Dow Jones-UBS commodity index

The Dow Jones -AIG Commodity Index (DJ-AIGCI), the predecessor of the Dow Jones-UBS Commodity Index, was founded by American International Group in 1998. 1999,65438+10 In October, AIG and Dow Jones reached an agreement to jointly safeguard this index. This index is the second largest commodity index in the world, which is mainly welcomed by institutional investors.

At present, the Dow Jones -AIG commodity index includes 19 commodities, and the weight of each commodity is combined with the global average output and liquidity in the last five years. The weights are adjusted once a year, and the adjustment will be implemented from the beginning of 65438+ 10. No commodity in the Dow Jones-American International Group Commodity Index has a weight of more than 33% or less than 2%. This rule makes the volatility relatively small and more attractive to some institutional investors such as pension funds. Judging from the fluctuation characteristics of Dow Jones Commodity Index (DJAIG), its index is relatively stable and suitable for large institutional investors to participate. At present, Dow Jones-American International Group Commodity Index (DJAIG) is listed in CBOT market.

The liquidity or trading volume of commodities is a very important indicator for investors and spot traders. Liquidity can reflect the position of commodities in the economy from one aspect.

DJ-AIGCI considers both output (exogenous variable of futures market) and liquidity (endogenous variable of futures market) to determine the weight of commodities. Although the output data is an indicator to measure the economic importance of commodities, it may underestimate the economic importance of some easily stored commodities (such as gold); It may also overestimate the importance of some non-perishable commodities (such as live cattle). Relying solely on output data may underestimate the investment preference of financial capital for certain commodities.

Each indexed commodity is given a liquidity percentage, which is mainly calculated according to the average trading volume of the specified futures contract. In order to ensure that the abnormal transaction year does not affect the calculation of liquidity percentage, it is determined to select the available five-year average transaction volume to calculate liquidity percentage. Each commodity will be given a percentage of output, which is mainly calculated in dollars according to the output value of the commodity. Like the calculation of commodity liquidity percentage, the calculation of output percentage is also averaged with five-year data. Taking 2/3 of the percentage of commodity liquidity and 1/3 of the percentage of output, the proportion of commodities in the index is preliminarily obtained. After a series of adjustments, the index percentage of each commodity is finally obtained.

In May 2009, the stock business department of UBSInvestmentBank acquired the commodity index business of AIGFinancialProductsCorp, and since then, the DJ-AIG commodity index has changed its name to Dow Jones-UBS commodity index.