The Credit Suisse Commodity Custom 66 Index is based on Seasonal Optimiser strategies that use the components and weightings of the BCOM Index and apply optimizations to enhance the returns.
Weights are rebalanced on a monthly basis back to the annual BCOM Target weights, in order to reduce tracking error.
The strategy seeks to minimize the negative roll yield while maximizing exposure to the months frequently impacted by seasonal supply shocks. To minimize the roll yield, the strategy rolls each commodity only two times a year, using a customised roll matrix which is designed to take advantage of the seasonality in commodity prices. To maximize exposure to the months when the supplies are likely to be impacted it follows a roll schedule based on each commodity seasonal pattern.
|Dynamic Asset Allocation
|February 01, 2011
|Index Calculation Fees
Please refer to the Risk Factors for additional information on the Index.