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I am trying to gather a time series data for Crude Oil Future prices (both Brent and WTI) to work on a project. I see that the BCOMCO (Brent) and BCOMCL (WTI) indices are constructed from the respective Futures prices with a rollover methodology.

I however, am failing to understand the difference between the various numbered indices (for example, the Brent Indices are: BCOMCO, BCOMCO1 (1 month forward), BCOMCO2 (2 month forward), BCOMCO3 (3 month forward), BCOMCO5 (5 month forward) and BCOMCO6 (6 month forward). The Security Description says for all the numbered indices says "composed of longer-dated futures contracts". What is the exact difference between these indices?

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  • $\begingroup$ Expiration date of the futures that are used as underlying components? $\endgroup$ Jan 24 at 5:56
  • $\begingroup$ I have edited the question to show the contracts used for index construction for BCOMCO and BCOMCL indices. So BCOMCO1 would be constructed from "Apr" contracts instead of "Mar" contracts for the Jan and Feb dates? $\endgroup$ Jan 24 at 19:44
  • $\begingroup$ Your best bet is to ask the Helpdesk for docs on the indices. $\endgroup$
    – user42108
    Jan 25 at 21:39
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WTI and Brent futures have contracts for each month. The number corresponds to the number of contracts forward that the index reflects holding over time. Right now March is the front (1) crude oil contract. For the 3 month forward example, it will be holding the May contract. Then when March stops trading, that May contract will have rolled to the June contract (for the 3 month forward index).

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The longer-dated BCOMs, if I recall correctly, just roll from third month into second month (avoiding the front month).

I always used to get around this whole subject in my models using the SPGS (ie GSCI) codes, which neatly discriminate between spot price, excess returns, and total returns on the same

So SPGSCO/SPGSCL Index were spot WTI/Brent, respectively. Suffix -P gave you excess returns (ie the index rolls) Suffix -TR gave you total returns (ie the cash as collateral to the futures)

The BCOM family, if I recall, gave you rolling spot and TR, but not ER. And the rolling methodologies were 99% but not 100% aligned, ie they could actually diverge on crazy stuff like NatGas.

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