NEW YORK, Nov. 19, 2012 /PRNewswire/ -- S&P Dow Jones Indices, the world's largest provider of financial market indices, announced today the launch of the S&P GSCI Dynamic Roll Alpha Light Energy index (the "index") which aims to measure the alpha generated by the flexible rolling strategy of the S&P GSCI Dynamic Roll Light Energy index above the return provided by the traditional, front-month rolling strategy of the S&P GSCI Light Energy index. The index achieves this by simultaneously calculating a long position in the S&P GSCI Dynamic Roll Light Energy index and a short position in the S&P GSCI Light Energy index while adjusting to maintain commodity market neutrality.
"The S&P GSCI Dynamic Roll Alpha Light Energy index will act as a market neutral index for investors looking to capture the alpha of the roll spread generated by the S&P GSCI Dynamic Roll Light Energy index but without commodities beta exposure," says Jodie Gunzberg, Head of Commodity Indices at S&P Dow Jones Indices. "The advantage of using the S&P GSCI Light Energy index as beta is that its exposure to energy is smaller than indices that are purely production weighted, potentially lowering volatility in case of a move against the index."
The index is part of the S&P GSCI family which is widely recognized as a leading measure of commodity price movements and inflation in the world economy.
For more information, please visit www.spindices.com/index-family/commodities/sp-gsci.About S&P Dow Jones IndicesS&P Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the world's largest, global resource for index-based concepts, data and research. Home to iconic financial market indicators, such as the S&P 500 ® and the Dow Jones Industrial Average SM, S&P Dow Jones Indices LLC has over 115 years of experience constructing innovative and transparent solutions that fulfill the needs of institutional and retail investors. More assets are invested in products based upon our indices than any other provider in the world. With over 830,000 indices covering a wide range of assets classes across the globe, S&P Dow Jones Indices LLC defines the way investors measure and trade the markets. To learn more about our company, please visit www.spdji.com. Standard & Poor's and S&P are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"), a subsidiary of The McGraw-Hill Companies, Inc. Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). These trademarks have been licensed to S&P Dow Jones Indices LLC. It is not possible to invest directly in an index. S&P Dow Jones Indices LLC, Dow Jones, S&P and their respective affiliates (collectively "S&P Dow Jones Indices") do not sponsor, endorse, sell, or promote any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices does not have the necessary licenses. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. SOURCE S&P Dow Jones Indices