NEW YORK, April 25, 2013 /PRNewswire/ -- S&P Dow Jones Indices announced today the launch of the S&P GSCI Risk Weight which measures the S&P GSCI on a risk weighted basis. The Index takes into account the contribution of each commodity sector to the overall index risk while seeking to minimize the variance of the risk contributions from all of the commodity sectors.
The five sectors in the S&P GSCI Risk Weight - energy, industrial metals, precious metals, agriculture, and livestock - are the same as the sectors in the S&P GSCI. The risk contribution from each sector is calculated using its covariance, as defined by its volatility and correlation with other sectors. In order to avoid concentration risk, the maximum sector weight is capped at 33% and any excess is redistributed to the remaining sectors based on their risk contribution.
"The S&P GSCI Risk Weight allows us to measure the commodities beta provided by the S&P GSCI with a focus on a balanced risk contribution from each sector," says Jodie Gunzberg, Head of Commodity Indices at S&P Dow Jones Indices. "This index facilitates access to broad-based commodities with a modified weighting scheme centered on risk and serves as a benchmark to risk based strategies."
The launch of the S&P GSCI Risk Weight expands the S&P GSCI 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.spindices.com/index-family/commodities/sp-gsci. About S&P Dow Jones Indices S&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 asset 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, S&P and S&P GSCI 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