S&P GSCI
The S & P GSCI (formerly Goldman Sachs Commodity Index, GSCI) is a commodity index , the 24 different futures comprises in commodity futures markets are traded. It was first calculated by Goldman Sachs in 1991 and taken over by Standard & Poor’s in 2007 .
concept
The S&P GSCI comprises 24 different raw materials, which are weighted according to the value of their annual production volume with current prices. The weight of the commodity in the index changes in accordance with the price changes. This is based on the average of the last five years.
As with every commodity index, the S&P GSCI also has a spot return index, an excess return index and a total return index.
By referring to the closest future and regular rolling, the second and third variants of the index can be replicated and are investable. The futures are rolled monthly according to a fixed scheme. The index is adjusted annually. This so-called rebalancing is carried out discreetly with the help of a procedure by an investment committee.
Only futures contracts that have a sufficiently high level of liquidity , are quoted in US dollars and are listed in an OECD member state are considered. In addition, the contracts must amount to at least 1.0 percent of the total turnover of the commodities contained in the index. The minimum size prevents fragmentation into too many individual items. A raw material is removed when its weight falls below 0.1 percent.
The S&P GSCI is an indicator of the future development of inflation or the development of costs in the industry. In the event of a trend reversal on the commodities market , it is a good leading indicator for the bond market , as commodities generally have a lead of three to six months compared to bonds . There is also a close temporal connection between bond interest rates and commodity prices.
Connections between the S&P GSCI and the geometrically weighted US Dollar Index and the trade-weighted Trade Weighted US Dollar Index can be seen. A falling US dollar is synonymous with inflationary tendencies and rising raw material prices. This is especially true for agricultural commodities and the price of oil .
composition
The following overview shows the commodities, their weighting in the index and the exchange on which the futures are traded (as of December 31, 2010).
history
Historical overview
The Spot Return Index started on January 8, 1991 under the name Goldman Sachs Commodity Index (GSCI). The recalculation was done by January 2, 1970 on a base value of 100 points.
By 1980, the GSCI had arithmetically reached a record high of 299.71 points. During the recession in the early 1980s, the index lost value. In 1986 the low was 144.33 points, 51.8 percent lower than in 1980. After an interim high on January 6, 1997 at 231.82 points, the commodity index fell to a low of 127 by December 21, 1998 during the Asian crisis , 94 points. Since the peak in 1997, this corresponds to a decline of 44.8 percent.
In the following years the index rose sharply due to an enormous demand for raw materials in the People's Republic of China and India . On May 11, 2006, the GSCI exceeded the limit of 500 points for the first time. On July 3, 2008, an all-time high of 893.85 points was recorded during trading. Since the low in 1998, this corresponds to an increase of 598.6 percent.
On February 2, 2007, Standard & Poor's took over the calculation of the index. To reflect this change, the Goldman Sachs Commodity Index has been renamed the S&P GSCI .
The index began to decline in the course of the international financial crisis , which began in 2007 with the US housing crisis . In 2008 the financial crisis increasingly affected the real economy. Because of the lower global demand on the raw material markets, prices fell sharply, especially from the beginning of the fourth quarter of 2008. On February 19, 2009, the S&P GSCI fell in the course of trading at 305.58 points, its lowest level since 2005. Since the all-time high of July 2008, this corresponds to a decline of 65.8 percent. This is the biggest fall in the history of the Index. February 19, 2009 marked the end of the downward trend. From the beginning of 2009 the commodities index was on the way up again.
On April 11, 2011, the index rose to 762.22 points during trading. That means an increase of 149.4 percent since February 2009. The price increase for agricultural commodities was particularly strong. Meat, grain, sugar as well as oils and fats in particular have risen in price since mid-2010. Several factors are named as reasons (rising world population , growing money supply , speculation on the agricultural markets, crop failures due to natural disasters , export restrictions in some countries). The consequences of high raw material prices are an increase in inflation and unrest in parts of the world.
Annual development
The table shows the annual high, low and closing levels of the S&P GSCI Spot Return Index. Because of the way it is calculated, this index cannot be replicated for actual investments.
| year | Peak | Lowest point | Final stand |
|---|---|---|---|
| 1991 | 228.35 | 174.43 | 176.92 |
| 1992 | 196.03 | 172.65 | 181.01 |
| 1993 | 191.62 | 161.38 | 163.55 |
| 1994 | 185.01 | 163.41 | 180.76 |
| 1995 | 208.02 | 171.19 | 203.50 |
| 1996 | 229.87 | 182.66 | 215.26 |
| 1997 | 231.82 | 175.11 | 175.62 |
| 1998 | 177.62 | 127.94 | 133.02 |
| 1999 | 199.61 | 129.38 | 194.54 |
| 2000 | 265.93 | 187.73 | 246.92 |
| 2001 | 250.40 | 160.12 | 169.15 |
| 2002 | 246.53 | 161.72 | 235.15 |
| 2003 | 284.61 | 211.63 | 260.54 |
| 2004 | 374.89 | 254.74 | 310.47 |
| 2005 | 478.08 | 301.32 | 431.72 |
| 2006 | 512.36 | 405.22 | 433.94 |
| 2007 | 623.63 | 389.81 | 610.16 |
| 2008 | 893.85 | 308.50 | 324.84 |
| 2009 | 529.46 | 305.58 | 524.62 |
| 2010 | 633.77 | 458.56 | 631.83 |
| 2011 | 762.22 | 572.92 | 644.91 |
| 2012¹ | 717.45 | 555.56 | 646.58 |
¹ December 31, 2012
Web links
Individual evidence
- ^ Standard & Poor's: S&P GSCI Index Methodology
- ↑ Standard & Poor's: S&P GSCI Commodity Indices
- ↑ Die Presse: SuperMarkt: Hunger for the printing press , from January 29, 2011
- ↑ Manager Magazin: Expensive Raw Materials - Prices for Oil and Copper continue to climb , from February 2, 2011
- ↑ Barchart: Historical Quote (registration and login required) ( Page no longer available , search in web archives ) Info: The link was automatically marked as defective. Please check the link according to the instructions and then remove this notice.
- ↑ Wikiposit: Historical courses
