Uncategorized
S&P GSCI Dynamic Roll Risk Weight Index
The S&P GSCI Dynamic Roll Risk Weight measures and uses the risk contribution of each commodity sector to the overall index risk by applying a risk parity concept, and then limits the maximum sector weight to 33%. The five sectors in the index are the same as those in the S&P GSCI: energy, industrial metals, precious metals, agriculture, and livestock. The index employs a flexible monthly futures contract rolling strategy.