The Dow Jones–AIG Commodity Index

With approximately $31 billion tracking it (2010 figures), the Dow Jones–AIG Commodity Index (DJ-AIGCI) is one of the most widely followed indexes in the market. The DJ-AIGCI places a premium on liquidity but also chooses commodities based on their production value.

The DJ-AIGCI is one of the few indexes that places a floor and ceiling on individual commodities and component classes. For example, no component class (such as energy or metals) is allowed to account for more than 33 percent of the index weighting.

Another rule is that no single commodity may make up less than 2 percent of the index’s total weighting. The DJ-AIGCI follows these rules to ensure that all commodities are well represented and that no commodity or component class dominates the index.

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The component weightings are rebalanced annually. Currently, the index tracks a group of 19 publicly traded commodities.

Commodity Weight Commodity Weight
Natural gas 12.32% Aluminum 6.90%
WTI crude oil 12.78% Copper 5.88%
Unleaded gas 4.05% Zinc 2.70%
Heating oil 3.84% Nickel 2.66%
Live cattle 6.09% Gold 6.22%
Lean hogs 4.35% Silver 2.00%
Wheat 4.77% Sugar 2.96%
Corn 5.87% Cotton 3.16%
Soybeans 7.76% Coffee 2.93%
Soybean oil 2.76%

One way to access the commodities listed in the DJ-AIGCI is to invest in a mutual fund that tracks it. One of the largest commodity mutual funds, the PIMCO Commodity Real Return Fund, uses the DJ-AIGCI as its benchmark. Therefore, you get a very high correlation between the performance of the index and the performance of the fund.

Another way to access the DJ-AIGCI is through the CME, which offers a futures contract that tracks the performance of the DJ-AIGCI. This is similar to the S&P GSCI contract on the CME. The ticker symbol for the DJ-AIGCI on the CME is AI.

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