Passive Portfolios

By design, the S&P GSCI™ reflects a passive portfolio of long positions in futures. However, unlike a passive equity portfolio, a passive futures portfolio requires regular transactions, for the simple reason that futures expire. Thus, the futures portfolio represented by the S&P GSCI™ is, in this way, comparable to a bond portfolio of a specific duration.

In the S&P GSCI's™ case, the maturity of choice is the nearby futures contract (i.e. the contract nearest to expiration). Futures contracts near to expiration are rolled forward (i.e. exchanged for futures contracts with the next applicable expiration date) at the beginning of their expiration months.

Many commodities, such as those in the energy and industrial metals sectors, have liquid futures contracts that expire every month. Therefore, these commodities are rolled forward every month. Other commodities, most notably agricultural and livestock products, have only a few contract months each year that trade with sufficient liquidity. Thus, these commodities, with futures that expire less frequently, roll forward less frequently than every month. Table 13 contains a listing of the expiration months included in the S&P GSCI™ in 2007.

Table 13: Contract Months in the S&P GSCI™ in 2007

Crude Oil	All	Cocoa	Mar, May, Jul, Sep, Dec
Brent Crude Oil	All	Cotton	Mar, May, Jul, Dec
Heating Oil	All	Aluminum	All
GasOil	All	Copper	All
RBOB Gasoline	All	Nickel	All
Natural Gas	All	Zinc	All
Wheat	Mar, May, Jul, Sep, Dec	Lead	All
Kansas Wheat	Mar, May, Jul, Sep, Dec	Lean Hogs	Feb, Apr, Jun, Jul, Aug, Oct, Dec
Corn	Mar, May, Jul, Sep, Dec	Live Cattle	Feb, Apr, Jun, Aug, Oct, Dec
Soybeans	Jan, Mar, May, Jul, Nov	Feeder Cattle	Jan, Mar, Apr, May, Aug, Sep, Oct, Nov
Coffee	Mar, May, Jul, Sep, Dec	Gold	Feb, Apr, Jun, Aug, Dec
Sugar	Mar, May, Jul, Oct	Silver	Mar, May, Jul, Sep, Dec

 

Source: The S&P GSCI™ Index Methodology, 2007