S&P GSCI Dynamic Roll Capped Component 35/20 Launched by S&P Dow Jones Indices
PR Newswire
NEW YORK

 

NEW YORK, July 18, 2013 /PRNewswire/ -- S&P Dow Jones Indices announced today the launch of the S&P GSCI® Dynamic Roll Capped Component 35/20 reflecting the total return available through an unleveraged investment in the specific commodities of the S&P GSCI Dynamic Roll while employing the S&P Capped Component 35/20 methodology. The Index contains the specific commodity futures contracts of the S&P GSCI Dynamic Roll and is calculated using the rules of the S&P GSCI Dynamic Roll, but modified to apply the Capped Component 35/20 rules for capping according to the ESMA guidelines on UCITS issues.

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," says Jodie Gunzberg, Vice President at S&P Dow Jones Indices. "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."

The S&P GSCI Dynamic Roll Capped Component 35/20 follows the ESMA guidelines for UCITS issues while maintaining the continuity and proportion to the S&P GSCI component weights. The rules are that only one component can reach a maximum weight of 35%. Any excess weight is distributed proportionately among the remaining components. Once this is implemented, no remaining component's weight can exceed 20% and any excess weight is distributed proportionately among the remaining components.

The launch of the S&P GSCI Dynamic Roll Capped Component 35/20 follows the launch of the S&P GSCI Roll Weight Select. 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.

About S&P Dow Jones Indices
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, 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