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
January 17, 2025 January 23, 2025
February 18, 2025 February 21, 2025
March 17, 2025 March 20, 2025
April 15, 2025 April 21, 2025
May 15, 2025 May 20, 2025
June 16, 2025 June 20, 2025
July 16, 2025 July 21, 2025
August 15, 2025 August 20, 2025
September 16, 2025 September 19, 2025
October 15, 2025 October 20, 2025
November 17, 2025 November 20, 2025
December 15, 2025 December 18, 2025

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