NEW YORK, July 10, 2013 /PRNewswire/ -- S&P Dow Jones Indices announced today the launch of the S&P GSCI® Roll Weight Select, which aims to reduce the negative impact of contango by modifying the weights of the commodities according to the relative change in the realized roll yield for each commodity in the index. The Index is designed to maintain maximum liquidity by including only the most liquid front month contracts and only the 14 most liquid commodities representing each sector, according to the rules of the S&P GSCI Equal Weight Select.

The change in realized roll yield is a new index measure that is used to weight the commodities in the S&P GSCI Roll Weight Select. For each commodity, the measure itself is the difference of monthly returns (between the excess return and price return) of the current month single commodity index subtracted from the difference of monthly returns (between the excess return and price return) of the one month forward for each single commodity index.

"The S&P GSCI Roll Weight Select is designed to preserve beta while maintaining liquidity," says Jodie Gunzberg, Vice President at S&P Dow Jones Indices. "The Index uses an innovative technique to measure the gradient of a single commodity index in order to weight the commodities to reflect the shape of a curve."

The launch of the S&P GSCI Roll Weight Select expands the S&P GSCI 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. 

For more information, please visit www.spdji.com/index-family/commodities/sp-gsci.

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S&P Dow Jones Indices LLC, a part of McGraw Hill Financial, is the world's largest, global resource for index-based concepts, data and research. Home to iconic financial market indicators, such as the S&P 500® and the Dow Jones Industrial Average^TM, S&P Dow Jones Indices LLC has over 115 years of experience constructing innovative and transparent solutions that fulfill the needs of investors. More assets are invested in products based upon our indices than any other provider in the world. With over 830,000 indices covering a wide range of asset classes across the globe, S&P Dow Jones Indices LLC defines the way investors measure and trade the markets. To learn more about our company, please visit www.spdji.com. 

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SOURCE S&P Dow Jones Indices