SCI Methodology

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. One 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 allowed contract is greater than or equal to the price of the next closest-to-expiration allowed contract.

A futures curve is in contango when the price of the closest-to-expiration allowed contract is less than the price of the next closest-to-expiration allowed contract.

STEP 2: Copper Contract Selection

If the copper futures curve is in backwardation on the Selection Date then SCI selects the front investable contract.

If the copper futures curve is in contango on the Selection Date then SCI takes equally weighted positions in first three allowed contracts as follows:

COMMODITY SYMBOL COMMODITY NAME ALLOWED CONTRACTS
HG Copper Mar, May, Jul, Sep, Dec

SCI Rebalancing:

Price observations for the steps described above are taken on the 10th business day of each month (the “Selection Date”). SCI rebalancing starts on the 11th business day and ends on the 14th business day. 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.

REBALANCING START REBALANCING END
Tuesday, January 18, 2022 Friday, January 21, 2022
Tuesday, February 15, 2022 Friday, February 18, 2022
Tuesday, March 15, 2022 Friday, March 18, 2022
Monday, April 18, 2022 Thursday, April 21, 2022
Monday, May 16, 2022 Thursday, May 19, 2022
Wednesday, June 15, 2022 Tuesday, June 21, 2022
Monday, July 18, 2022 Thursday, July 21, 2022
Monday, August 15, 2022 Thursday, August 18, 2022
Friday, September 16, 2022 Wednesday, September 21, 2022
Monday, October 17, 2022 Thursday, October 20, 2022
Tuesday, November 15, 2022 Friday, November 18, 2022
Thursday, December 15, 2022 Tuesday, December 20, 2022

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