iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY US) – Portfolio Construction Methodology

The underlying Bloomberg Roll Select Commodity Total Return Index delivers a broad commodity futures basket using BCOM target sector/commodity weights and a dynamic roll to mitigate contango. For each of 22–24 listed futures (representing ~20–22 commodities), on the fourth business day each month the index selects the contract within nine months to expiry exhibiting the greatest backwardation or least contango; the roll is implemented over the 6th–10th business days. Annual target weights, set each January, reflect production and liquidity while enforcing diversification limits: no commodity group >33% and no single commodity >15% at the annual reweight (weights may drift intra-year). Total return reflects futures price changes plus collateral return. The index is market-value weighted by target commodity allocations and follows the standard BCOM monthly roll and daily calculation rules.

To explore CMDY in more depth, visit our ETF analytics platform for institutional-grade insights — including performance and risk metrics, correlations, sensitivities, and factor exposure: https://www.etfstrategy.com/etf/CMDY_US