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• The Goldman Roll by Scott Barrie and Kevin Warner

  ARTICLE SYNOPSIS ...The Goldman Roll by Scott Barrie and Kevin Warner Does it affect the commodities markets? The Goldman Sachs Commodity Index (GSCI) is a world production?weighted index that measures commodity market returns. The quantity of each commodity in the index is determined by the average quantity of production in the last five years. The GSCI is composed of commodities from all sectors. As you can see from Figure 1, energy, metals, and agriculture are all represented. The variety of commodities ensures the GSCI is well diversified, both across subsectors and within each subsector. The GSCI encompass...

AUTHOR: Scott Barrie and Kevin WarnerDATE: AUG 2003SUBJECT: Basic Techniques