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

Di Hu and Paul E. Peterson

No 285814, 2014 Conference, April 21-22, 2014, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

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.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2014-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13414:285814

DOI: 10.22004/ag.econ.285814

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