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

Hu, Di

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https://hdl.handle.net/2142/50574 Copy

Description

Title

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

Author(s)

Hu, Di

Issue Date

2014-09-16

Director of Research (if dissertation) or Advisor (if thesis)

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

Department of Study

Agr & Consumer Economics

Discipline

Agricultural & Applied Econ

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

M.S.

Degree Level

Thesis

Keyword(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.

Graduation Semester

2014-08

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

Copyright and License Information

Copyright 2014 Di Hu

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