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3 votes

generating (or tracking) the DJUBS commodity index

So in your code below, there will be a different price in one of the commodities, looking at the broker's contractual commitments, to what a data provider's algo says about the same. …
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1 vote

Bloomberg Crude Oil Indices

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 G …
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3 votes
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Why does the coffee price tracking index Dow Jones-UBS Coffee differ so much from the actual...

Your “coffee price” is spot. Your “coffee index” (or ETF) is excess/total returns, i.e. it includes index rolls. That is the impact of the contango or backwardation of coffee futures as they roll fr …
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