Standard & Poor’s (S&P) has launched a new dynamic roll index. The S&P GSCI Dynamic Roll Index, which is an enhanced version of S&P GSCI, has been licensed to BNP Paribus to serve as the basis for BNP Paribus investment products based upon the index.
The index aims to roll into the optimal area of the futures curve to provide superior overall returns in times of contango, a situation in the futures market where prices for future delivery are higher than prices for immediate (or nearer) delivery. The index is designed for investors seeking long only exposure to the commodity market but with the desire to reduce the potential negative impact of contango on roll returns.
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