Goldman roll

The Goldman roll is the monthly sale and purchase of commodities for the Goldman Sachs Commodity Index (S&P-GSCI).

While a stock market index is a purely mathematical construct, a commodity index requires entering a long position or ownership of a physical product through a futures exchange. These contracts must be released and renewed, typically monthly. This roll yield both creates and requires arbitrage opportunities which are statististically significant, measuring a Sharpe ratio as high as 4.4 between 2000 and 2010.

单词	Goldman Roll
释义	Goldman Roll 英语百科 Goldman roll The Goldman roll is the monthly sale and purchase of commodities for the Goldman Sachs Commodity Index (S&P-GSCI). While a stock market index is a purely mathematical construct, a commodity index requires entering a long position or ownership of a physical product through a futures exchange. These contracts must be released and renewed, typically monthly. This roll yield both creates and requires arbitrage opportunities which are statististically significant, measuring a Sharpe ratio as high as 4.4 between 2000 and 2010.
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Goldman Roll

Goldman roll