2026-09-21T20:14:52Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/50574 2023-07-11 col_2142_5131 col_2142_13850 com_2142_5130 com_2142_684 com_2142_397

Peterson, Paul E. Irwin, Scott H. Garcia, Philip Hu, Di 2014-09-16T17:24:01Z 2014-09-16T17:24:01Z 2014-08 2014-09-16 2014-08 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 Item withdrawn by Mark Zulauf (zulauf@illinois.edu) on 2014-07-15T18:51:38Z Item was in collections: University of Illinois Theses & Dissertations (ID: 1) No. of bitstreams: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). No. of bitstreams: 3 Di_Hu.pdf: 1938613 bytes, checksum: 2051107574fe96813ab408ebc9583b2a (MD5) Hu_Di.docx: 1917193 bytes, checksum: f8e842659ebfe3b14c5a3ca7effc009c (MD5) license.txt: 4052 bytes, checksum: 8ac7b808384018e90bc7fc7ec2dffae7 (MD5) http://hdl.handle.net/2142/50574 en Copyright 2014 Di Hu 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 Roll related return in the S&P GSCI Excess Return Index text Agr & Consumer Economics 1470 Agricultural & Applied Econ 5273 University of Illinois at Urbana-Champaign Thesis M.S. MS: Agr & Applied Econ - UIUC 10KS5273MS