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Title:Roll related return in the S&P GSCI Excess Return Index
Author(s):Hu, Di
Advisor(s):Peterson, Paul E.; Irwin, Scott H.; Garcia, Philip
Department / Program:Agr & Consumer Economics
Discipline:Agricultural & Applied Econ
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):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
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.
Issue Date:2014-09-16
Rights Information:Copyright 2014 Di Hu
Date Available in IDEALS:2014-09-16
Date Deposited:2014-08

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