The energy components of the index are not as heavily biased to oil products as is the norm, thanks to another first, the inclusion of coal, electricity, and ethanol futures – the latter most aimed at introducing exposure to the growing range of non-fossil energy sources being drawn upon worldwide.

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. Six of the most liquid contracts of the DCI®, representing 84.64%, 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.