NEW YORK, Oct. 1, 2013 /PRNewswire/ -- S&P Dow Jones Indices announced today the launch of the S&P GSCI® Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll which are designed to alleviate negative roll yield from contango while aiming to minimize turnover.
These Indices follow the S&P GSCI Dynamic Roll methodology which utilizes a two part process to determine the optimal futures contract to be held every month. After contracts pass a liquidity screen for inclusion, the first step is to measure which of those contracts have the highest implied roll yield, indicating the least contango or most backwardation. The second step is to check whether the incumbent contract has a high enough implied roll yield rank to continue to be held, aiming to minimize turnover.
"The S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll aim to lower the cost of contango and turnover by conditionally selecting the optimal contracts," says Jodie Gunzberg, Vice President at S&P Dow Jones Indices. "The Indices achieve this by considering the shape of the curve every month to be flexible to meet the changing market conditions of today."
The launch of the S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll expands the S&P GSCI Dynamic Roll 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.spdji.com/index-family/commodities/sp-gsci. About S&P Dow Jones IndicesS&P Dow Jones Indices LLC, a part of McGraw Hill Financial, 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 TM, S&P Dow Jones Indices LLC has over 115 years of experience constructing innovative and transparent solutions that fulfill the needs of 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 and S&P are registered trademarks of Standard & Poor's Financial Services LLC, a part of McGraw Hill Financial. 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