Understanding Forward-Month Bloomberg Crude Oil Indices
Summary
The note explains how numbered Bloomberg crude oil indices represent exposure to futures contracts at different points along the Brent or WTI futures curve. The number indicates the contract’s forward position relative to the front month. The example describes a three-month-forward index holding a later-dated contract, then moving to the next contract as the front month advances. This helps distinguish indices that track different maturities rather than treating them as interchangeable crude oil price series.
A second answer adds that some longer-dated commodity indices may roll between later contracts to avoid holding the front month. It also contrasts index families by the types of returns they represent: spot, futures excess return, or total return including collateral. These details are qualified as recollections, and the note does not provide official methodology documents or a complete schedule of roll rules. Index conventions may differ, so users gathering historical data should verify each index’s current construction and return definition before comparing or modeling the series.
Key ideas
- A numbered crude oil index reflects a futures contract farther along the maturity curve.
- As contracts age, an index rolls its exposure to a later-dated futures contract.
- Some longer-dated indices may avoid the front contract by rolling between later maturities.
- Commodity index families can distinguish spot, futures excess return, and collateral-inclusive total return series.
- The descriptions are incomplete and partly tentative, so index methodology should be checked before analysis.
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# Bloomberg Crude Oil Indices # Bloomberg Crude Oil Indices I am trying to gather a time series data for Crude Oil Future prices (both Brent and WTI) to work on a project. I see that the BCOMCO (Brent) and BCOMCL (WTI) indices are constructed from the respective Futures prices with a rollover methodology. I however, am failing to understand the difference between the various numbered indices (for example, the Brent Indices are: BCOMCO, BCOMCO1 (1 month forward), BCOMCO2 (2 month forward), BCOMCO3 (3 month forward), BCOMCO5 (5 month forward) and BCOMCO6 (6 month forward). The Security Description says for all the numbered indices says "composed of longer-dated futures contracts". What is the exact difference between these indices? ## Answer by Quantoisseur (score 2, accepted) https://quant.stackexchange.com/a/60705 WTI and Brent futures have contracts for each month. The number corresponds to the number of contracts forward that the index reflects holding over time. Right now March is the front (1) crude oil contract. For the 3 month forward example, it will be holding the May contract. Then when March stops trading, that May contract will have rolled to the June contract (for the 3 month forward index). ## Answer by demully (score 1) https://quant.stackexchange.com/a/60706 The longer-dated BCOMs, if I recall correctly, just roll from third month into second month (avoiding the front month). I always used to get around this whole subject in my models using the SPGS (ie GSCI) codes, which neatly discriminate between spot price, excess returns, and total returns on the same So SPGSCO/SPGSCL Index were spot WTI/Brent, respectively. Suffix -P gave you excess returns (ie the index rolls) Suffix -TR gave you total returns (ie the cash as collateral to the futures) The BCOM family, if I recall, gave you rolling spot and TR, but not ER. And the rolling methodologies were 99% but not 100% aligned, ie they could actually diverge on crazy stuff like NatGas.
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