STOXX Limited, introduced the EURO STOXX 50 Futures Roll Index. The new index measures the return of a hypothetical, rolling portfolio invested into a series of EURO STOXX 50 futures contracts. It is designed to underlie…
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exchange-traded funds and other investable products, and to act as a benchmark for actively managed funds.
“With 63 million traded contracts in the third quarter of 2013, the EURO STOXX 50 futures contracts are the second most traded index futures contracts worldwide,” said Hartmut Graf, chief executive officer, STOXX Limited. “The EURO STOXX 50 Futures Roll Index offers market participants an effective and transparent tool to participate from the returns of these highly liquid futures contracts through an index concept.”
The EURO STOXX 50 Futures Roll Index replicates a hypothetical portfolio of a series of long position EURO STOXX 50 futures contracts traded on Eurex. The portfolio is invested into the first nearby futures contract and then rolled into the next nearby contract over the four days preceding the expiry date of the futures contracts series, which is the third Friday in March, June, September and December. The roll period works as follows: until the Monday preceding the third Friday of a roll month, all of the index value is allocated to the first nearby futures contract. Starting Monday night, on a daily basis for four days, one fourth of the index value is shifted into the next nearby contract. With the open of trading on Friday morning, the roll is complete and the entire index value is allocated to the next nearby contract. The index value is representative of the hypothetically invested amount.
The EURO STOXX 50 Futures Roll Index is available in a total return version in euro, and calculated at the end of day. Daily historical data is available back to Dec. 29, 2000. The new index is part of the STOXX Strategy Index family.
Source: ETFWorld – Stoxx
| 2014 Target Weights | 2013 Target Weights | |
|---|---|---|
| Natural Gas | 9.4459780% | 10.4235920% |
| WTI Crude Oil | 8.4888470% | 9.2058850% |
| Brent Crude Oil | 6.5111530% | 5.7941150% |
| Unleaded Gasoline | 3.6167190% | 3.4613410% |
| Heating Oil | 3.7183830% | 3.5193580% |
| Live Cattle | 3.2720630% | 3.2834170% |
| Lean Hogs | 1.8724410% | 1.8997650% |
| Wheat | 3.3411750% | 3.4332700% |
| HRW Wheat | 1.2147910% | 1.3206450% |
| Corn | 7.1958200% | 7.0531450% |
| Soybeans | 5.6839430% | 5.4947720% |
| Soybean Oil | 2.8304030% | 2.7426180% |
| Soybean Meal | 2.6824040% | 2.6066650% |
| Aluminum | 4.7216600% | 4.9131960% |
| Copper | 7.5083040% | 7.2773320% |
| Zinc | 2.3138150% | 2.5192160% |
| Nickel | 2.0535200% | 2.2436190% |
| Gold | 11.5330580% | 10.8186130% |
| Silver | 4.1413610% | 3.8975030% |
| Sugar | 3.9559400% | 3.8839680% |
| Cotton | 1.5784230% | 1.7658200% |
| Coffee | 2.3198040% | 2.4421460% |
– See more at: http://press.djindexes.com/index.php/2014-weights-for-the-dow-jones-ubs-commodity-index-announced-by-sp-dow-jones-indices-and-ubs-investment-bank/#sthash.sXBgnDc2.dpuf
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