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J.P. Morgan Alternative Beta Indices

Published in Strategy Indices

The J.P. Morgan Commodity Curve Index family (‘JPMCCI’) is a family of passive benchmark indices launched in 2008, which track the performance of 36 commodity underliers and captures investment opportunities across the entire futures curve of each underlier with reference to its historical open interest data.The J.P. Morgan Commodity Curve Index family (‘JPMCCI’) is a family of passive benchmark indices launched in 2008, which track the performance of 36 commodity underliers and captures investment opportunities across the entire futures curve of each underlier with reference to its historical open interest data.

By investing along the entire length of the futures curve in proportion to its open interest, JPMCCI avoids the front-end bias of traditional indices. Investors gain diversification benefits by gaining exposure both within and across a broad set of commodity markets. Additional benefits of the JPMCCI include balanced sector allocation, significantly reduced roll drag and enhanced simulated risk-adjusted returns when compared to traditional passive indices.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 20 companies and 3 indices, including the JPM Seasonal Spread and JPM Commodity Curve Risk (UCITS) Indices.

Some of the company and index items available include:

  • Base Symbol (Source)
  • Commodity Description
  • Daily Return Performance
  • Daily Total Return
  • Exercise Date
  • Month to Date Return Performance/Total Return
  • Return Performance from Trade Date
  • Units
  • Investable Weight in Index (Source)
  • Week/Year to Date Return Performance

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