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Spot return: Represents the basic up-and-down movements in the
price of the underlying commodities. The spot return of the S&P
GSCI-TR is the production-weighted spot return of the underlying
commodity futures.
Roll return: Represents the cost or benefit of rolling the futures positions
forward each month. Whether this is positive or negative for an
individual commodity depends on whether the price for the new contract
is lower (backwardation) or higher (contango) than the old, expiring
contract. The primary purpose of commodity futures markets is to
provide an efficient and effective mechanism for managing the price
risk of the producers and consumers of commodities. Buying or selling
futures contracts establishes a current price level for commodities items
that are to be delivered later, thus eliminating price risk.
The following is an example of how the roll can have a positive
impact on the total return of CCFs. Let’s assume the current spot
rate for crude oil is $75.00 and the one-month forward rate is
$74.50. If the spot rate remains unchanged over the month, the forward
contract will produce a gain of $0.50. If this were repeated
over the course of a year, the roll would produce a positive return of
8 percent. On the other hand, if the one-month forward price were
$75.50, the roll return would be similarly negative.
Collateral return: This represents the interest earned on a collateral
position equal to 100 percent of the dollar face value of the
underlying futures contracts. The GSCI-TR imputes a three-month
Treasury bill return to this collateral position.
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