About S&P GSCI Futures

S&P GSCI™ futures offer investors an opportunity for portfolio diversification and exposure to real assets in the commodities markets.

The underlying Goldman Sachs Commodity Index® is a composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures broadly diversified across the spectrum of commodities.

Product diversification minimizes the effects of highly characteristic events, which may have large implications for the individual commodity markets, but are muted when aggregated to the level of the GSCI. Individual components qualify for inclusion in the GSCI on the basis of liquidity and are weighted by their respective world production quantities.

Many of these commodities, such as those in the energy and industrial metals sectors, have liquid futures that expire each month. Therefore, these commodities are rolled forward every month. Other commodities, like agricultural and livestock products, only have a few contracts each year that trade with sufficient liquidity. Since these commodities expire less frequently, they roll forward less frequently.

The roll period occurs each month from the 5th through the 9th business days. An easy way to look at the process is as rolling from the first basket of nearby futures to a second basket of futures contracts that are further from expiration. The portfolio is shifted from the first to second nearby basket at a rate of 20% per day for the five days in the roll period.

The S&P GSCI contract size is $250 times the Goldman Sachs Commodity Index. The S&P GSCI moves in .05 increments, or$12.50. CME GSCI futures list in all 12 calendar months.