S&P Dow Jones Indices launches forward versions of S&P GSCI indexes

By Toni Weeks

San Luis Obispo, Calif., Feb. 28 - S&P Dow Jones Indices announced that it has launched forward versions of the S&P GSCI and S&P GSCI Single Capped Commodities indexes.

According to a press release, the new indexes are forward six- and 12-month versions of the S&P GSCI and forward three-, six- and 12-month versions of the single commodities index.

Each of the indexes is designed to measure commodity markets while seeking to reduce negative roll yield in times of contango. The six- and 12-month forward versions of the S&P GSCI measure the S&P GSCI spot, excess return and total return indexes based on the first nearby contract expiration included in the index moved six and 12 months, respectively, from the present date.

Each S&P GSCI Forward Single Capped Component index is designed to have a 32% weight in one commodity with the remaining 68% equally distributed among the other commodities.

"The S&P GSCI Forward Single Capped Component indexes all market participants to accentuate single commodities across various expirations while remaining well diversified," Jode Gunzberg, vice president at S&P Dow Jones Indices, said in the release.

"The addition of later-dated contract indexes to the existing S&P GSCI Single Capped Component and S&P GSCI Forward families improves the ability to convey views across the term structure."

According to the release, the S&P GSCI is the first major investible commodity index and includes 24 commodities that form 18 components, of which three - petroleum, wheat and cattle - include more than one commodity.

The S&P GSCI Single Commodities indexes apply capped component rules that are intended to mirror those found in section XIII, 50 of the ESMA guidelines on UCITS issues from Dec. 18, 2012.

S&P Dow Jones Indices LLC, a part of New York-based McGraw Hill Financial, provides index-based concepts, data and research.

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