Yale University professor K. Geert Rouwenhorst, one of the “fathers” of broad-based commodity investing, has co-founded a new firm and is launching a new generation of commodity indexes.
Rouwenhorst is best known for his 2004 paper with Gary Gorton, “Facts and Fantasies about Commodity Futures,” which kicked off the surge of commodity investing seen in the past five years.
His new firm, SummerHaven Index Management, in December launched the SummerHaven Dynamic Commodity Index. The index is designed to avert the more disastrous effects of contango and other pitfalls of passive commodities investment strategies. SummerHaven described it as “the first long-only active benchmark for commodity investors.”
Each month, SDCI picks 14 commodities from a pool of 27 based on fundamental indicators, weighting the selected commodities equally in the portfolio. Eligible commodities must have active and liquid futures markets on exchanges in developed markets, with the contracts denominated in U.S. dollars.
The index has been licensed by U.S. Commodity Funds to underlie the firm’s first nonenergy-related ETF.
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