Dow Jones Indexes, a leading global index provider, and UBS Securities LLC today announced the launch of the Dow Jones-UBS Commodity Index 2-4-6 Forward Blend, a gauge that measures diversified exposure to longer-dated commodity futures contracts spread across the commodity price curve.
An enhanced version of the Dow Jones-UBS Commodity Index, the Dow Jones-UBS Commodity Index 2-4-6 Forward Blend reflects the return of underlying commodity futures price movements. Also introduced was a total return version of the index, which reflects the return on fully collateralized futures positions.
The index is constructed as an equally weighted basket of the two-month, four-month and six-month forward versions of the Dow Jones-UBS Commodity Index, with the notional exposure to the three component indexes rebalanced at the end of every month so that each index represents one-third of the basket. The index is quoted in USD.
The Dow Jones-UBS Commodity Index family has grown into one of the most closely followed commodity benchmarks with more than $80 billion in assets under management tracking the indexes, as of June 30, 2011.
“This new gauge is a welcome addition to the Dow Jones-UBS Commodity Index family,” said Michael A. Petronella, President, Dow Jones Indexes. “The Dow Jones-UBS Commodity Index 2-4-6 Forward Blend tracks diversified exposure across a range of longer-dated commodity contracts — a measure growing in importance for this asset class.”
The Dow Jones-UBS Commodity Index is composed of futures contracts on physical commodities. It currently includes 19 commodity futures in seven sectors. The weightings of the commodities are calculated in accordance with rules that ensure that the relative proportion of each of the underlying individual commodities reflects its global economic significance and market liquidity. No single commodity can comprise less than 2% or more than 15% of the index, and no sector can represent more than 33% of the index (as of the annual reweightings of the components). The Dow Jones-UBS Commodity Index is reweighted and rebalanced annually on a price-percentage basis.
