MCX COMDEX
 
MCX COMDEX is designed & developed by the Research & Planning Department of Multi Commodity Exchange of India Ltd. (MCX) in association with the Indian Statistical Institute (ISI), Kolkata. This is the maiden Composite Commodity Index in India based on commodity futures prices of an exchange. Also Group Indices for MCX AGRI, MCX METAL & MCX ENERGY on commodity futures prices have been developed to represent different commodity segments as traded on the exchange.

The index is a significant barometer for the performance of commodities market and would be an ideal investment tool in commodities market over a period of time. The index allows per se as a "tradable" index (once approved by the regulatory body), which is readily accessible to market participants. Once launched for futures trading with regulatory approvals, by holding & rolling positions in the MCX COMDEX futures, investors would be able to replicate the returns on the basket of commodities included in the MCX COMDEX. The MCX COMDEX futures will give users the ability to efficiently hedge commodity and inflation exposure and lay off residual risk. Protection can be established regardless of overall market direction.

 
  • Eligibility Criteria & Weightings Liquidity i.e. number of contracts traded on MCX of individual commodities (including all varieties) in a specified period is taken as eligibility criteria for commodities to be included in the index. MCX COMDEX weighting approach is equally relying on factors that are endogenous to the futures market (liquidity on the exchange) and exogenous to the futures market (physical market size). For the purpose of Index computation, only the near month active contract prices are taken. The Index base period has been kept as average price of 2001 as it was a normal year.
  • Annual Re-weighting and Rebalancing The target weights of the MCX COMDEX are determined annually or as required by the Index Committee by announcing to the market with a notice period of three months or as deemed suitable. The index is also rebalanced annually on price-percentage basis.
  • MCX Spot Index MCX also computes the daily Spot Index value for its MCX COMDEX, MCX AGRI, MCX METAL & MCX ENERGY by using the current spot prices of the respective commodities vis a vis their spot prices in the same base period of average of 2001.
  • Dissemination of Data Indices based on futures prices are updated on a real time basis with the change in last traded price in MCX. Indices based on spot prices are updated as and when spot prices are disseminated by the Exchange.
  • Computation Methodology The MCX COMDEX is the simple weighted average of the three group indices - MCX AGRI, MCX METAL & MCX ENERGY. The group indices are computed based on Geometric Mean.
  • History of Index Maintenance MCX COMDEX was launched in June 2005. As part of annual rebalance of the index, later in 2007 and 2008 the compositions were changed based on the changing dynamics in the market to make it a contemporary index.
  • 2007 Re-weighting & Rebalancing During the changing process in 2007, group weights in the composite index have been modified to 40 percent each in the case of MCX Metal Index and MCX Energy Index and 20 percent in the case of MCX Agri Index. Thus each sector has been given due weightage to represent its significance in the physical and futures markets. Number of commodities included in the MCX COMDEX was increased from 10 to 15 with increasing liquidity on the futures market.
  • 2008 Re-weighting & Rebalancing During the changing process in 2008 the group weights were kept unchanged to its existing level of 40 percent each in the case of MCX Metal Index and MCX Energy Index and 20 percent in the case of MCX Agri Index. Number of commodities was kept unchanged, while Guarseed has been dropped out and Lead has been included in the composition of MCX COMDEX.
  • 2009 Re-weighting & Rebalancing During the changing process in 2009 the group weights were kept unchanged to its existing level of 40 percent each in the case of MCX Metal Index and MCX Energy Index and 20 percent in the case of MCX Agri Index. Number of commodities was kept unchanged, while Cardamom has been dropped out and Crude Palm Oil has been included in the composition of MCX COMDEX.
  • The present composition of commodities and their weights in the MCX-COMDEX are as follows:
MCX COMDEX 2009 Weights
MCX COMDEX Commodity Weight (New) Group Adjusted Wts.
       
MCX METAL INDEX Gold 15.21% 40.0%
Silver 9.66%
Copper 7.13%
Zinc 2.00%
Aluminium 2.00%
Nickel 2.00%
Lead 2.00%
 
MCX ENERGY INDEX Crude Oil 35.41% 40.0%
Natural Gas 4.59%
 
MCX AGRI INDEX Ref. Soy Oil 3.91% 20.0%
Potato 4.76%
Chana 4.14%
Crude Palm Oil 3.19%
Kapaskhalli 2.00%
Mentha Oil 2.00%
 
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