Description

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. 


Characteristics


Constituents

Top 10 Constituents by Index Weight

Full Constituents ListFull Constituents List
  • Constituent
  • Symbol
  • Sector*


Sector Breakdown

Sector
Index Weight


Maturity Breakdown

Maturity Range
Index Weight


Rating Breakdown

Rating
Index Weight



CONTENT TYPE
DATES
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