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S&P Dow Jones Indices and UBS Investment Bank announced today new target weightings for the Dow Jones-UBS Commodity Index. There are no additions or deletions to the index as a result of the annual reconstitution. The 2014 target weights are scheduled to be effective in January 2014.
Target weightings of all Dow Jones-UBS Commodity Index components for 2014, as well as their comparative weights in 2013, are listed below:
|
|
2014 Target Weights |
2013 Target Weights |
|
Natural Gas |
9.4459780% |
10.4235920% |
|
WTI Crude Oil |
8.4888470% |
9.2058850% |
|
Brent Crude Oil |
6.5111530% |
5.7941150% |
|
Unleaded Gasoline |
3.6167190% |
3.4613410% |
|
Heating Oil |
3.7183830% |
3.5193580% |
|
Live Cattle |
3.2720630% |
3.2834170% |
|
Lean Hogs |
1.8724410% |
1.8997650% |
|
Wheat |
3.3411750% |
3.4332700% |
|
HRW Wheat |
1.2147910% |
1.3206450% |
|
Corn |
7.1958200% |
7.0531450% |
|
Soybeans |
5.6839430% |
5.4947720% |
|
Soybean Oil |
2.8304030% |
2.7426180% |
|
Soybean Meal |
2.6824040% |
2.6066650% |
|
Aluminum |
4.7216600% |
4.9131960% |
|
Copper |
7.5083040% |
7.2773320% |
|
Zinc |
2.3138150% |
2.5192160% |
|
Nickel |
2.0535200% |
2.2436190% |
|
Gold |
11.5330580% |
10.8186130% |
|
Silver |
4.1413610% |
3.8975030% |
|
Sugar |
3.9559400% |
3.8839680% |
|
Cotton |
1.5784230% |
1.7658200% |
|
Coffee |
2.3198040% |
2.4421460% |
The target weights are determined in accordance with construction rules described in the Dow Jones-UBS Commodity Index Methodology. These rules generally account for liquidity and production data in a 2:1 ratio, subject to further requirements for diversification. The Governance Committee has recently implemented a modification to the inclusion requirements and the
calculation of the target weights. The change affects continued inclusion of a commodity in the index. Designated contracts will be removed at the next rebalance if their initial weight drops below
0.4%. The minimum weight requirement of 0.5% for addition to the index remains unchanged. By relaxing the rules for continued inclusion, the index continuity will be preserved over time. This rule will now be more in line with standard index practices.
The resulting weights will be used to determine the Dow Jones-UBS Commodity Index Multipliers for 2014. These Multipliers, computed once a year in January, are factors used to express the percentage weights in U.S. dollar-denominated terms when calculating the Index.
Launched in 1998, the Dow Jones-UBS Commodity Index family includes nine sector sub- indexes, multiple-forward month indices, indices for each individual commodity in the original DJ-UBS CI, Euro-, Yen-, Sterling-, and Swiss Franc-denominated versions of the DJ-UBS CI,
and the Dow Jones-UBS Commodity Spot Index. Also available are total return versions of each of the excess return indices and sub-indices. As of December 2012, an estimated $75.0 billion is benchmarked to the Dow-Jones UBS Commodity Index.
