Diapason has designed the DCI methodology aiming at a better diversification through 45 constituents from relevant geographies, combining two objective criteria (world trade significance and liquidity) to define weightings and featuring a monthly rebalancing.
BNP Paribas has leveraged its expertise in derivatives to minimize the adverse effect of contango on the index (so called "negative roll yield" on other commodities indices). 17 of the most liquid contracts of the DCI®, which represent around 70% of the index, benefit from a revolutionary algorithm which determines the best maturity futures to roll forward in order to optimize the roll return.
For both the index constituents and the dynamic roll technology, investors' interests are protected by the purely quantitative approach and the independence of Diapason, an asset management company.
The performance of this new reference index is outstanding, reaching 22.3% annually since 1999. This compares with an annual performance of 19.5% for the DCI® index, 13.8% for the DJ-AIG-Commodity Index and 15.7% for the RJ/CRB Commodity Index (RJ/CRB®). The DCI® BNP Paribas Enhanced also has a lower volatility (13.3%) and a higher annualized Sharpe ratio (1.43) than all other indices.
Commenting on the announcement, Guillaume Le Fur, Managing Partner of Diapason Commodities Management SA said: “The DCI® BNP Paribas Enhanced brings a brand new approach to commodity indices. It combines Diapason's breadth of commodities knowledge and asset management expertise with the strong, quantitative capability of BNP Paribas.”
About BNP Paribas
BNP Paribas (www.bnpparibas.com) is a European leader in banking and financial services, and ranks among the world's top 15 banks by market capitalization and total assets. It has more than 140 000 employees, 110 000 of whom are based in Europe. The group occupies leading positions in three significant fields of activity: Corporate and Investment Banking, Asset Management & Services and Retail Banking. It is present in 85 countries and has a strong presence in all the key financial centres. Present throughout Europe, in all its business lines, France and Italy are its two domestic markets in retail banking. BNP Paribas enjoys a significant and growing presence in the United States and leading positions in Asia and in emerging markets.
About Diapason Commodities Management S.A.
Diapason Commodities Management S.A. is a leading independent commodity asset management firm, based in Lausanne, Switzerland, and London, United Kingdom. Through its team of 28 investment professionals, the company provides a broad range of commodity investment solutions. The company oversees around 6 Billion USD as of March 2007.