The sub-indices include:
- Brent Crude Oil,
- Heating Oil,
- Natural Gas,
- Chicago Wheat,
- Lean Hogs and
- Live Cattle.
According to S&P, these sub-indices are designed to alleviate the impact of negative roll returns – a situation that occurs when the price of the commodity’s futures contract is higher than its spot price.
Standard & Poor’s also announced that it has licensed BNP Paribas to track the S&P GSCI Enhanced sub-indices. According to the announcement, BNP Paribas is the Euro-zone’s leading bank in terms of deposits, and a global-scale European leader in financial services.
The S&P GSCI Enhanced Index is calculated on a basis similar to that of the S&P GSCI, with modifications made in order to apply certain dynamic, timing, and seasonal rolling rules. Dynamic rolling rules are designed to yield enhanced returns when the WTI Crude Oil and Brent Crude Oil futures markets demonstrate wide contango conditions. Contract roll schedules are seasonally altered for Heating Oil, Natural Gas, Chicago Wheat, Corn, Lean Hogs, and Live Cattle to alleviate potential rolling expenses and to reflect the seasonal demand for the commodities.
“With this launch, S&P Indices now offers all of the commodities with enhanced roll schedules from the S&P GSCI Enhanced Index as stand alone mono-indices,” says Michael McGlone, Senior Director of Commodity Indexing at S&P Indices, in the release. “The solid performance and robust methodology of the S&P GSCI Enhanced Index is certainly attracting attention.”
More information on the S&P GSCI is available at http://www.spgsci.standardandpoors.com.