The J.P. Morgan Commodity Curve Index family (‘JPMCCI’) is a family of passive benchmark indices launched in 2008, which tracks the performance of 35 commodity underliers and seeks to capture investment opportunities across the entire futures curve of each underlier by reference to its historical open interest data.
By taking synthetic positions along the entire length of the futures curve in proportion to its open interest, JPMCCI avoids the front-end bias of traditional indices. Investors may gain diversification benefits by taking synthetic exposure both within and across a broad set of commodity markets. Additional benefits of the JPMCCI include balanced sector allocation, significantly reduced roll drag and enhanced simulated risk-adjusted returns when compared to traditional passive indices.
Investors will be able to gain exposure to the JPMCCI Indices through typical performance replication products such as excess/total return OTC swaps, delta-1 certificates and notes, or structured products (capital guarantee, leverage) or other bespoke solutions.
In addition, the JPMCCI Energy Light Indices are intended to be representative, robust and diversified indices, each with a maximum allocation of 33% to energy, capturing a broad share of the investable commodities universe diversified across maturities.
The JPMCCI index levels are available on Bloomberg under the relevant Bloomberg Ticker as specified in the rules for the Index (the “Rules”) and can be made available upon request to the Index Sponsor (as defined in the Index Disclaimer below).
JPMCCI Announcements
- Corrections for NYBOT Cocoa and Liffe White Sugar 2017
- Correction in Liffe White Sugar Composition for Mar 2015
- Changes to Index Composition 2015
- Changes to Index Composition 2014
- Changes to Index Composition 2013
- Removal of Heating Oil during May 12 Roll
JPMCCI Information
- JPMCCI Contract Weights: Jan – June 2024
- JPMCCI Contract Weights: July – Dec 2023
- Introducing the J.P. Morgan Commodity Curve Index (JPMCCI) - Research document
- JPMCCI Rules Document
- JPMCCI Supplement 2013
Questions & Answers (Q&A) and Risk Disclosure Documents
Index Disclaimers
Learn More
Contact the Commodity Investments team at commodity.investments@jpmorgan.com or call our London office at +44 207 134 15 10