{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/50574"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/50574","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Roll related return in the S&P GSCI Excess Return Index","abstract":"Standard & Poor’s Goldman Sachs Commodity IndexTM (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. This thesis 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.","abstract_html":"Standard & Poor’s Goldman Sachs Commodity IndexTM (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. This thesis 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.","abstract_has_math":false,"creators":["Hu, Di"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Peterson, Paul E.","Irwin, Scott H.","Garcia, Philip"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014-09-16T17:24:01Z","date_published":"2014-09-16T17:24:01Z","updated_at":"2026-07-22T22:25:40Z","subjects":["Standard & Poor’s Goldman Sachs Commodity Index (S&P GSCI) Spot Index","Standard & Poor’s Goldman Sachs Commodity Index (S&P GSCI) Excess Return (ER) Index","commodity futures","contract replacement","term structure effects"],"languages":["en"],"rights":["Copyright 2014 Di Hu"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/50574","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Peterson, Paul E.","Irwin, Scott H.","Garcia, Philip"]},{"key":"dc:creator","label":"Author","values":["Hu, Di"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2014-09-16T17:24:01Z","2014-08","2014-09-16"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Standard & Poor’s Goldman Sachs Commodity Index (S&P GSCI) Spot Index","Standard & Poor’s Goldman Sachs Commodity Index (S&P GSCI) Excess Return (ER) Index","commodity futures","contract replacement","term structure effects"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2014 Di Hu"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/50574"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Standard & Poor’s Goldman Sachs Commodity IndexTM (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. This thesis 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.","Item withdrawn by Mark Zulauf (zulauf@illinois.edu) on 2014-07-15T18:51:38Z Item was in collections: University of Illinois Theses & Dissertations (ID: 1) No. of bitstreams: 2 Hu_Di.docx: 1914842 bytes, checksum: f62fe8a591237839df21bce9ed2c272f (MD5) Hu_Di.pdf: 1938269 bytes, checksum: 2be085e4278d81586333a901077f44e3 (MD5)","Made available in DSpace on 2014-09-16T17:24:01Z (GMT). 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This thesis 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.","Item withdrawn by Mark Zulauf (zulauf@illinois.edu) on 2014-07-15T18:51:38Z Item was in collections: University of Illinois Theses & Dissertations (ID: 1) No. of bitstreams: 2 Hu_Di.docx: 1914842 bytes, checksum: f62fe8a591237839df21bce9ed2c272f (MD5) Hu_Di.pdf: 1938269 bytes, checksum: 2be085e4278d81586333a901077f44e3 (MD5)","Made available in DSpace on 2014-09-16T17:24:01Z (GMT). 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