S&P-GSCI Excess Return Index

S&P-GSCI Excess Return Commodity Index futures provide a way to trade the GSCI Spot Index returns plus any excess returns generated by "rolling" the contract’s hypothetical positions forward to the nearby futures contract.

Things to Know:

• Contracts trade solely electronically on the CME Globex platform,
  • Virtually around the clock, around the world
  • Complete price transparency and anonymity
• CME Clearing matches and settles all trades and guarantees counterparty creditworthiness
• The GSCI Total Return index represents the returns of the GSCI Excess Return index, plus the interest earned on the hypothetical, fully collateralized contract positions on the commodities included in the GSCI.
• About the roll period:
  • The rolling forward of the portfolio's underlying futures contracts that are approaching expiration occurs once a month, on the 5th through 9th business days (the "roll period").
  • The simplest way to think of the process is as rolling from one basket of nearby futures (the first nearby basket) to a basket of futures contracts next furthest from expiration (the second nearby basket), incrementally over a five-day period.
  • The GSCI portfolio is calculated as though these rolls occur at the end of each day during the roll period, at the daily settlement prices.
  • The portfolio is shifted from the first to the second nearby baskets at a rate of 20% per day for the five days of the roll period.
  • During the first four business days of the month and just before the end of the 5th business day, the entire GSCI portfolio consists of the first nearby basket of commodity futures.
  • At the end of the 5th business day, the portfolio is adjusted so that 20% of the contracts held are in the second nearby basket (i.e., a basket of futures contracts that are next farthest from maturity), with 80% remaining in the first nearby basket.
  • The roll process continues on the 6th, 7th, and 8th business days, with relative weights of first to second nearby baskets gradually shifting from 60%/40% weighting, to a 40%/60% weighting, to a 20%/80% weighting. At the end of the 9th business day, the last of the old first nearby basket is exchanged, completing the roll and leaving the entire portfolio in what we have been calling the second nearby basket.
  • At this time, this former second nearby basket becomes the new first nearby basket, and a new second nearby basket is formed for use in the next month's roll.

For more on the underlying index and/or roll and holding periods, please visit the S&P Web site

©2008 CME Group, Inc.