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.
Top 10 Constituents by Index WeightExport
*Based on GICS sectors
The weightings for each sector of the index are rounded to the nearest tenth of a percent, therefore, the aggregate weights for the index may not equal to 100%.
*Based on GICS Sectors