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|
|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