The DCI® Metals BNP Paribas Enhanced consists of the 11 metals components of the Diapason Commodities Index® and encompasses a range of contracts representing such underlying raw resources as gold, copper, and nickel.
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. Five of the most liquid contracts of the DCI®, representing 67,69%, 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.
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