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. 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 SYMBOLCOMMODITY NAMEALLOWED CONTRACTSMAX. TENOR
HG Copper All 12 calendar months 19


SCI Rebalancing:

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 STARTREBALANCING 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


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