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S&P Dow Jones Indices announced today the launch of the S&P GSCI® Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll which are designed to alleviate negative roll yield from contango while aiming to minimize turnover.
These Indices follow the S&P GSCI Dynamic Roll methodology which utilizes a two part process to determine the optimal futures contract to be held every month. After contracts pass a liquidity screen for inclusion, the first step is to measure which of those contracts have the highest implied roll yield, indicating the least contango or most backwardation. The second step is to check whether the incumbent contract has a high enough implied roll yield rank to continue to be held, aiming to minimize turnover.
“The S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll aim to lower the cost of contango and turnover by conditionally selecting the optimal contracts,” says Jodie Gunzberg, Vice President at S&P Dow Jones Indices. “The Indices achieve this by considering the shape of the curve every month to be flexible to meet the changing market conditions of today.”
The launch of the S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll expands the S&P GSCI Dynamic Roll family. The S&P GSCI is the first major investible commodity index. It is one of the most widely recognized benchmarks that is broad-based and production weighted to represent the global commodity market beta.
For more information, please visit www.spdji.com/index-family/commodities/sp-gsci.
