Diapason Commodities Management SA is delighted to present its investors the DCI® BNP Paribas Enhanced, the new reference index for commodities prices.
This index further enhances the DCI®, the broadest and most diversified index in the market, with a revolutionary quantitative approach, thereby increasing the index’s performance and creating the most efficient commodity investment tool to date.
In order to achieve the very broadest reflection
of the global commodity market the DCI® consists of 48
separate commodity futures, each traded inside the OECD. The
index embodies two objective criteria (world trade significance
and liquidity) to define weightings and featuring a monthly
rebalancing, thus ensuring strict standards relating to the
liquidity of the underlying contracts.
BNP Paribas has leveraged its expertise in derivatives to minimise by a quantitative approach the adverse effect of contango on the index but also to catch the backwardation when the market is in backwardation. Seventeen of the most liquid contracts of the DCI®, representing 70%, benefit from a dynamic roll algorithm which determines the best maturity futures to roll forward in order to optimise the roll return. This approach is dynamic, by a monthly adjustment, and independent, the maturities are different by commodities depending of their forward curve.
In a nutshell, the DCI® BNP Paribas Enhanced strategically combines Diapason’s independent breadth of commodities knowledge and asset management expertise with BNP Paribas strong quantitative know-how
|
