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Dow Jones Commodity Indices

Published in Alternative Indices

The Dow Jones Commodity Index is a broad-market commodity index. The index’s primary characteristics are diversification and liquidity. The index includes three major sectors: Energy, Agriculture and Livestock, and Metals. These sectors are equally weighted within the index and are rebalanced quarterly. Commodities are weighted by relative liquidity based on the five year average total dollar value traded (TDVT), and include only those commodities that are included in the S&P GSCI.

As part of the weighting scheme, the capped component 35/20 methodology with buffers of 32/17 is applied on a quarterly basis to further diversification.  In the spirit of a simple, well-diversified and liquid first generation index, the roll and contract schedule follow that of the S&P GSCI.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 360 indices. Some of the index items available include:

  • Branding, Country
  • Divisor Factor
  • Excess Return
  • Gross Index
  • Hedged Gross Index
  • Last Price Date
  • Market Capitalization
  • Next Day Divisor
  • Next Day Gross Index Market Capitalization
  • Next Day Market Capitalization
  • Next Day Number of Constituents
  • Number of Constituents
  • Sector Description
  • Spot Index
  • Weight, etc.

 

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