Abstract:
Methods and systems provide a commodity index for investing. In one implementation, a method selects a commodity component for inclusion in the commodity index and calculates a target weight of the commodity component. The method further selects a time interval for maturity of the commodity component to be fixed at from a current date. Financial instruments may be purchased corresponding to the commodity component.

Description:
RELATED APPLICATION(S) 
       [0001]    This application claims the benefit of priority to U.S. Provisional Patent Application No. 60/935,185, filed on Jul. 30, 2007, the disclosure of which is expressly incorporated herein by reference, in its entirety. 
     
    
     TECHNICAL FIELD 
       [0002]    The present invention generally relates to the field of investing and computerized systems and methods for investing. More particularly, and without limitations, the invention relates to systems and methods for investing in commodities using a commodity index, such as a constant maturity commodity index. 
       BACKGROUND 
       [0003]    Generally speaking, commodities are an alternative investment class to other financial assets, such as bonds and stocks. Investing in commodities, in addition to other financial assets, has provided investors an opportunity to diversify their portfolios. Investing in commodities may provide long run returns like investing in bonds and stocks, but commodity prices are generally not correlated with prices of bonds and stocks. 
         [0004]    One approach for investing in commodities has been through indices that rely only on front month contracts. A front month contract is a futures contract that represents an agreement to buy or sell a particular commodity at a predetermined price at a date of maturity in the future. A front month contract is repeatedly bought at the same distance on a forward curve. For example, as illustrated in  FIG. 1 , the distance out on a forward part  101  of the curve is the time at which a futures contract is bought  101   b  before it matures  101   a . Time to maturity is the time (measured in days or months) until a futures contract is due. The time until a futures contract matures at the time it is bought is also called the tenor of a futures contract. 
         [0005]    A second approach for investing in commodities has been to use baskets of futures that provide exposure further out on the forward curves. A basket of futures is a commodity index composed of different futures contracts. 
         [0006]    Experience with these investment strategies has demonstrated some common drawbacks. First, these investment strategies have led to problems in an environment with unusually steep contango curves responsible for large negative roll yields (see, for example,  FIG. 2 ). In such an environment, the value of the commodity varies significantly in terms of spot price and futures contract over time. 
         [0007]    By way of example,  FIG. 2  is a graph illustrating a contango curve  200 . There is an X axis  201  that represents time to maturity for a forwards contract. The Y axis  202  represents the cost or price of the forward contract. A contango environment occurs when a current price  203  of a futures contract is above the expected future spot price, since a current spot price  204  is below the price of the futures contract. A spot price is the current price a particular commodity can be bought or sold at a certain time and place. When this happens, there will be a negative roll yield, when the futures contract matures. A negative roll yield is a loss on an investment. This is partly because roll of front month contracts exposes investments only to the front-end of the curve (see  FIG. 1 ,  101 ). A negative roll yield occurs from a roll of front month contracts when a futures contract is bought at a higher price  101   b  and sold at a lower price when the front month contract matures at a certain point in the future  101   a . Then a futures contract is bought with the same tenor as that of the futures contract bought at  101   b  and therefore will take the same time to mature. 
         [0008]    Backwardation is the opposite of contango.  FIG. 3  is a graph  300  illustrating an example of a backwardation curve  304 . There is an X axis  301  that represents time to maturity for a futures contract. The Y axis  302  represents the price of the futures contract. Backwardation occurs when the spot price  303  for a commodity is higher then the price of a futures contract  304  for the commodity. It is possible to take advantage of a backwardation by selling at the spot price  303  and buying the futures contract  304 . This strategy is possible when an investor owns the actual physical commodities and does not have to use them immediately and, therefore, can deliver them at spot  303 . However, an investor in a traditional commodity indices eventually may have to exit such a strategy since he may not be able to deliver the commodities at spot price  303  when futures contract  304  matures. The investor would be able to take advantage of backwardation if physical delivery of the commodity was not necessary. 
         [0009]    Additional drawbacks of baskets of futures include a lack of transparency, absence of weight control, and absence of rebalancing. By lack of transparency, it is meant the inability, or difficulty, of monitoring the details of investments. Weight control is the ability to assign the proportion, weight, of a particular futures contract in a basket, commodity index. Rebalancing ensures that the weight of the futures contract in a commodity index remains the same, as the price of the futures contract fluctuates over time. 
         [0010]    An attempt to solve the above problems has led to approaches that include the use of rule based indices. However, these approaches are increasingly complex and provide little flexibility or choice. 
         [0011]    In view of the foregoing, there is a need for an improved solution for investing in commodities. In particular, there is a need for methods and systems for providing a constant maturity index, where the investor may escape the limitation of nearby only vehicles embodied by other major commodity indices and escape being locked into a potentially undesirable part of the curve. Nearby only vehicles refer to buying front month contracts with the same tenor and waiting until they mature before repeating the process. The solution should provide the investor with the ability to invest in an index that is diversified across a wide range of commodities, provides choices as to the tenor of their investment, has continuous roll and constant maturity features to mitigate negative roll yield in a contango environment and be able to take advantage of a backwardation environment, and more accurately reflects the real commodity markets. Continuous roll and constant maturity refers to continuously buying and selling futures contracts at different tenors, and not necessarily waiting till a front month (futures) contract matures. For example, a front month contract may be bought at point  102   b  that matures at point  101   a . However, the proposed solution would allow to sell the front month contract at point  102   a  after a certain period of time  102 . Finally, the index should be continuously rebalanced to target more consistent weights for the index&#39;s components, and the weights of the individual components should be maintained so that the index reflects changes in the market affecting the various components. 
       SUMMARY 
       [0012]    The present invention provides methods and systems for investing in commodities. This is achieved by providing a Constant Maturity Commodity Index (“CMCI”). A constant maturity index may limit exposure to contango. 
         [0013]    In one exemplary embodiment, a method is provided including, for example, selecting a commodity component for inclusion in the commodity index; calculating a target weight of the commodity component; selecting a time interval for maturity of the commodity component to be fixed at from a current date; determining a middle delivery period for financial instruments for the commodity component at the time interval; purchasing the financial instruments based in relation to the middle delivery period; and rebalancing the financial instrument based on the target weight and the middle delivery period of the commodity component. 
         [0014]    The exemplary method may further include selecting one or more sectors of the commodity index, wherein the commodity component is included in one of the sectors; determining a sector weight for each of the sectors; and maintaining the target weight. Maintaining may include calculating a new component nominal weight for the commodity component, wherein the target weight of the commodity component for a next period is equal to the component nominal weight, if it is a maintenance period, and maintaining occurs every second predetermined amount of time. 
         [0015]    In another embodiment, the commodity component may be held in form of the financial instruments at a quantity in a proportion related to a time distance to a constant maturity tenor, rebalancing may occur every first predetermined amount of time; and the middle delivery period may be the mid-point between the first and last day of a delivery period for the financial instruments. 
         [0016]    In another alternate embodiment, the financial instruments are not front month contracts. 
         [0017]    In another exemplary embodiment, a method is provided including, for example, selecting sectors comprising the constant maturity index; selecting commodity components included in one of the sectors; calculating a tradable economic sector weight of the sector; calculating a target weight for a commodity component; purchasing financial instruments corresponding to the commodity component based on the target weight; rebalancing the financial instruments based on the target weight of the commodity component; and maintaining the target weight of the component. 
         [0018]    In one embodiment, calculating the tradable economic sector weight of each of the sector may include: calculating a world aggregate economic weight of the sector; calculating a sector open interest weight of the sector; calculating a sector market volume weight of the sector; calculating a sector liquidity weight of the sector based on the sector open interest weight and the sector market volume weight; and calculating the tradable economic sector weight based on the world aggregate economic weight and the sector liquidity weight. 
         [0019]    In another embodiment, calculating the target weight of the commodity component may include: calculating a market value of the components based on consumption data and price indicator, comprising determining whether to use world or regional data; calculating a component market volume weight of the component; calculating a component open interest weight of the component; calculating a combined component liquidity weight of the component based on the component open interest value and component market volume value; calculating a tradable market value weight of each of the sectors based on the market value weight and the combined component liquidity weight; and calculating the target weight of the component based on the tradable market value weight and the tradable economic sector weight. The component market volume weight may be equal to an average component market volume value and the component open interest weight may be equal to an average component open interest value. 
         [0020]    In another alternate embodiment, the target weight may be based on factors comprising a market value consumption of the commodity component. 
         [0021]    In another embodiment, selecting a commodity component may include: identifying the commodity component; determining whether the commodity component satisfies primary eligibility requirements; determining sources of data to use to determine if the commodity component meets secondary eligibility requirements; determining weight of the components in the index within the same sector as the commodity component; and determining whether the commodity component satisfies secondary eligibility requirements. The secondary eligibility requirements may include one or more financial thresholds based on liquidity. 
         [0022]    In still another embodiment, determining whether the commodity component complies with primary eligibility requirements, may include at least one of: determining whether the component is physically deliverable into either a physical commodity or cash settled against a publicly available physical commodity reference price; determining whether the component is traded as an instrument, wherein the instrument may be a futures or forward instrument; determining whether the financial instruments for trading the commodity component are traded on an exchange that satisfies exchange eligibility requirements; determining whether the financial instruments feature clearly specified expiration dates and terms; determining whether the financial instrument are available for trading for at least a predetermined amount of time before expiration; determining that the instrument is neither a cash market nor a spot instrument; determining whether price and volume data has been available for the instrument for at least a predetermined amount of time before the current date; and determining whether the instrument satisfies criteria of calculability. The exchange eligibility requirements may include at least one of: the exchange is based in a country that satisfies country eligibility requirements; trading on the exchange has been free of any significant market disruptions involving a major commodity market participant for a predetermined disruption-free amount of time before the current date; daily settlement or closing prices for the instrument are made available by the exchange; and the instrument is available for trading for at least a predetermined minimum trading time each day on the exchange. 
         [0023]    In another exemplary embodiment, a method is provided including, for example, selecting commodities for the commodity index; calculating a target weight for the commodities; identifying multiple individuals tenor components for a commodity, wherein an individual tenor component is a commodity at a certain maturity; calculating an individual tenor weight for the individual tenor component; and purchasing financial instruments corresponding to the individual tenor component based on the individual tenor weight. 
         [0024]    The exemplary method may further include rebalancing the financial instruments based on the target weight of the commodity and the individual tenor weight of the individual tenor component; maintaining the target weight of the commodity and the individual tenor weight of the individual tenor component. Maintaining may include, for example, determining whether it is a maintenance period; determining whether it is a curve rebalancing period; calculating a target weight adjustment factor for the individual tenor component if it is a curve rebalancing period; and calculating the individual tenor weight for the individual tenor component based on the target weight adjustment factor. 
         [0025]    In another embodiment, determining the individual tenor weight may include: calculating an equal tenor weight for the individual tenor component, the equal tenor weight is equal to the equal tenor weight of any other individual tenor component of the same commodity; calculating a liquidity tenor weight for the individual tenor component; and calculating the individual tenor weight based on the equal tenor weight and the liquidity tenor weight. 
         [0026]    In another embodiment, calculating the liquidity tenor weight may include: calculating a component tenor market volume weight for the individual tenor component; calculating a component tenor open interest weight for the individual tenor component; and calculating the liquidity tenor weight based on the component tenor market volume weight and the component tenor open interest weight. 
         [0027]    In another embodiment, calculating a component tenor market volume weight for the individual tenor component may include: calculating a tenor market volume value based on a market volume and tenor of the individual tenor component over a liquidity reference period; calculating an average tenor market volume value of the individual tenor component based on the tenor market volume value; and calculating the component tenor market volume weight based on the average tenor market volume value. 
         [0028]    In yet another embodiment, calculating a component tenor open interest weight for the individual tenor component may include: calculating a tenor open interest value based on the value of the open interest and tenor of the individual tenor component over the liquidity reference period, calculating an average tenor open interest value for the individual tenor component based on the tenor open interest value. calculating the component tenor open interest weight based on the average tenor open interest value. 
         [0029]    It is to be understood that both the foregoing general description and the following detailed description are exemplary and explanatory only and are not restrictive of the embodiments of the invention, as claimed. 
     
    
     
       BRIEF DESCRIPTION OF THE DRAWINGS 
         [0030]    The accompanying drawings, which are incorporated in and constitute a part of this disclosure, illustrate embodiments and aspects of the present invention. In the drawings: 
           [0031]      FIG. 1  is a graph of an example contrasting a traditional investment strategy with an investment strategy consistent with an embodiment of the present invention; 
           [0032]      FIG. 2  is a graph illustrating the concept of contango; 
           [0033]      FIG. 3  is a graph illustrating the concept of backwardation; 
           [0034]      FIG. 4  depicts an example of weighting of a commodity index, consistent with an embodiment of the present invention; 
           [0035]      FIG. 5  depicts an example of weighting sectors of a commodity index, consistent with an embodiment of the present invention; 
           [0036]      FIG. 6  depicts an example of weighting commodity components, consistent with an embodiment of the present invention; 
           [0037]      FIG. 7  depicts an example of weighting individual tenor components, consistent with an embodiment of the present invention; 
           [0038]      FIG. 8  is a flowchart of an exemplary method, consistent with an embodiment of the present invention; 
           [0039]      FIG. 9  is a flowchart of another exemplary method, consistent with an embodiment of the exemplary method depicted in  FIG. 8 ; 
           [0040]      FIG. 10  is an exemplary diagram showing a calculation of an Average Component Open Interest Value; and 
           [0041]      FIG. 11  is an exemplary diagram showing a calculation of an Average Component Market Volume Value. 
           [0042]      FIG. 12  is an exemplary diagram showing a calculation of the weight of a sector; 
           [0043]      FIG. 13  is an exemplary diagram showing a calculation of the weight of a component; 
           [0044]      FIG. 14  is an exemplary diagram showing a calculation of a Market Value Weight; 
           [0045]      FIG. 15  is a flowchart of an additional exemplary method, consistent with an embodiment of the present invention; 
           [0046]      FIG. 16  is an exemplary diagram showing a calculation of a Individual Tenor Weight; 
           [0047]      FIG. 17  depicts an example of distribution of investment in commodities over a multiple number of maturities for a number of different commodities; and 
           [0048]      FIG. 18  illustrates an exemplary system  1800 , consistent with an embodiment of the invention. 
       
    
    
     DETAILED DESCRIPTION 
       [0049]    The following detailed description refers to the accompanying drawings. Wherever possible, the same reference numbers are used in the drawings and the following description to refer to the same or similar parts. While several exemplary embodiments and features of the invention are described herein, modifications, adaptations and other implementations are possible, without departing from the spirit and scope of the invention. For example, substitutions, additions, or modifications may be made to the components illustrated in the drawings, and the exemplary methods described herein may be modified by substituting, reordering, or adding steps to the disclosed methods. Accordingly, the following detailed description does not limit the invention. Instead, the proper scope of the invention is defined by the appended claims. 
         [0050]      FIG. 1  is a graph of an example contrasting a traditional investment strategy with an investment strategy that is consistent with an embodiment of the present invention. In  FIG. 1 , there is an X axis  110  that represents time to maturity for a futures contract. The Y axis  120  represents the cost of the futures contract. The curve represents the cost or price of the futures contract based on the time it has to mature. Financial instruments, corresponding to a futures contract, may be bought farther out on the curve at point  102   b  to invest in futures contracts that have a longer time to mature. The financial instruments may be sold at point, for example,  102   a  that is before the point of time when the futures contracts mature at point  101   a . This allows to invest in a different part  102  of a curve then the part of the forward part  101  of curve one would invest in with a traditional front month contract. 
         [0051]      FIG. 4  illustrates an example of selecting and weighting different financial instruments (components) that will make up a commodity index, consistent with an embodiment of the present invention. A financial instrument represents a futures contract for a certain commodity at a certain tenor. First, the different sectors that may comprise the commodity index are selected and weighed ( 410 ). A commodity index may be divided into one or more sectors. Examples of possible sectors include, but are not limited to, energy, industrial metals, precious metals, agricultural, livestock, and basic materials (lumber, rubber, etc.). The pie chart  401  illustrates an index divided into five different sectors, where each slice within the pie chart is a different sector. Each of the sectors has a different weight within the index. In this example, in total, five different sectors together represent 100% of the commodity index. If, for example, a commodity index was composed of only sector  405 , the weight of sector  405  would be 100% of the whole commodity index. 
         [0052]    After the sector(s) are selected and weighed, the components that comprise each sector are selected and weighed ( 420 ). A sector may be composed of one or more commodity components. Pie chart  402  represents a commodity index that is divided into five sectors, with sector  411 , which was selected and weighed ( 410 ), being divided into five different commodity components. This means that five different commodity components were selected for sector  411 . Each slice of sector slice  411  (as illustrated in pie  401 ) is a different commodity component with a different weight  402 . For example, if group  411  represents the energy sector, each one of the slices in sector slice  411  in pie chart  402  may be one of the following components: propane, crude oil, natural gas, heating oil, sugar, or any other commodity that is determined to be in the energy sector and qualifies to be in the index. Furthermore, the commodity represented by each slice in group  411  may be a specific type of that commodity. Therefore, for example, two of the slices in group  411  may represent two different types of crude oil that are exchanged as different financial instruments corresponding to a broad category for a commodity. One or more commodities for the four other sectors are also selected, and a weight is determined for each one of the commodity components. 
         [0053]    In one embodiment, a tenor is selected for each one of the commodities. A commodity at a certain tenor is a commodity component of the index. A financial instrument with the selected tenor is bought for the commodity component. In an alternate embodiment, one or more tenors are selected and weighed for each commodity component within each sector ( 430 ). Pie chart  403  represents a commodity index divided into five different sectors. One of the sectors in pie chart  403  is divided into five different commodity components, and one of the commodity components  421  is split into five different individual tenor components of the same commodity but with different maturities. Examples of maturities (tenor) include 3 months, 6 months, 1 years, 2 years, and 3 years. Financial instruments are bought for each one of the slices (each one at a different tenor) within component  421  based on the weight of the individual tenor component (commodity component at the certain tenor). 
         [0054]      FIGS. 5 ,  6 , and  7 , illustrate pie charts  401 ,  402 , and  403 , respectively, with greater detail.  FIG. 5  illustrates a representation of a commodity index  501  for which five different sectors  510 ,  520 ,  530 ,  540 ,  550  are selected. In this example, each sector has a different weight. For example, sector  510  is assigned the greatest weight and sector  550  is assigned the least weight. 
         [0055]      FIG. 6  illustrates a representation of the same commodity index illustrated in  FIG. 5 . The commodity index in this example comprises five sectors, where one of the sectors ( 510  in  FIG. 5 ) is composed of five commodity components  611 ,  612 ,  613 ,  614 ,  615 . In this example, each one of these commodity components  611 ,  612 ,  613 ,  614 ,  615  has a different weight. One or more commodity components are selected for each one of the four other sectors  650 ,  640 ,  630 ,  620 , and a weight is calculated for each one of the commodity components. All the weights of components within one sector represent 100% of the sector. 
         [0056]      FIG. 7  illustrates a representation of the same commodity index illustrated in  FIG. 6 . The commodity components of each one of the sectors may be further diversified between different tenors. For example, one of the commodity component ( 613  in  FIG. 6 ) is shown divided into five different maturities  713   a ,  713   b ,  713   c ,  713   d ,  713   e  (each one is an individual tenor component) in  FIG. 7 . Each one of the individual tenor components may have a different weight. The weight may be used to purchase financial instruments corresponding to the individual tenor component. 
         [0057]      FIG. 8  is a flowchart of an exemplary method, consistent with a disclosed embodiment, for providing a constant maturity commodity index (“CMCI”). According to the method, at step  801 , sectors are selected that will make up a CMCI. A CMCI may include one or more different sectors. An investor may choose to invest in specific sectors or the sectors may be chosen based on a set of factors. These factors may include one or more of the following: determining whether to invest in a sector through a CMCI, which may help to overcome the problems posed by investing in the sector through other traditional means (e.g., the problems with contango discussed above); determining whether the investment in the sector should be profitable through a CMCI based on a set of predicted events (including, but not limited to, demand of various industries, demand due to economic growth because of industrialization/globalization); and determining whether changes are expected regarding the composition of a sector. 
         [0058]    For example, when evaluating whether to include the energy sector in a CMCI, one may consider various factors such as recent fluctuation in the price of commodities within the sector, predicted weather conditions, recent events, and a comparison of conditions that caused demand in the past to current conditions. Examples of conditions to consider when deciding whether to invest in the precious metal markets include demand from the jewelry interest, low interest rates, surging industrial metal and energy prices, speculation that central banks plan to buy up precious metals, rising inflation, increasing geopolitical tension, and prospect of a weaker U.S. dollar. Other general considerations that might be relevant for evaluating a particular sector include urbanization trends of developing countries like China and India, rate in global economic growth, and relevant industry innovation. 
         [0059]    Next, commodity components for each one of the sectors selected at step  801  are selected at step  802 . One or more commodity components may be selected for each sector. A commodity component may need to meet a variety of eligibility requirements to be included in a CMCI.  FIG. 9 , which is discussed below in greater detail, further illustrates an example of a method for determining if a component may be part of a CMCI. 
         [0060]    Before calculating a weight of each of the commodity components within a sector, a weight for each one of the sectors selected in step  801  may be calculated in step  803 . The weight of the sector may be based on a variety of data including the Consumer Price Index (CPI), Producers Price Index (PPI), and the Global Domestic Product (GDP) and the liquidity of the commodity components within the sector.  FIG. 10  further illustrates an exemplary method for calculating the weight of each sector. 
         [0061]    After a weight is calculated for a sector, a weight may be calculated for the individual commodity components within a sector (step  804 ). The weight of each individual commodity component may be based on consumption data.  FIG. 11  further illustrates an exemplary method for calculating the weight of each commodity component. Alternatively, before step  804 , a tenor may be selected for each one of the components. The same tenor can be selected for all of the components in step  805 . 
         [0062]    At step  805 , a middle delivery period (“MDP”) may be determined for each of the components at a selected tenor. In one embodiment, the MDP represents the mid-point between the first and last day of a delivery period for a futures contract. The deliver period may be, for example, an entire calendar month or a designated portion of a month. The MDP then becomes the point in time when a portion of the index attritubale to a commodity is entirely allocated to one delivery month or the next. Prior and subsequent to the MDP, the CMCI may allocate the weight of the commodity between two surrounding contracts. The allocation may be determined in accordance with the concept of contract proportions. Based on the MDP, the weight of each futures contract at a certain tenor of the commodity index can then be determined. 
         [0063]    At step  806 , futures contracts or other financial instruments corresponding to each of the components at a certain tenor are purchased. The weight for a component may be evenly divided between financial instruments corresponding to time periods right before and right after the MDP. 
         [0064]    After step  806  is completed, the composition of the index is complete. However, as time passes the value of the different components in the index fluctuates. At step  807 , rebalancing may occur regularly to make sure that each component is at its proper weight as determined at step  804 . At step  808 , the index may be maintained by readjusting the weight of each of the components based on the change in factors used to calculate the weight. Alternatively, the weight of the component may be maintained by calculate a weight of each of the components again. 
         [0065]      FIG. 9  is a flowchart of an exemplary method for determining if a component may be part of a CMCI. In step  901 , components that are part of a commodity sector in the CMCI are identified. For each one of the components identified within one sector, step  902  to step  906  may be completed. If, at step  905  or  906  it is determined that a component cannot be part of the CMCI, steps  904  to step  906  may need to be repeated for all the components that were previously determined to be eligible to be included in the CMCI  907 . 
         [0066]    At step  902 , a determination may be made regarding whether a commodity component complies with primary eligibility requirements. Financial instruments corresponding to a commodity at a certain tenor may be representative of the commodity component and may be traded on an exchange. Primary eligibility requirements may include requirements for evaluating the nature and technical characteristics (e.g., country of origin, trading characteristics, foreign exchange controls, availability and accuracy of contract used to trade the commodity component, price and volume data) of the financial instrument(s) corresponding to the commodity component. These requirements may ensure that only commodity components with reasonable economic significance are included in the index (CMCI). Primary eligibility requirements may comprise one or more requirements defined below. 
         [0067]    A first possible determination is that the commodity component is a traded with a financial trading instrument based on a single commodity. The determination may include determining that the commodity represented by the commodity component is a raw material that is homogenous in nature, is consumed or used as input in a production process, and is tradable on an exchange. 
         [0068]    Another possibility is determining whether the commodity component is physically deliverable into either a physical commodity or cash settled against a publicly available physical commodity reference price. Examples of publicly available physical commodity reference price include, but are not limited to Plats Marketsmay and Reuters. 
         [0069]    A third possibility is determining if the commodity component is traded under acceptable circumstances. One such requirement may be listing or trading the commodity component (instrument) on an exchange that is based in an eligible country, which has an adequate system of law and regulations. Another requirement may be that the instrument be traded on an exchange that satisfies exchange eligibility requirements, such as having adequate governance and management procedures and trading on the exchange has been free of any significant market disruptions involving a major commodity for a predetermined amount of time. Another possible requirement is that a financial instrument corresponding to the commodity component is traded on the exchange in line with a set of trading requirements. For example, the financial instrument may need to be available for trading for at least a predetermined amount of time before maturing, daily settlement or closing prices for the financial instrument may need to be made available by the exchange, and the financial instrument may need to be made available for trading for at least a predetermined minimum trading time each day on the exchange. 
         [0070]    Additional examples of preliminary requirements include determining whether the instrument features clearly specified expirations and terms, determining whether the instrument is neither a cash market nor a spot instrument, determining whether the price and volume data has been available for the instrument at least a predetermined amount of time before the current date, and determining whether the instrument satisfies criteria of calculability. 
         [0071]    In step  902 , if it is determined that a commodity component does not comply with one of the primary eligibility requirements, it is excluded from the commodity index. If a component complies with primary eligibility requirements, a determination must be made whether that component complies with secondary eligibility requirements (step  903 ) for it to be included in the index. The secondary eligibility requirements may ensure that the commodity component meets certain financial thresholds based on liquidity. Liquidity may be based on the combination of “open interest” and market volume. “Open interest” may indicate how much outstanding interest there is for all futures instruments corresponding to a commodity component or for a futures instrument for a commodity component at a specific tenor. Past and future liquidity of a financial instrument may be gauged based on its open interest. Market volume reflects the number of contracts (of the same type as the financial instruments representative of the commodity component) that are traded in a given period of time. Accordingly, immediate interest for a financial instrument may be gauged based on its market volume. 
         [0072]    For example, in step  903 , to determine that a component meets secondary eligibility requirements, the Average Component Open Interest Value (“ACOIV”) should exceed a predetermined amount and the Average Component Market Volume Value (“ACMVV”) should represent at least a predetermined proportion of the ACOIV ( 903 ). ACOIV may be based on an average of a number of the most recently calculated open interest values for a financial instrument corresponding to a commodity component. ACMVV may be based on an average of a number of the most recently calculated market volume values for a financial instrument corresponding to a commodity component. 
         [0073]    In order to determine an ACOIV (see, e.g.,  FIG. 10 ,  1005 ) and an ACMVV (see, e.g.,  FIG. 11 ,  1105 ) for a commodity component, at least one current Component Open Interest Value (“COIV”) and one current Component Market Volume Value (“CMVV”), respectively, are determined ( 1004 ,  1104 ). 
         [0074]      FIG. 10  is an exemplary diagram showing a calculation of an ACOIV for a commodity component. A COIV is calculated ( 1004 ) based on a Daily Total Open Interest Quantity (“DTOIQ”)  1002  as reported by the exchange with which the component is associated and a nearby price of the contract (“Price”)  1003 . DTOIQ  1002  is the total number of open interest on all traded contracts or maturities multiplied by the number of units of such commodity per contract. The COIV may be calculated over a certain period of time before the date of calculation (or Calculation Reference Date (“CRD”)). A calculation reference date may be any date on which at least a full calendar year of data is available for all the commodity components in a CMCI. 
         [0075]    An ACOIV may be calculated ( 1005 ) for the most recently calculated COIV and three previously calculated COIVs  1001  for the commodity component. The ACOIV may be the weighted average of the four most recently calculated COIVs. The four most recently calculated COIVs may be weighted differently. For example, 35% may be the weight assigned for the most recently calculated COIV, and 30%, 25% and 10%, respectively, for the three COIVs calculated previously. 
         [0076]      FIG. 11  is an exemplary diagram showing a calculation of an ACMVV for a commodity component. A CMVV may be calculated ( 1104 ) based on a Daily Total Volume Quantity (“DTVQ”)  1102  and Price  1103 . DTQV  1102  is the number of financial instruments corresponding to the commodity component exchanged between buyers and sellers. The CMVV may be calculated by multiplying the DTQV  1102  by the number of units of commodity in the contract represented by the financial instruments corresponding to the commodity component. 
         [0077]    An ACMVV may be calculated ( 1105 ) for the most recently calculated CMVV and the three previously calculated CMVVs  1101  for the commodity component. The ACMVV may be the weighted average of the four most recently calculated CMVVs. The four most recently calculated CMVVs may be weighted differently. For example, 35% may be the weight assigned for the most recently calculated CMVV, and 30%, 25% and 10%, respectively, for the three CMVVs calculated previously. 
         [0078]    Returning to  FIG. 9 , the next step in determining whether a commodity component should be included in the index is calculating the target weight of the component (step  904 ). In particular, a determination is made whether the target weight for the commodity component is proper for the commodity (step  905 ). Next in step  906 , a commodity component is excluded if it is determined that its calculated weight is below a certain threshold. If the component is excluded after either determination ( 905 ,  906 ), then all the components weighed before may need to be reweighed (step  907 ). 
         [0079]      FIG. 12  is an exemplary diagram showing a calculation of the weight of a sector (Tradable Economic Sector Weight (“TESW”)) in a commodity index. A TESW is based on a world aggregate economic weight and a Sector Combined Liquidity Weight (“SCLW”)  1205 . A world aggregate economic weight for the sector is calculated ( 1201 ). First, the region economic weight may be calculated ( 1206 ) by multiplying the combined CPI/PPI weight by the share of global GDP for each region. Possible categories of regions include, but are not limited to: U.S., European Union, and Japan. For example, CPI may be assigned a weight of ⅔ and PPI may be assigned a weight of ⅓. A world aggregate weight may be then calculated ( 1201 ) based on the region aggregate economic weights of the different regions. 
         [0080]    The SCLW  1204  for a sector may be based on the sector&#39;s Sector Open Interest Weight (“SOIW”)  1202  and the sector&#39;s Sector&#39;s Market Value Weight (“SMVW”)  1203 . A SOIW  1202  of a sector may be calculated based on the sum of the ACOIVs ( 1005 ) of the components within the sector  1002 . A SMVW  1203  of a sector may be calculated based on the ACMMVs ( 1105 ) of the components within sector  1203 . A SCLW  1204  may be calculated as follows: 
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         [0000]    The TESW for a sector may be calculated as follows: 
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         [0081]      FIG. 13  is an exemplary diagram showing a calculation of the weight of a commodity component (Tradable Weight (“TW”)) within a sector. A commodity component&#39;s TW  1307  may be based on the value of the commodity component&#39;s Tradable Market Value Weight (“TMVW”)  1305  and the TESW  1306  of the sector of the commodity component. A TMVW  1305  may be calculated based on the MVW  1301  of the commodity component (see, for example,  FIG. 14 ) and its Combined Component Liquidity Weight (“CCLW”)  1304 . A CCLW  1304  may be based on the commodity component&#39;s COIW  1302  and the commodity component&#39;s CMVW  1303 . A description of the method for calculating the values for the COIW  1302  and the CMVW  1303  of a commodity component are described above in the description of  FIG. 9 , where the values are calculated to determine the liquidity of the commodity component. Here, COIW  1302  may be calculated as the sum of the commodity component&#39;s ACOIV divided by the sum of ACOIVs: 
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         [0000]    CMVW  1303  may be calculated as the sum of the commodity component&#39;s ACMVV divided by the sum of 
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         [0000]    COIW  1302  and CMVW  1303  are combined to calculate the CCLW  1304 . For example, CCLW  1304  may be calculated as follows: 
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         [0082]      FIG. 14  is an exemplary diagram showing a calculation of the MVW. Market Value of consumption (“MV”)  1403  is used to calculate the MVW  1404  of each commodity component  1301 . A MV  1403  for a commodity component may be calculated based on a Volume Indicator (“VI”)  1401  for the commodity and a Price Indicator (“PI”)  1402 . A VI  1401  may be equal to the total annual consumption data for the most recent calendar year  1401 . API  1402  may be equal to the average of the prices for a financial instrument corresponding to the commodity component over a number of year periods measured using nearby delivery months of each futures strip during the last certain number of day of each month during the number of years  1402 . A determination may be made whether to use regional or world data when calculating the VI  1401  or the PI  1402  in connection of a particular commodity based on a set of factors, such as: use of the commodity, pricing of the commodity, production of the commodity, consumption of the commodity, or transportation of the commodity. The MV  1403  for a certain commodity component may be calculated as follows: MV=VIxPI 
         [0083]    A TMVW  1305  of a commodity component may be calculated based on the CCLW  1304  of the commodity component and the MVW  1301  of the commodity component as follows 
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         [0000]    Finally, a TW  1307  of a commodity component within an index is calculated by blending the TMVW  1305  of the commodity component and the TESW  1306  of the sector that the commodity component is part of. 
         [0084]    As described above, each commodity component within an index may correspond to a commodity with a certain maturity. In an alternate embodiment, the same commodity may be diversified across multiple maturities (see, for example,  FIG. 7 ). As a result, multiple futures instruments  713   a ,  713   b ,  213   c ,  713   d ,  713   e  may be bought for the same commodity component at different tenors. As discussed above, a commodity component at a certain tenor is also referred to as an individual tenor. 
         [0085]      FIG. 15  is a flowchart of an exemplary method for diversifying across an index across different sectors, different commodities within each sector, and different tenors for each commodity. This method is consistent with the exemplary method discussed above with reference to  FIG. 8 . 
         [0086]    At step  1501 , the sectors that are included in the index are determined. At step  1502 , the commodities that are included within each sector are determined. At step  1503 , the individual tenor components available for each commodity are determined based on the different tenors available for the commodity. Next, a determination is made as to what individual tenor components of each commodity are included in the index (step  1503 ). At step  1504 , an Individual Tenor Weight (“ITW”) is calculated for each individual tenor component. 
         [0087]    Calculating an ITW for each individual tenor component is described below in more detail in connection with  FIG. 16 . Since there may be individual tenor components corresponding to multiple maturities for multiple commodities in an index, the index may need to be weighed across the different commodities and across the different maturities of each commodity to determine the weight of each individual component (step  1504 ). As a result, rebalancing occurs to rebalance the commodity components to their target weights (step  1505 ) and rebalancing occurs across the individual tenor components (step  1506 ) to ensure that respective segments of the forward curve (different maturities) on each commodity component is weighted properly according to the ITW of the individual tenor component. 
         [0088]      FIG. 16  is an exemplary diagram showing a calculation of the ITW. The ITW is calculated for futures contracts of a certain commodity at a certain tenor. An individual tenor component refers to the financial instruments bought for a certain commodity at a certain tenor. The ITW, is the weight obtained from the blending of Liquidity Tenor Weight (LTW) and Equal Tenor Weight (ETW) for a given individual tenor component. The ITW may be calculated as follows, for example: 
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         [0089]    An ETW  1601  is obtained by allocating an equivalent weight to each individual tenor component. For example, if there are four individual component tenors for a certain component, each one would have a 25% equal tenor weight. 
         [0090]    An LTW  1608  reflects the relative liquidity of the individual tenor components corresponding to a commodity component. An LTW  1608  may be calculated based on the Component Tenor Open Interest Weight (CTOIW)  1606  and the Component Tenor Market Volume Weight (CTMVW)  1607 . An LTW  1608  may be calculated as follows, for example: 
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         [0091]    A CTOIW  1606  is based on open interest data for a certain individual tenor component. A CTOIW  1606  may be calculated based on the Average Tenor Open Interest Value (ATOIV)  1604 . An ATOIV  1604  is the weighted average of, for example, the four most recently calculated Tenor Open Interest Values (TOIVs)  1302 . The four most recently calculated TOIVs may be weighted differently. For example, 35% may be the weight assigned for the most recently calculated TOIV  1602 , and 30%, 25% and 10%, respectively, for each one of the TOIVs calculated for the previous three periods. 
         [0092]    A TOIV  1602  may be equivalent to the U.S. Dollar value of the open interest on a futures contract for a commodity at a certain individual tenor (individual tenor component) over a certain specified period of time. A TOIV  1602  may be calculated based on the daily open interest reported by the exchange facility where the specified futures contract is traded. 
         [0093]    A CTMVW  1607  may be based on market value for a certain individual tenor component at a certain tenor. A CTMVW  1607  may be calculated based on the Average Tenor Market Volume Value (ATMVV)  1605 . An ATMVV  1605  is the weighted average of, for example, the four most recently calculated Tenor Market Volume Values (TMVV). The four most recently calculated TMVVs may be weighted differently. For example, 35% may be the weight assigned for the most recently calculated TMVV  1603 , and 30%, 25% and 10%, respectively, for each one of the TMVVs calculated for the previous three periods. 
         [0094]    A TMVV  1603 , for example, is the U.S. Dollar value of the volume of a given futures contract for a commodity component (individual tenor component) that is traded over a certain specified period of time. A TMVV  1603  may be calculated based on market volume information disclosed by commercially reliable sources (such as reports by brokers or dealers, market volume reports, official statistics, etc.) 
         [0095]      FIG. 17  depicts distribution of investment in commodities over a multiple number of maturities for a number of different commodities. Each vertical bar with a pattern represents an individual tenor component. Each pattern on a bar represents a different commodity. The bars are divided into five different categories based on maturity (tenor) of the individual tenor components: 3M (months), 6M, 1Y (year(s)), 2Y, and 3Y. The vertical Y axis represents the weight of the individual tenor component represented by a bar with regards to a certain commodity. The addition of the Y values of all the bars with the same patter equals 100%. 
         [0096]      FIG. 18  illustrates components of an exemplary computerized system  1800 , consistent with an embodiment of the present invention for implementing the exemplary methods and features disclosed herein. System  1800  may include a computer workstation  1801 , a database  1802 , and a server  1803  connected to a network  1804 . The system may also include multiple workstations, multiple databases, and/or multiple servers. The workstation  1801 , database  1802 , and server  1803  server may also be on the same or different computer systems. Examples of such computer systems include personal computers, servers, and handheld computers. The components may communicate with each over data links  1805 ,  1806 ,  1807 . 
         [0097]    The server  1803  may be able to access information about different commodities through a network  1804 . The network  1804  may be an intranet that is connected to other servers or workstations that store relevant information. The network  1804  may also be the Internet. The server  1804  may be able to access information that is stored and updated on external servers. The information on external services may be maintained by various financial organizations (e.g., Bloomberg) and other similar entities. 
         [0098]    The server  1803  may be able to store the information in the database  1802 . The database  1803  may store information regarding a commodity index. This information may include information about the components in the commodity index and the weight of each component. The database  1802  may also store other relevant information necessary to perform the various calculation, adjustments, and determinations discussed above. The various calculations, adjustments, and determinations can be performed by a processor on either the server  1803  or workstation  1801 . 
         [0099]    A user may use the workstation  1801  to access information that is stored in the database  1802 . The user may also use the workstation  1801  to select information for download by the server  1803  from network  1804 , and storage in the database  1802 . A user may also use the workstation  1801  to generate a commodity index and monitor its performance. 
         [0100]    Commodity system environments, similar to  FIG. 18 , can be used by financial institutions or exchanges to generate or provide commodity indices. Based on the commodity indices, including constant maturity commodity indices consistent with the present invention, financial or investment products may be offered to financial professionals, financial organizations, investors, and other members of the public. 
         [0101]    The foregoing description has been presented for purposes of illustration. It is not exhaustive and does not limit the invention to the precise forms or embodiments disclosed. Modifications and adaptations of the invention will be apparent to those skilled in the art from consideration of the specification and practice of the disclosed embodiments of the invention. For example, the described implementations include software, but systems and methods consistent with the present invention may be implemented as a combination of hardware and software or in hardware alone. Examples of hardware include computing or processing systems, including personal computers, servers, laptops, mainframes, micro-processors and the like. Additionally, although aspects of the invention are described for being stored in memory, one skilled in the art will appreciate that these aspects can also be stored on other types of computer-readable media, such as secondary storage devices, for example, hard disks, floppy disks, or CD-ROM, the Internet or other propagation medium, or other forms of RAM or ROM. 
         [0102]    Computer programs based on the written description and methods of this invention are within the skill of an experienced developer. The various programs or program modules can be created using any of the techniques known to one skilled in the art or can be designed in connection with existing software. For example, program sections or program modules can be designed in or by means of Java, C++, HTML, XML, or HTML with included Java applets. One or more of such software sections or modules can be integrated into a computer system or existing e-mail or browser software. 
         [0103]    Moreover, while illustrative embodiments of the invention have been described herein, the scope of the invention includes any and all embodiments having equivalent elements, modifications, omissions, combinations (e.g., of aspects across various embodiments), adaptations and/or alterations as would be appreciated by those in the art based on the present disclosure. The limitations in the claims are to be interpreted broadly based on the language employed in the claims and not limited to examples described in the present specification or during the prosecution of the application, which examples are to be construed as non-exclusive. Further, the steps of the disclosed methods may be modified in any manner, including by reordering steps and/or inserting or deleting steps, without departing from the principles of the invention. It is intended, therefore, that the specification and examples be considered as exemplary only, with a true scope and spirit of the invention being indicated by the following claims and their full scope of equivalents.