London, 21 December 2011

In January 2012 the world's two most followed commodity benchmarks, the DJ-UBS All Commodities Index and the S&P GSCI Index, will go through their annual rebalancing. The impact on investor flows across underlying commodity futures can be quite significant as the 2012 rebalancing has an added twist, with Brent crude oil being added to the Dow Jones-UBS Commodity Index for the first time and WTI oil seeing its weight reduced.

According to ETF Securities, theoretically, any potential impact should already be digested and reflected in the underlying commodity futures prices. In the following analysis, they look at the potential impact on the underlying commodity futures prices based on the size of the weighting shift relative to the liquidity of the relevant futures contracts.

2012 rebalancing may potentially have a large price impact on sugar, nickel, cotton...

Attachments:

2012-Rebalancing_2.pdf

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