Key features Balanced weighting methodology

Balanced weighting methodology

The commodities and weightings used in the CSCB are determined annually

  •  Objective is to incorporate as many physical commodity futures as possible while maintaining meaningful liquidity
  •  The CSCB framework steering committee chooses acceptable commodities to be used in CSCB based on sufficient open interest (ability to absorb sizable positions) and volume of trading (ability to efficiently trade in and out of positions)

Each commodity chosen for inclusion to the index is then assigned a fixed annual weight based on Relative Commodity Weight and Target Investment Weighting mechanism

  • Relative Commodity Weight (‘RCW’) – measure of production weight, or percentage of worldwide production value divided by total production value of all commodities selected for inclusion in the Index. RCW is then adjusted further to avoid over-influence
  • Target Investment Weight (‘TIW’) – sequentially after determining RCW, weights are subject to liquidity control mechanisms to ensure there is sufficient market liquidity for each weighting
  • Index investment support level – ensures no investment exceeds 10% of average daily open interest for any one commodity at a total index size of US$3 billion
  • Marginal inflow test – ensures that any marginal inflow exceeding US$500 million does not breach a given threshold of average daily volume