Tag Archives: dynamic roll

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 Read more […]

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 Read more […]