CAX Commodity Arbitrage Index. Objectives and Guidelines. Copyright 2009 Alternative-Index Ltd 1

Transcription

1 CAX Commodity Arbitrage Index Objectives and Guidelines Copyright 2009 Alternative-Index Ltd 1

2 Index Objectives Provide an investable benchmark with daily liquidity that covers the performance of arbitrage strategies applied to globally traded commodities futures contracts The strategies aim to extract consistent market neutral returns from inefficiencies arising among related commodities, among different maturities of the same commodity contracts, and seasonal effects Copyright 2009 Alternative-Index Ltd 2

3 Sources of Market Inefficiencies Contango: futures contracts with near-term maturities are priced cheaper than longer-term contracts, e.g. due to storage costs Backwardation: futures contracts with near-term maturities are priced more expensive than longer-term contracts, e.g. due to outsized demand in the near term Seasonality: increased demand for production purposes at certain times of the year, and decreased demand at other times, e.g. energy products (winter & summer vs. spring & autumn). Similar imbalances appear on the supply-side of the market, e.g. for grain products that are not produced at a constant rate during the year and have to be stored at a cost between production seasons. Copyright 2009 Alternative-Index Ltd 3

4 Index Publication The Index published daily by the Vienna Stock Exchange The Index is listed at the Vienna Stock Exchange Index is available in USD, EUR, GBP, JPY, CHF Index values and qualitative information are available on Reuters:.CAXUSD,.CAXEUR,... Bloomberg: CAIXUSD <Index>, CAIXEUR <Index>,... Copyright 2009 Alternative-Index Ltd 4

5 Index Management The Index is managed by Alternative-Index Ltd., the Index Provider Index Provider evolves and maintains rules for Index Management Due Diligence and analysis of Index Constituents is outsourced to Salus Alpha Copyright 2009 Alternative-Index Ltd 5

6 Index Constituent Universe Inter-commodity and intra-commodity arbitrage strategies The strategies invest in the following commodities Energy Livestock Precious Metals Industrial Metals Grains Softs Copyright 2009 Alternative-Index Ltd 6

7 Index Constituent Eligibility Salus Alpha: qualitative and quantiative Due Diligence Markets must be liquid with high trading volume Markets must have potential for price inefficiencies Daily Constituent valuations available on Bloomberg Constituents are ranked within their sector by statistical methods according to risk and return characteristics Copyright 2009 Alternative-Index Ltd 7

8 Index Constituent Qualification Constituents are ranked according at a given point in time according to their Return potential and Risk potential For each sector, the highest ranked constituents are eligible for the Index Number of constituents is subject to predetermined minimum of 5 Copyright 2009 Alternative-Index Ltd 8

9 Constituent Weighting Constituents are weighted according to their risk and expected return within the sector Sectors with high risk attribution may be temporarily excluded from the Index portfolio Constituent weights are adjusted employing a systematic model to minimize aggregate risk Arbitrage component: Long positions in Constituents are offset by corresponding short positions in commodity benchmarks Copyright 2009 Alternative-Index Ltd 9

10 Commodity Arbitrage Index Sector Allocation Aug 2009* Index sector gross exposures Index commodity gross exposures Energy Grains Industrial Metals Livestock Softs Aluminium Brent Cocoa Coffee Copper Corn Cotton Feeder Cattle Gasoil Gasoline Heating Oil Kansas Wheat Lead Lean Hogs Live Cattle Nat Gas Nickel Soybeans Sugar Wheat WTI Zinc * All long strategy positions are offset by corresponding short positions, therefore net exposure is close to zero at all times. Copyright 2009 Alternative-Index Ltd 10

11 Index Maintenance Index portfolios are reviewed on a regular basis and rebalanced if appropriate Index Provider is responsible for Index changes Index changes are publishes on Copyright 2009 Alternative-Index Ltd 11

12 Investments The Index is investable via Derivatives Certificates Closed-End Funds UCITS III compliant Funds Copyright 2009 Alternative-Index Ltd 12

13 Alternative-Index Ltd Dammstrasse Zug Switzerland Tel: Fax: Copyright 2009 Alternative-Index Ltd 14