S&P GSCI Risk Weight Methodology Supplement

Transcription

1 S&P GSCI Rsk Weght Methodology Supplement S&P Dow Jones Indces: Index Methodology December 2017

2 S&P GSCI Rsk Weght The S&P GSCI Rsk Weght s an ndex that takes nto account the contrbuton of each commodty sector to the overall ndex rsk n order to avod concentraton n any one sector and buld the most dversfed ndex n terms of ndvdual sector rsk contrbutons. The S&P GSCI Rsk Weght Methodology Supplement Ths methodology supplement uses varous terms from the S&P GSCI Methodology. Where not specfcally noted otherwse n ths document, the rules of the S&P GSCI wll preval. Where the terms n ths document are also defned n the S&P GSCI Methodology, the defntons n ths document preval. Ths methodology supplement was created by S&P Dow Jones Indces to acheve the aforementoned objectve of measurng the underlyng nterest of each ndex governed by ths methodology supplement. Any changes to or devatons from ths methodology supplement are made n the sole judgment and dscreton of S&P Dow Jones Indces so that the ndex contnues to acheve ts objectve. For nformaton on: Qualty Assurance Expert Judgment Internal Revews of Methodology Data Herarchy Calculatons and Prcng Dsruptons Unexpected Exchange Closures Please refer to S&P Dow Jones Indces Commodtes Indces Polces & Practces document located on our Web ste, Weghtng Scheme The am s to determne an allocaton such that the rsk contrbuton from each consttuent sector s balanced, subject to the weght of each consttuent beng postve and ther cumulatve weghts totallng 100%. The fve sectors n the S&P GSCI Rsk Weght are the same as the sectors n the S&P GSCI. The representatve ndces are as follows: S&P GSCI Energy ER S&P GSCI Industral Metals ER S&P GSCI Precous Metals ER S&P GSCI Agrculture ER S&P GSCI Lvestock ER The rsk contrbuton from each sector s calculated usng ts covarance, as defned by ts volatlty and correlaton wth other sectors. Volatlty s defned as the standard devaton of the daly returns of the relevant sector ndex over a one-year perod and correlaton s computed usng daly returns over the same perod. The Sector Weghts are determned monthly on the thrd S&P GSCI Busness Day, defned as two days pror to the S&P GSCI Roll Perod. The ndex s rebalanced durng the monthly fve day S&P GSCI Roll Perod. The S&P GSCI Rsk Weght does not make nherent assumptons about the expected return of commodtes, and the weghtng scheme s based purely on the covarance of the dfferent commodty sectors. S&P Dow Jones Indces: S&P GSCI Rsk Weght Methodology Supplement 1

3 Determnaton of the Rsk Contrbuton from each Commodty Sector. The margnal rsk contrbuton s defned as the change n volatlty of the overall ndex nduced by an nfntesmal ncrease n the weght of that sector. Mathematcally, t can be summarsed as follows: where: σ N PORT MRC = = v j cov( r, rj ) = cov, v j= 1 σ ϖ PORT cov(, ( r r ) PORT = Change n the volatlty of the ndex wth respect to a small change n the weght of sector r ) = Covarance between sector and j r j ( r, ) cov = Covarance between sector and the entre ndex r PORT The rsk contrbuton from each sector s equal to the product of ts weght and ts respectve margnal rsk contrbuton. RC = ϖ MRC Determnaton of Weghts of Indvdual Sectors. The ndvdual sector weghts are solved usng a numercal optmzaton technque, wth the am of mnmzng, as far as possble, the varance of the rsk contrbutons from all of the commodty sectors. The maxmum sector weght s capped at 33%. Any excess over 33% s redstrbuted to the remanng sectors based on ther rsk contrbuton. Determnaton of Weghts of Indvdual Commodtes. Indvdual commodtes wthn a sector are weghted accordng to ther respectve Contract Producton Weghts (CPWs) defned n the most recent S&P GSCI Methodology. The CPWs are updated annually and nsttuted durng the January roll. Rollng Scheme The contract rollng schedule of the ndex follows the roll calendar of the S&P GSCI Methodology, unless otherwse stated. For the S&P GSCI Dynamc Roll Rsk Weght Index, the contract rollng schedule of the ndex follows the dynamc roll contract selecton of the S&P GSCI Dynamc Roll Index. Cappng The rules detaled n the S&P GSCI Capped Component 35/20 Methodology Supplement are mplemented on a quarterly bass. 1 Tckers Index Bloomberg Reuters S&P GSCI Rsk Weght SPGSRW.SPGSRW S&P GSCI Rsk Weght ER SPGSRWP.SPGSRWP S&P GSCI Rsk Weght TR SPGSRWTR.SPGSRWTR S&P GSCI Dynamc Roll Rsk Weght SPGSDRW.SPGSDRW S&P GSCI Dynamc Roll Rsk Weght ER SPGSDRWP.SPGSDRWP S&P GSCI Dynamc Roll Rsk Weght TR SPGSDRWT.SPGSDRWT 1 35/20 s a means of dentfyng a two tered cappng model. It does not connote complance wth any regulatory regme or gudelne. S&P Dow Jones Indces: S&P GSCI Rsk Weght Methodology Supplement 2

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