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Sources of Roll-Related Returns in the S&P GSCI Excess Return Index

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  • Hu, Di
  • Peterson, Paul E.

Abstract

Standard & Poor’s Goldman Sachs Commodity Index (S&P GSCI) is the largest tradable commodity index fund in the world with more than $80 billion in S&P GSCI-related investments. Investors have been led to believe that investing in the S&P GSCI during periods of rising commodity prices will be profitable. However, the return performance of the S&P GSCI rarely equals the price change of its underlying spot commodities over the long run. This paper examines the historical excess returns of S&P GSCI futures holdings from 2007 to 2013, duplicating the official S&P GSCI trading methods, and finds that S&P GSCI excess returns differ from returns on corresponding investments in commodity futures due to the interaction between term structure effects and futures returns.

Suggested Citation

  • Hu, Di & Peterson, Paul E., 2014. "Sources of Roll-Related Returns in the S&P GSCI Excess Return Index," 2014 Conference, April 21-22, 2014, St. Louis, Missouri 285814, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13414:285814
    DOI: 10.22004/ag.econ.285814
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    References listed on IDEAS

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    1. Claude B. Erb & Campbell R. Harvey, 2015. "The Strategic and Tactical Value of Commodity Futures," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 6, pages 125-178, World Scientific Publishing Co. Pte. Ltd..
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