Investing in commodity futures indices is one of the easiest
and most popular ways to gain exposure to the broad commodity
universe. However, the growing number of commodity
indices makes it complicated to choose the right one. The
individual commodity indices not only differ in their composition
and weighting of the commodities included, but also in the way
they allocate investments across commodity futures curves.
Consequently, investors must have a good understanding of
the special features of commodity indices in order to make an
investment decision.
The purpose of this publication is to explain how commodity
indices work and how they generate returns. We also give
an overview of the most common or “benchmark” commodity
indices, as well as more complex investment strategies.

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