VARIANSE Commodity Index

Mid Price
Change %
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Weekly Open
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Overlay Instrument

Basket Composition

The Constant value is calculated to price the basket to = 1.0000 as of 01/01/2014

Performance

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What is this Index?

The VARIANSE Currency Commodity Index is designed to track the performance of three commodity currencies versus the US Dollar

The currencies in the basket are the following: Australian Dollar (AUD), New Zealand Dollar (NZD) & Canadian Dollar (CAD).
These developed economies depend on primary commodities for a significant share of their export earnings. As a result, the wild fluctuations of global commodity prices are likely to account for a large share of these countries terms-of-trade shocks and have a critical influence on the value of their currencies.
Trading strategies involving currencies with high sensitivity to commodity prices can draw upon the index to test macroeconomic rationale, strength of historic correlations against the basket and instances of correlation decoupling to identify tactical market opportunities.


How is the FX Index Calculated?

Now for the maths...


1. First we calculate the Geometric Mean (GM) of the     Basket


    

    where:
    N          = Number of components
    Pair N  = Market price of Nth Pair

2. Then we multiply the value A by the constant     factor*


    

       *A constant factor is used to turn the basket into an
       index which sets the value of the basket to usually
       equal 1 or 100 at a pre-determined date in the past,
       this allows for easier tracking and simpler pricing.