| 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% |
|
| |
|
|
