The S&P GSCI (formerly the Goldman Sachs Commodity Index) now calculated & published by S&P Dow

Jones serves as a benchmark for investment in the commodity markets and as a measure of commodity performance over time. It is a tradable index, traded on Chicago Mercantile Exchange. The index was originally developed by Goldman Sachs. In 2007, ownership transferred to Standard & Poors, who currently own and publish it. The index contains a much higher exposure to energy The index currently comprises 24 commodities from all commodity sectors o energy products o Industrial metals, o agricultural products, o livestock products o Precious metals. Diversity mutes the impact of highly idiosyncratic events, which have large implications for the individual commodity markets, but are minimised when aggregated to the level of the S&P GSCI. When industrialised economies dominate world growth, the metals sector of the GSCI generally responds more than the agricultural components. Conversely, when emerging markets dominate world growth, petroleum-based commodities and agricultural commodities tend to be more responsive.

GSCI Roll

Basically a long orientation Fund which requires the traders to go long on the nearby (the first nearby market) future and when they near expiration they are required to short them & simultaneously long the future contracts that are further from expiration (the second nearby basket). The rolling forward of the underlying futures contracts in the excess return index portfolio occurs once each month, on the fifth through ninth business days (the roll period). Concept: Rolling from one basket of nearby futures (the first nearby basket) to a basket of futures contracts that are further from expiration (the second nearby basket). The concept requires the above mentioned action to be followed in the following manner. The portfolio is shifted from the first to the second nearby baskets at a rate of 20% per day for the five days of the roll period. At the end of the fifth business day, the portfolio is adjusted so that 20% of the contracts held are in the second nearby basket (i.e. a basket of future contracts that are farther from maturity), with 80% remaining the first nearby basket. The process continues on the sixth day leaving relative weight of first to second nearby baskets of 60% to 40 % The process continues on the seventh day leaving relative weight of first to second nearby baskets of 40% to 60 % The process continues on the eighth day leaving relative weight of first to second nearby baskets of 20% to 80 % The process ends on the ninth day leaving the second nearby baskets with us.