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Tag Archives: dynamic roll

Jun 9, 2021

Getting Dynamic with Commodities – Part 1

Launched just over 10 years ago, the S&P GSCI Dynamic Roll was the first dynamically rolling commodity futures index to be offered by a major index provider. What does it mean to dynamically roll? Exhibit 1 describes the process in detail. Employing a flexible monthly futures contract rolling strategy, the S&P GSCI Dynamic Roll is…

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Jul 23, 2018

Exploring Commodity Equity and Futures

In April 2017, S&P Dow Jones Indices launched the S&P GSCI Dynamic Roll Reduced Energy 70/30 Futures/Equity Blend. This index is designed to measure the performance of a multi-asset allocation strategy that consists of a futures-based commodities index and an equity index that is based on various commodity-related GICS® subsectors. The futures portion is represented…

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Jul 12, 2013

Ready to Roll or Need to Weight?

In the past few years a number of indices have been launched with a goal of minimizing the impact of contango.  The first indices launched with this goal were the simple (1-5 month) forward indices and the relatively static S&P GSCI Enhanced. In the time period from Aug 2004-May 2011, mentioned in my prior post, these…

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