S&P Dow Jones launches two soybean indexes to GSCI Dynamic Roll family

By Tali David

Minneapolis, Oct. 1 - S&P Dow Jones Indices LLC announced the launch of the S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll, expanding its S&P GSCI Dynamic Roll family, according to a press release.

These indexes are designed to alleviate negative roll yield from contango while aiming to minimize turnover, the release said.

The indexes follow the S&P GSCI Dynamic Roll methodology, which uses a two-part process to determine the optimal futures contract to be held every month.

After contracts pass a liquidity screen for inclusion, the first step is to measure which of those contracts has the highest implied roll yield, indicating the least contango or most backwardation. The second step is to check whether the incumbent contract has a high enough implied roll yield rank to continue to be held, aiming to minimize turnover.

"The S&P GSCI Soybean Meal Dynamic Roll and S&P GSCI Soybean Oil Dynamic Roll aim to lower the cost of contango and turnover by conditionally selecting the optimal contracts," S&P Dow Jones vice president Jodie Gunzberg said in the release. "The indices achieve this by considering the shape of the curve every month to be flexible to meet the changing market conditions of today."

S&P Dow Jones is part of New York-based McGraw-Hill Cos., a resource for index-based concepts, data and research.

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