SummerHaven Copper Indexsm (“SCI”)
SCI INDEX METHODOLOGY
SCI – INDEX PHILOSOPHY
The SummerHaven Copper Index (“SCI”) was developed by SummerHaven Index Management to provide an investment benchmark for copper as an investable asset. The SCI attempts to maximize backwardation and minimize contango while utilizing contracts in liquid portions of the futures curve.
SCI – INDEX CONSTRUCTION
The SCI is composed of copper futures contracts on the COMEX exchange. Two or three copper contracts are selected and weighted each month through the steps outlined below.
STEP 1: Copper Futures Curve Shape – Backwardation or Contango
Determine if the copper futures curve is in backwardation or contango.
A futures curve is in backwardation when the price of the closest-to-expiration contract is greater than or equal to the price of the third closest-to-expiration contract.
A futures curve is in contango when the price of the closest-to-expiration contract is less than the price of the third closest-to-expiration contract.
STEP 2: Copper Contract Selection
If the copper futures curve is in backwardation on the Selection Date, the SCI examines the first four eligible copper contracts and selects the two contracts with the greatest backwardation (or least contango), each weighted at 50%.
If the copper futures curve is in contango on the Selection Date, then the SCI takes positions in three contracts as follows:
The SCI examines the first four eligible copper contracts and selects the two contracts with the greatest backwardation (or least contango), each weighted at 25%
The SCI also takes a position in the next December eligible future contract that has expiration following the previously examined four contracts, and this position is weighted at 50%.
|COMMODITY SYMBOL||COMMODITY NAME||ALLOWED CONTRACTS||MAX. TENOR|
|HG||Copper||All 12 calendar months||19|
Price observations for the steps described above are taken on the last business day of each month (the “Selection Date”). SCI rebalancing takes place during the first four business days of the next month. At the end of each of these days, one fourth of the prior month portfolio positions are replaced by the new positions in the commodity contracts determined on the Selection Date./p>
|REBALANCING START||REBALANCING END|
|Wednesday, February 01, 2017||Monday, February 06, 2017|
|Wednesday, March 01, 2017||Monday, March 06, 2017|
|Monday, April 03, 2017||Thursday, April 06, 2017|
|Monday, May 01, 2017||Thursday, May 04, 2017|
|Thursday, June 01, 2017||Tuesday, June 06, 2017|
|Monday, July 03, 2017||Friday, July 07, 2017|
|Tuesday, August 01, 2017||Friday, August 04, 2017|
|Friday, September 01, 2017||Thursday, September 07, 2017|
|Monday, October 02, 2017||Thursday, October 05, 2017|
|Wednesday, November 01, 2017||Monday, November 06, 2017|
|Friday, December 01, 2017||Wednesday, December 06, 2017|