S&P Dow Jones Indices launched a new commodity index, free from the complexities of world production weightings and instead equally weighted between metals, energy, and a combined category of agriculture and livestock.
This new S&P DJ index is called the Dow Jones Commodity Index (DJCI). According to the company, which also runs the S&P GSCI, the goal was to create an index with an equal-weighted beta to give the historical benefits of diversification and inflation protection, and which would also act as a building block for investors to make their own index modifications.
The end-result is an index that is equally weighted by sector, and liquidity weighted within sectors based on a five-year average of total dollar value traded. Rebalancing is quarterly, back to the equal weight of a third for each sector, and the roll is monthly.
At the same time, S&P DJ Indices’ licensing agreement with UBS for...