SPDR Bloomberg Enhanced Roll Yield Commodity Strategy No K-1 ETF (CERY US) – Portfolio Construction Methodology

The underlying Bloomberg Enhanced Roll Yield Total Return Index provides long-only exposure to a diversified basket of commodity futures while systematically tilting toward contracts with more favorable term-structure roll yield. The index selects a defined set of exchange-traded commodity futures and assigns each commodity a target weight derived from a blend of liquidity (three-year average dollar trading volume) and a standardized curve-slope metric, with a parameter λ = 15 scaling the influence of term structure. Single-commodity weights are capped at 15%, commodity groups are capped at 33%, and individual commodities have a minimum weight of 1.5%, subject to feasibility. For each commodity, the index typically holds a strip of nearby contracts chosen along the curve to maximize roll yield, rolling over a set window each month. Target commodity weights are reset annually, while contract selection and rolls are implemented on a regular monthly schedule.

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