S&P Dow Jones launches S&P GSCI Dynamic Roll Capped Component 35/20

By Tali David

Minneapolis, July 18 - S&P Dow Jones Indices LLC has launched the S&P GSCI Dynamic Roll Capped Component 35/20, according to a press release.

The index reflects the total return available through an unleveraged investment containing the specific commodity futures contracts of the S&P GSCI Dynamic Roll and is calculated using the same rules, but it is modified to apply the Capped Component 35/20 rules for capping according to the ESMA guidelines on UCITS issues.

According to the release, the index combines dynamically rolling commodity futures with a capped component weighting scheme. The roll method is designed to meet the demands of investors seeking to alleviate the negative impacts of contango and turnover to potentially limit volatility exposure to the commodity market.

"The S&P GSCI Dynamic Roll Capped Component 35/20 uses a flexible monthly futures contract rolling strategy in order to determine the new futures contract months for the underlying commodities," vice president Jodie Gunzberg said in the release.

"While the S&P GSCI roll schedule is limited to the most liquid nearby contract months, the S&P GSCI Dynamic Roll Capped Component 35/20 matrix uses a systematic methodology to search for the optimal contract months along the curve, choosing from a set of the most liquid for a given commodity."

S&P Dow Jones is part of New York-based McGraw-Hill Financial, a benchmarks, content and analytics company serving the capital and commodity markets.

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