We offer institutional investors and high net worth individuals investment solutions based on innovative commodity indices in the following areas of investment:
- long-only
- long/short
- market neutral
The CYD commodity indices offer an active, rule-based access to the most important economic value drivers within the commodity markets. The CYD indices are highly transparent and offer daily liquidity.
Index Concept
Most investors cannot invest directly into commodities, which is why investment in commodities is carried out by trading commodity futures. Therefore, established commodity indices do not reflect the price movement of the physical commodities themselves, but the value generation of an investment in commodity futures.
The value generation of an investment in commodity futures differs from the value generation of an investment in physical commodities by the roll return, which arises from the regular rolling of futures contracts for similar, longer-term futures contracts.
Roll returns can be either positive or negative. They reflect, on the one hand, expected future commodity prices and, on the other, a risk premium for forward price hedging. A scarcity of commodities typically indicates positive roll returns and has an increased potential for price rises, while negative roll returns are usually indicative of a surplus and the affected commodities are more susceptible to price adjustments.
Graphic: Economic motivation of the CYD indices
The weighting of the CYD indices is conditioned on the roll returns, measured by the gradient of the futures curve, and is based on the academic finding that the futures curve contains information on the expected risk premium. They are broadly diversified and are rebalanced monthly in order to exploit the good diversification characteristics of commodity futures.
CYD Index Universe
The CYD Index Universe currently consists of 26 commodity futures.
