Ehrman-Loeb Commodity Benchmark Selected for New Mutual Fund

Top Quote Ehrman-Loeb is pleased to announce that the Ehrman-Loeb Commodity Benchmark has been designated as the benchmark for a new Chinese mutual fund. End Quote
  • (1888PressRelease) October 24, 2010 - The CPMC Strategy Fund (the "Fund") is a commodities index fund, which combines positions tracking the Ehrman-Loeb Commodity Benchmark Index with a portfolio of short-term bonds. According to the Fund's public disclosures, it was launched on 22June 2010 and currently has assets under management of over US$200 million.

    The Ehrman-Loeb Benchmark updates a physical commodity futures index originally formulated in 1995 and first published in 1998, which has retained the key aspects of that index - including rebalancing, multi-period exposure and weighting methodology - to create a robust benchmark for the performance of the global commodities markets.

    The key characteristics of the CPMC are:
    currently made up of 23 commodities, resulting in broad diversification and a wide reflection of the overall global commodity complex;
    four-step weighting method based on production value and market liquidity that attempts to create balanced risk and reduced correlation between commodity components;
    rebalanced to target investment weights monthly to help maintain diversity and reduce volatility;
    references commodity futures contracts that fall within the near three months (where available), with a goal of spreading exposure across multiple delivery periods;
    15-day roll period that aims to diversify exposure to calendar roll spreads across several weeks; and
    licensed to other swap providers.

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