Tag Archives: dynamic roll
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…
- Categories Commodities
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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…
- Categories Commodities
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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…
- Categories Commodities, Strategy
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- Commodities, Strategy
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