S&P Dow Jones Indices Expands its S&P GSCI Dynamic Roll Family
NEW YORK, Oct. 1, 2013
NEW YORK, Oct. 1, 2013 /PRNewswire/ --S&P Dow Jones Indices announced today
the launch of the S&P GSCI® Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil
Dynamic Roll which are designed to alleviate negative roll yield from contango
while aiming to minimize turnover.
These Indices follow the S&P GSCI Dynamic Roll methodology which utilizes a
two part process to determine the optimal futures contract to be held every
month. After contracts pass a liquidity screen for inclusion, the first step
is to measure which of those contracts have the highest implied roll yield,
indicating the least contango or most backwardation. The second step is to
check whether the incumbent contract has a high enough implied roll yield rank
to continue to be held, aiming to minimize turnover.
"The S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll
aim to lower the cost of contango and turnover by conditionally selecting the
optimal contracts," says Jodie Gunzberg, Vice President at S&P Dow Jones
Indices. "The Indices achieve this by considering the shape of the curve every
month to be flexible to meet the changing market conditions of today."
The launch of the S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil
Dynamic Roll expands the S&P GSCI Dynamic Roll family. The S&P GSCI is the
first major investible commodity index. It is one of the most widely
recognized benchmarks that is broad-based and production weighted to represent
the global commodity market beta.
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SOURCE S&P Dow Jones Indices
Contact: David R. Guarino, Communications, S&P Dow Jones Indices, (+1) 212 438
1471, email@example.com; Soogyung Cho, Communications, S&P Dow Jones
Indices, (+1) 212 438 2297, firstname.lastname@example.org
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