S&P GSCI
The S & P GSCI (formerly the Goldman Sachs Commodity Index, GSCI ) is a commodities index that includes 24 different futures, which are traded on commodity futures exchanges. He was first calculated in 1991 by Goldman Sachs and adopted by Standard & Poor's in 2007.
Concept
The S & P GSCI includes 24 different commodities, which are weighted according to the value of their annual production volume with current prices to each other. According to the price changes, the weight of the raw material in the index changes. Underlying Down here is the average of the last five years.
As of each commodity index is also available from the S & P GSCI Spot a Return Index, an excess return index and a total return index.
By referring to the nearest Future and regular roles, the second and third variation of the index can be replicated and are investable. The futures are rolled according to a fixed scheme monthly. The index adjustment is done annually. This so-called rebalancing will be discreetly carried out using a procedure by an investment committee.
Consideration is given exclusively futures contracts that have a sufficiently high liquidity, which are quoted in U.S. dollars and listed in a member country of the OECD. In addition, the contracts must be at least 1.0 percent of total sales of the commodities in the index. The minimum size prevents fragmentation on too many individual items. A raw material is removed when its weight falls below 0.1 percent.
The S & P GSCI is considered as an indicator for the future development of inflation or the cost of development in the industry. He is at a turning point in the commodities market is a good leading indicator for the bond market, as raw materials in their tendency towards the bonds generally have a lead time of three to six months. Between the interest on the bonds and commodity prices, there is also a close temporal connection.
Correlations of the S & P GSCI dollars with the geometrically weighted U.S. dollar index and the trade-weighted index Trade Weighted U.S. are recognizable. A falling U.S. dollar is equivalent to inflationary tendencies and tend to rising commodity prices. This is especially true for agricultural commodities and the price of oil.
Composition
The following overview shows the raw materials, their weightings in the index and the exchange on which the futures are traded (as of 31 December 2010).
History
Historical Overview
The Spot Return Index was launched on 8 January 1991 under the name of Goldman Sachs Commodity Index ( GSCI ). The return statement was until 2 January 1970 to a base value of 100 points.
Until 1980, the GSCI rose mathematically to a record of 299.71 points. During the recession of the early 1980s, the index lost value. In 1986, the low was lower than in 1980 at 144.33 points, up by 51.8 percent. According to an interim high on 6 January 1997 at 231.82 points on the commodity index fell during the Asian crisis until 21 December 1998 to a low of 127, 94 points. Since the peak in 1997, this represents a decrease of 44.8 percent.
In the following years, the index was due to a huge demand for raw materials in the People's Republic of China and India sharply. On 11 May 2006 the GSCI overcame the first time the limit of 500 points. On 3 July 2008 an all-time high was marked in the course of trading with 893.85 points. Since the low of 1998 corresponds to an increase of 598.6 percent.
On February 2, 2007 Standard & Poor's took over the calculation of the index. To reflect this change, the Goldman Sachs Commodity Index was renamed the S & P GSCI.
In the course of the international financial crisis in the U.S. subprime crisis had its origins in 2007, the index began to decline. 2008, the financial crisis had an increasing impact on the real economy. Due to a decline in global demand in the commodity markets were held, primarily from the beginning of the fourth quarter of 2008 strong price declines. On 19 February 2009, the S & P GSCI during trading fell by 305.58 points to its lowest level since 2005. Since the all time high of July 2008, this represents a decrease of 65.8 percent. That is the biggest downfall in the history of the index. The February 19, 2009 marked the end of the descent. From the beginning of 2009, the commodity index was back on the way up.
On 11 April 2011 the index rose during trading at 762.22 points. The February 2009, an increase of 149.4 percent. Was particularly strong rise in the prices of agricultural commodities. Especially meat, cereals, sugar and oils and fats prices rose since mid-2010. Reasons several factors are called (rising world population, growing money supply, speculation on agricultural markets, crop losses due to natural disasters, export restrictions in some countries ). Consequences of high commodity prices are rising inflation and the outbreak of unrest in parts of the world.
Annual development
The table shows the annual high, low and closing levels of the S & P GSCI Spot Return Index. This index can not be reproduced for any actual investment because of its calculation method.
¹ December 31, 2012