CoachA commodity index is a published rule for a basket of commodity futures positions (which contracts, in what weights, rolled when), whose total or excess return investors track through swaps, funds and notes. Its roll window is the set of days, fixed by the rule, on which the index sells the expiring contracts and buys the next ones, in equal parts each day.
Quantitative Finance · Glossário
O que é Commodity index, roll window?
Também chamado de: commodity index · roll window