Dow Jones-AIG Commodity Index

Dow Jones-AIG Commodity Index - Son Doong Cave, Vietnam
Dow Jones-AIG Commodity Index

According to Raab (2007), the Dow JonesAIG Commodity Index (DJ-AIGCI) uses two-thirds of a dollar-weighted liquidity measure combined with one-third of a dollar-weighted world-production measure to determine which commodities to include in the index. Any commodity that falls below a 0.5% threshold is eliminated from consideration.

Also, the DJ-AIGCI limits weightings for each commodity sector to 33% and rebalances annually. The sector weighting limits are in contrast to the S&P GSCI, which was weighted 70% in energies, as of the spring of 2007.

Like the GSCI, the DJ-AIGCI consists of the same five commodity sectors: energy, industrial metals, agriculture, livestock, and precious metals. The DJ-AIGCI consists of 19 individual commodities while the GSCI includes 24 commodities.

The DJ-AIGCI was launched in 1998. Akey (2007) notes that the unique benefits of the DJ-AIGCI are its emphasis on liquidity for weighting and its diversification rules. As of the end of 2006, there was an estimated US$30 billion tracking the DJ-AIGCI.