Roll related return in the S&P GSCI Excess Return Index

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.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Agricultural & Applied Econ

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Hu, Di

Contributors dc:contributor

• Peterson, Paul E.
• Irwin, Scott H.
• Garcia, Philip

• 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

Statement dc:rights

• Copyright 2014 Di Hu

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/50574

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/50574