Saturday, November 10, 2007

JP Morgan launches commodity curve index

From Structured Products:

JP Morgan has launched its Commodity Curve Index (JPMCCI), a family of passive benchmark indices that are curve-neutral and diversified across a broad universe of commodities. This index to captures investment opportunities across the futures curve while tracking the performance of 33 commodity markets.

“Despite the growth of commodity investor products over the past five years, the market still lacks an index which reflects available investment opportunities along the curve, and adapts to evolving liquidity conditions over time,” says John Normand, head of global currency strategy and cross-commodity research for JPMorgan. “JPMCCI fills this gap.

The index also avoids the front-end bias of traditional indices, so has offered lower volatility and higher risk-adjusted returns since its inception.”...MORE

And from MarketWatch:
J.P. Morgan launches commodity index to track 33 markets

JPMorgan Chase & Co has launched a new commodity index tracking 33 different U.S. dollar-denominated markets, the bank said Friday.
Weightings are around 46% energy, 25% industrial metals, 8% precious metals, 18% agriculture and 3% livestock at present.

Only publicly exchange-traded physical commodities are considered for inclusion, and they must have been traded on a valid U.S. or U.K. exchange for at least one year before inclusion. The commodity must have a minimum estimated market size of $250 million....MORE