Standard & Poor’s announced the launch of the S&P GSCI Equal Weight Select Index, and equal-weighted version the industry’s most closely watched commodities index, the S&P GSCI®. The S&P GSCI Equal Weight Select Index in 2010 is comprised of 14 commodities included in the world production weighted S&P GSCI, each equally-weighted on a quarterly basis.
The S&P GSCI Equal Weight Select Index divides the S&P GSCI into six commodity groups from which only the largest and most liquid commodities are selected. In order to ensure maximum diversification and reduce concentration risk, the six commodity groups selected include: Agriculture – Grains and Oilseeds, Agriculture Softs, Energy, Industrial Metals, Livestock, and Precious Metals.
Compared to the S&P GSCI, the S&P GSCI Equal Weight Select Index will tend to have higher exposure to commodities with lower production weights as a result of the equal weighting. The relative performance of the two indices will also differ depending on the size premium in different market cycles. Finally, because there are fewer commodities in the S&P GSCI Equal Weight Select Index than the S&P GSCI, there will be fewer monthly rolls. Source: S&P Press Release
BIIA Newsletter October II – 2010 issue