NEW YORK, July 18, 2013 /PRNewswire/ -- S&P Dow Jones Indices announced today the launch of the S&P GSCI ® Dynamic Roll Capped Component 35/20 reflecting the total return available through an unleveraged investment in the specific commodities of the S&P GSCI Dynamic Roll while employing the S&P Capped Component 35/20 methodology. The Index contains the specific commodity futures contracts of the S&P GSCI Dynamic Roll and is calculated using the rules of the S&P GSCI Dynamic Roll, but modified to apply the Capped Component 35/20 rules for capping according to the ESMA guidelines on UCITS issues.
The Index combines dynamically rolling commodity futures with a capped component weighting scheme. The roll method is designed to meet the demands of investors seeking to alleviate the negative impacts of contango and turnover to potentially limit volatility exposure to the commodity market.
"The S&P GSCI Dynamic Roll Capped Component 35/20 uses a flexible monthly futures contract rolling strategy in order to determine the new futures contract months for the underlying commodities," says Jodie Gunzberg, Vice President at S&P Dow Jones Indices. "While the S&P GSCI roll schedule is limited to the most liquid nearby contract months, the S&P GSCI Dynamic Roll Capped Component 35/20 matrix uses a systematic methodology to search for the optimal contract months along the curve, choosing from a set of the most liquid for a given commodity."
The S&P GSCI Dynamic Roll Capped Component 35/20 follows the ESMA guidelines for UCITS issues while maintaining the continuity and proportion to the S&P GSCI component weights. The rules are that only one component can reach a maximum weight of 35%. Any excess weight is distributed proportionately among the remaining components. Once this is implemented, no remaining component's weight can exceed 20% and any excess weight is distributed proportionately among the remaining components.
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