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
, 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.
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