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