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S&P WCI Indices

Published in Alternative Indices

The S&P World Commodity Indices are the first investable commodity indices to consist solely of futures contracts traded on non-U.S. exchanges readily accessible to global market participants. The Index is world-production weighted and consists of the most tradable commodities across 3 major sectors: Agriculture, Energy and Metals.

The S&P WCI is calculated primarily on a world production-weighted basis and comprises the principal physical commodities that are the subject of active, liquid futures markets. There is no limit on the number of contracts that may be included in the S&P WCI; any contract that satisfies the eligibility criteria and the other conditions specified in this methodology are included. This feature enhances the suitability of the S&P WCI as a benchmark for the international commodity market performance and to reflect general levels of price movements and inflation in the world economy. The S&P WCI is calculated and maintained by S&P Dow Jones Indices.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 50 indices and 40 commodities. Index coverage includes S&P WCI indices, e.g. WCI Asia, WCI Europe, WCI Gold, and WCI Commodity Capped Components.

In order to assure continuity of the S&P WCI and to allow comparisons of the value of the S&P WCI to be made over time, it is necessary to make an adjustment to the calculation of the S&P WCI each time the CPWs are changed. The factor used to make this adjustment is the Normalizing Constant (NC).

Other factors gathered through the calculation methodology include:

  • Daily Contract Reference Prices
  • Daily Currency Carry Adjustment (DCCA)
  • Roll Period and Roll Contract Expiration Date
  • Total Dollar Weight
  • Total Dollar Weight Obtained (TDWO)
  • Total Dollar Weight Invested (TDWI)
  • Total Return
  • Roll Period and Roll Contract Expiration

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