SummerHaven Copper Indexsm (“SCI”)
SCI INDEX METHODOLOGY
SCI – INDEX PHILOSOPHY
The SummerHaven Copper Index (“SCI”) was developed by SummerHaven Index Management to provide an investment benchmark for copper as an investable asset. The SCI attempts to maximize backwardation and minimize contango while utilizing contracts in liquid portions of the futures curve.
SCI – INDEX CONSTRUCTION
The SCI is composed of copper futures contracts on the COMEX exchange. One or three copper contracts are selected and weighted each month through the steps outlined below.
STEP 1: Copper Futures Curve Shape – Backwardation or Contango
Determine if the copper futures curve is in backwardation or contango.
A futures curve is in backwardation when the price of the closest-to-expiration allowed contract is greater than or equal to the price of the next closest-to-expiration allowed contract.
A futures curve is in contango when the price of the closest-to-expiration allowed contract is less than the price of the next closest-to-expiration allowed contract.
STEP 2: Copper Contract Selection
If the copper futures curve is in backwardation on the Selection Date then SCI selects the front investable contract.
If the copper futures curve is in contango on the Selection Date then SCI takes equally weighted positions in first three allowed contracts as follows:
|COMMODITY SYMBOL||COMMODITY NAME||ALLOWED CONTRACTS|
|HG||Copper||Mar, May, Jul, Sep, Dec|
Price observations for the steps described above are taken on the 10th business day of each month (the “Selection Date”). SCI rebalancing starts on the 11th business day and ends on the 14th business day. At the end of each of these days, one fourth of the prior month portfolio positions are replaced by the new positions in the commodity contracts determined on the Selection Date.
|REBALANCING START||REBALANCING END|
|Tuesday, January 19, 2021||Friday, January 22, 2021|
|Tuesday, February 16, 2021||Friday, February 19, 2021|
|Monday, March 15, 2021||Thursday, March 18, 2021|
|Friday, April 16, 2021||Wednesday, April 21, 2021|
|Monday, May 17, 2021||Thursday, May 20, 2021|
|Tuesday, June 15, 2021||Friday, June 18, 2021|
|Friday, July 16, 2021||Wednesday, July 21, 2021|
|Monday, August 16, 2021||Thursday, August 19, 2021|
|Thursday, September 16, 2021||Tuesday, September 21, 2021|
|Friday, October 15, 2021||Wednesday, October 20, 2021|
|Monday, November 15, 2021||Thursday, November 18, 2021|
|Wednesday, December 15, 2021||Monday, December 20, 2021|