The composite index of CSI commodity futures, agricultural products futures, metal futures, chemical raw materials futures, energy futures, grain futures, industrial metal futures and textile raw materials futures is based on 65438+February 3, 20041and 100. The comprehensive index of CSI oil futures is based on 65438+February 29th, 2006, and the base point is 100.
The CSI Commodity Futures Composite Index Series selects all contracts of commodity futures that have been listed for one year, and calculates the closing prices of all contracts in a weighted way by using the open interest index. The calculation formula is:
Index = reporting period value/base period value * 100
Among them, the value of the reporting period = the calculated price of varieties in the reporting period ÷ weight factor.
The calculated price of component varieties is weighted by the closing price of the listed contract on the same day and the position index. In order to ensure the representativeness of the index, the CSI Commodity Futures Composite Index has set the upper and lower weights of 20% and 2%, that is, the upper weight limit of each variety does not exceed 20%, and the lower weight limit does not exceed 2%.
In the process of index calculation, the divisor correction method is used to correct the index point changes caused by non-price factors, including but not limited to adjusting the weight regularly every year, listing new varieties and delisting old varieties. New varieties can enter the index one year after listing. If the listing date of new varieties is between the first trading day of 10 and the first trading day of the following year 1 0 (including two days), new varieties will enter the index synchronously with regular adjustment. Old varieties will immediately turn to the corresponding index on the day of delisting.