S&P GSCI Risk Weight Methodology Supplement
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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
4 S&P Dow Jones Indces Contact Informaton Clent Servces S&P Dow Jones Indces: S&P GSCI Rsk Weght Methodology Supplement 3
5 Dsclamer Copyrght 2017 S&P Dow Jones Indces LLC, a dvson of S&P Global. All rghts reserved. STANDARD & POOR S, S&P, SPDR, S&P 500, S&P EUROPE 350, S&P 100, S&P 1000, S&P COMPOSITE 1500, S&P MIDCAP 400, S&P SMALLCAP 600, GIVI, GLOBAL TITANS, S&P RISK CONTROL INDICES, S&P GLOBAL THEMATIC INDICES, S&P TARGET DATE INDICES, S&P TARGET RISK INDICES, DIVIDEND ARISTOCRATS, STARS, GICS, HOUSINGVIEWS, INDEX ALERT, INDEXOLOGY, MARKET ATTRIBUTES, PRACTICE ESSENTIALS, S&P HEALTHCARE MONITOR, SPICE, and SPIVA are regstered trademarks of Standard & Poor s Fnancal Servces LLC, a dvson of S&P Global ( S&P ). DOW JONES, DJ, DJIA and DOW JONES INDUSTRIAL AVERAGE are regstered trademarks of Dow Jones Trademark Holdngs LLC ( Dow Jones ). These trademarks together wth others have been lcensed to S&P Dow Jones Indces LLC. Redstrbuton, reproducton and/or photocopyng n whole or n part are prohbted wthout wrtten permsson. Ths document does not consttute an offer of servces n jursdctons where S&P Dow Jones Indces LLC, Dow Jones, S&P or ther respectve afflates (collectvely S&P Dow Jones Indces ) do not have the necessary lcenses. All nformaton provded by S&P Dow Jones Indces s mpersonal and not talored to the needs of any person, entty or group of persons. S&P Dow Jones Indces receves compensaton n connecton wth lcensng ts ndces to thrd partes. Past performance of an ndex s not a guarantee of future results. It s not possble to nvest drectly n an ndex. Exposure to an asset class represented by an ndex s avalable through nvestable nstruments based on that ndex. S&P Dow Jones Indces does not sponsor, endorse, sell, promote or manage any nvestment fund or other nvestment vehcle that s offered by thrd partes and that seeks to provde an nvestment return based on the performance of any ndex. S&P Dow Jones Indces makes no assurance that nvestment products based on the ndex wll accurately track ndex performance or provde postve nvestment returns. S&P Dow Jones Indces LLC s not an nvestment advsor, and S&P Dow Jones Indces makes no representaton regardng the advsablty of nvestng n any such nvestment fund or other nvestment vehcle. A decson to nvest n any such nvestment fund or other nvestment vehcle should not be made n relance on any of the statements set forth n ths document. Prospectve nvestors are advsed to make an nvestment n any such fund or other vehcle only after carefully consderng the rsks assocated wth nvestng n such funds, as detaled n an offerng memorandum or smlar document that s prepared by or on behalf of the ssuer of the nvestment fund or other nvestment product or vehcle. S&P Dow Jones Indces LLC s not a tax advsor. A tax advsor should be consulted to evaluate the mpact of any tax-exempt securtes on portfolos and the tax consequences of makng any partcular nvestment decson. Incluson of a securty wthn an ndex s not a recommendaton by S&P Dow Jones Indces to buy, sell, or hold such securty, nor s t consdered to be nvestment advce. These materals have been prepared solely for nformatonal purposes based upon nformaton generally avalable to the publc and from sources beleved to be relable. No content contaned n these materals (ncludng ndex data, ratngs, credt-related analyses and data, research, valuatons, model, software or other applcaton or output therefrom) or any part thereof ( Content ) may be modfed, reverseengneered, reproduced or dstrbuted n any form or by any means, or stored n a database or retreval system, wthout the pror wrtten permsson of S&P Dow Jones Indces. The Content shall not be used for any unlawful or unauthorzed purposes. S&P Dow Jones Indces and ts thrd-party data provders and lcensors (collectvely S&P Dow Jones Indces Partes ) do not guarantee the accuracy, completeness, tmelness or avalablty of the Content. S&P Dow Jones Indces Partes are not responsble for any errors or omssons, regardless of the cause, for the results obtaned from the use of the Content. THE CONTENT IS PROVIDED ON AN AS IS BASIS. S&P DOW JONES INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY S&P Dow Jones Indces: S&P GSCI Rsk Weght Methodology Supplement 4
6 SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Dow Jones Indces Partes be lable to any party for any drect, ndrect, ncdental, exemplary, compensatory, puntve, specal or consequental damages, costs, expenses, legal fees, or losses (ncludng, wthout lmtaton, lost ncome or lost profts and opportunty costs) n connecton wth any use of the Content even f advsed of the possblty of such damages. S&P Global keeps certan actvtes of ts varous dvsons and busness unts separate from each other n order to preserve the ndependence and objectvty of ther respectve actvtes. As a result, certan dvsons and busness unts of S&P Global may have nformaton that s not avalable to other busness unts. S&P Global has establshed polces and procedures to mantan the confdentalty of certan nonpublc nformaton receved n connecton wth each analytcal process. In addton, S&P Dow Jones Indces provdes a wde range of servces to, or relatng to, many organzatons, ncludng ssuers of securtes, nvestment advsers, broker-dealers, nvestment banks, other fnancal nsttutons and fnancal ntermedares, and accordngly may receve fees or other economc benefts from those organzatons, ncludng organzatons whose securtes or servces they may recommend, rate, nclude n model portfolos, evaluate or otherwse address. S&P Dow Jones Indces: S&P GSCI Rsk Weght Methodology Supplement 5
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