S&P GSCI Dynamic Roll Risk Control Indices
The S&P GSCI Dynamic Roll Risk Control Indices utilize the existing S&P GSCI Dynamic Roll methodology, to which an overlying mathematical algorithm is applied. The algorithm is designed to control the index’s risk level by establishing a specific volatility target and dynamically adjusting the exposure to the index based on its observed historic volatility. The series includes the S&P GSCI Dynamic Roll Daily Risk Control 5%, 8%, 10%, and 12% indices.
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