). Backwardation is measured as the annualized % price difference between the futures price for the closest-to-expiration contract and the next closest-to-expiration contract for each commodity. 2) From the remaining 20 commodities, choose 7 commodities with greatest 12-month price momentum, subject to a diversification requirement. Momentum is measured as the % price difference between the futures price for the closest-to-expiration contract and the price of the closest-to-expiration contract 12-months ago for each commodity. 3) For each of the 14 index commodities, the Index selects the contract month with the greatest backwardation (or least contango), taking into account the allowed contracts and maximum tenor for each commodity market.

1,294.75
As of 09/11/2017


Index Information
Provider:     SummerHaven
Category1:  Commodities
Category2:  Broad market
Category3:  Varied term futures
Country:      USA
Currency:    USD
Inception date:  01/01/1991
Backtesting data exists:   Yes
Weighting methodology:   Equal weighted
Number of holdings:  14

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