In contrast to traditional commodity indexes, the CMRI calculates market interest and liquidity into the value of each commodity, known as “open interests,” which is similar to the principle of market capitalisation used in constructing equity indexes.
The entire basket of commodities, which includes energy, metals and agricultural products, averages 4.64 futures contracts per constituent, with 116 contracts in total. The bank aims to diversify exposure and improve returns as a result. BNP Pa
The week on Risk.net, July 7-13, 2018Receive this by email