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AMCI
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Today's Index (September 2) 278.519 (4.603)
*spot index --
This Index is calculated using only near-by contract month prices, while
neglecting the effect of rolling-over. This Index is not tradable
and is just made for comparison purpose. |
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Introduction
The AMCI (ASTMAX Commodity Index) is the new type commodity index designed
by ASTMAX Co., Ltd. ‚h‚” is our opinion that AMCI will provide investors
with a reliable and truly investable commodity benchmark for investment
performance in the commodity futures market.
Features
The AMCI is designed to provide:
- True investability
- Transparency
- Sensitivity to the underlying commodities
The AMCI is a Japanese Yen denominated Commodity Index reflecting the performance of commodity futures, precious and base metals and energy sectors, listed on TOCOM. Our principles behind the construction of this index are investability, transparency and sensitivity to the underlying commodity market. The explicit criterion of liquidity as one of weighting factors must help the AMCI in accommodating substantial investment money.
Calculation & Rolling over
The AMCI is indexed to a value of 100 on September 10, 2001 when Middle East crude oil (the average value of Dubai and Oman, which acts as the benchmark price of Middle East crude oil) was listed on TOCOM. The performance is calculated by the *opening price(*opening price means opening price of day session) provided by TOCOM based on the weighting ratio decided by ASTMAX Co. Ltd.
The portfolio is shifted from 5th contract month to 6th contract month (the most distant contract month from the nearby contract month) at a rate of 20% per day in a gradual process for the five days of the roll period from the next trading date of inauguration of a new contract month. Until just before the end of the first trading date of a new contract month, the entire AMCI portfolio is composed of commodity futures by the 5th contract month. At the beginning of the second trading date, the portfolio is adjusted so that 20% of existing holdings are shifted from 5th contract month to 6th contract month with 80% remaining the 5th contract month. This roll process continues on the 3rd, 4th, 5th and 6th at the same rate of 20%. At the beginning of the 6th trading date, the balance of the old 6th contract month (current 5th contract month) is rolled over and the shift should be completed. On the process of rolling over, JPY500 per contract unit as a brokerage commission is taken into account.
Futures position can be held with relatively small margin money. It assumes
that 50% of property was managed in the short-term government bond, the
daily return on investment of Japan Government 3month Bond Simple Yield
adds to the index.
Individual commodities are screened by ASTMAX Co., Ltd. on the concept of high-liquidity and sensitivity to the underlying commodity market for inclusion in the AMCI.
The AMCI is re-weighted basically once a year from the standpoint of high-liquidity,
true investability, sensitivity to the underlying commodity market. The
exceptions to the foregoing are the cases when ASTMAX Co., Ltd. makes decisions
to review the weighting due to the pressing matter; 1.significant changes
of the carrying cost of respective commodity and 2.dramatic changes of
liquidity, new listing and de-listing. The annual screening for inclusion
in the AMCI and weightings are made by ASTMAX Co., Ltd.'s fund manager
and then authorized by Investment Committee. Investment Committee consists
of the members appointed by President & C.E.O. The AMCI is published
at approximately 5:00 pm (Japanese time) and is available on web site (
http://www.astmax.com ) on a daily basis.
Current Components & Weighting
Gold (30.0%), Silver (3.8%), Platinum (20.4%), Palladium (0.6%),
Crude Oil (23.4%), Gasoline (11.6%), Kerosene (6.7%) and Rubber (3.5%).
| Contact |
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Marketing Department |
| TEL |
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+81-3-5447-8430 |
Disclaimer
- The data and information presented here reflect methodology to determine the components, weighting and calculation of the ASTMAX Commodity Index (the “AMCI”).
- The information is solely for your internal use and may not be used for the purpose of investment judgment on basis of the AMCI.
- The information here is for your private information and use only and is not to intend as an offer to sell or solicitation of any offer to buy.
- While all information herein has been updated carefully, it is not warranted by ASTMAX Group.
- Past figure is not indicative of future figure.
The high degree of leverage that is often obtainable in futures trading
because of the small margin requirements can work against you as well as
for you. Leverage can lead to large losses as well as gains
THE RISK OF LOSS IN TRADING COMMODITY FUTURES CONTRACTS CAN BE SUBSTANTIAL.
YOU SHOULD, THEREFORE, CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE
FOR YOU IN LIGHT OF YOUR CIRCUMSTANCES AND FINANCIAL RESOURCES
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