The index is constructed using specific CME Group Rolling Futures Indices as its underlying reference assets.

To mirror economic reality, the index framework relies on a transparent, volume-weighted approach governed by three main operational pillars, including:

1. Liquidity-driven weighting and selection

The selection and weighting of futures inputs is determined by the average daily dollar volume calculated for each asset over an annual assessment window (November to November). Liquidity thresholds are applied to ensuring that the final index composition is strictly aligned with genuine market liquidity while minimizing unnecessary portfolio turnover.

2. Diversification and concentration limits

To maintain long-term structural stability and prevent the over-concentration of specific assets or sub-sectors, the Index includes weight caps and floors at both the individual asset and broader product group levels. Any residual weight resulting from these concentration constraints is systematically redistributed across the remaining uncapped components.

3. Systematic unit-Based rebalancing

The index employs a unit-based calculation methodology, assigning a specific number of units to each component contract. During the annual roll, these unit quantities are updated to align with the new target weights for the coming year. This rebalancing process is executed over a four- or five-business-day period, commencing on the sixth business day of January. Over this window, the weights of each component are incrementally adjusted daily to match the new targets (originally in late November) ensuring continuous, reliable asset exposure with minimal market impact.

The appendix details the calculation formulae used to calculate the CME Group Agriculture Index.

A rolling futures index represents the performance of a continuous rolling investment in an underlying futures contract. 

Agricultural futures are characterized by distinct listing cycles reflecting the crop year or production process of each underlying commodity. Table 2 below provides an overview of the futures contract months used in the Rolling Futures calculation on the first trade date of each calendar month. 

Corn futures, for example, are listed for expiration only in March, May, July, September and December. The December contract serves as the "new crop" instrument because it represents the first grain delivered after the autumn harvest. The CME Group Rolling Futures Indices methodology accounts for nuance across products, ensuring that underlying instruments contribute appropriate pricing with adequate liquidity. 

The transition between successive contract months is managed through a systematic roll process, executed from the sixth business day of each designated rolling month. This five-day rolling window (four days for some products) is designed to maintain continuous asset exposure while effectively mitigating market impact. Additional details on the rolling mechanism and contract selection are available within the CME Group Rolling Futures Indices methodology documentation.

On a given day t, the index value is calculated as per the below formula:

• If t=0:

• If day t is not a roll day, for each i:

• Otherwise: