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
Wednesday, January 18, 2023 Monday, January 23, 2023
Wednesday, February 15, 2023 Tuesday, February 21, 2023
Wednesday, March 15, 2023 Monday, March 20, 2023
Tuesday, April 18, 2023 Friday, April 21, 2023
Monday, May 15, 2023 Thursday, May 18, 2023
Thursday, June 15, 2023 Wednesday, June 21, 2023
Tuesday, July 18, 2023 Friday, July 21, 2023
Tuesday, August 15, 2023 Friday, August 18, 2023
Monday, September 18, 2023 Thursday, September 21, 2023
Monday, October 16, 2023 Thursday, October 19, 2023
Wednesday, November 15, 2023 Monday, November 20, 2023
Friday, December 15, 2023 Wednesday, December 20, 2023

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