Bloomberg Commodity Index 3 Month Forward Index
The Index provides broadbased exposure to commodities via a diversified basket of longer-dated commodity futures.
The Index provides a return equivalent to a fully “collateralised” investment in a diversified portfolio of commodity “futures contracts” across the following sectors: (1) Energy; (2) Precious Metals; (3) Industrial Metals; (4) Livestock; (5) Grains; and (6) Softs. Within the Index, the commodities are weighted according to their relative “liquidity” (a measure of how actively a commodity has historically traded) and "economic significance" (determined by reference to historical production levels). The Index return is comprised of: (1) the “spot” return which reflects the day-to-day changes in the prices of the commodity futures contracts; (2) the “roll” return associated with periodically selling the futures contracts that are nearing their expiry dates with later dated equivalents in order to maintain exposure to the commodity futures on an ongoing basis); and (3) the “collateral” return which reflects the interest that a commodity investor would earn where they deposit with a bank (for safekeeping) the cash that they will need to settle the contract at the future delivery date. The Index is a “longer dated” index which means that it refers to versions of the relevant commodity futures that have expiry dates further into the future than the versions of the commodity futures comprised in the Bloomberg Commodity Index.