Dow Jones Indexes and UBS Securities have joined efforts to launch the Dow Jones-UBS Commodity Index 2-4-6 Forward Blend, a new index designed to measure diversified exposure to longer-dated commodity futures contracts spread across the commodity price curve.
"The Dow Jones-UBS Commodity Index 2-4-6 Forward Blend tracks diversified exposure across a range of longer-dated commodity contracts - a measure growing in importance for this asset class," said Dow Jones Indexes' president, Michael A Petronella.
The index is constructed as an equally weighted basket of the two-month, four-month and six-month forward versions of the Dow Jones-UBS Commodity Index, with the notional exposure to the three component indexes rebalanced at the end of every month so that each index represents one-third of the basket. The Dow Jones-UBS Commodity Index 2-4-6 Forward Blend reflects the return of underlying commodity futures price movements, and a total return version of the index has also been developed to reflect the return on fully collateralised futures positions.
The Dow Jones-UBS Commodity Index is composed of futures contracts on physical commodities. It currently includes 19 commodity futures in seven sectors. The weightings of the commodities are calculated for the relative proportion of each of the underlying individual commodities to reflect its global economic significance and market liquidity. No single commodity can comprise less than 2% or more than 15% of the index, and no sector can represent more than 33% of the index. The Dow Jones-UBS Commodity Index is reweighted and rebalanced annually on a price-percentage basis. The index is quoted in USD.
According to Dow Jones Indexes, the Dow Jones-UBS Commodity Index family has more than $80bn in assets under management tracking the indexes.