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Abstract

Roll returns for the S&P GSCI commodity index are analyzed using index calculation procedures for the S&P 500 stock market index. S&P GSCI daily index values are calculated and validated against the official index values for the five-year period January 2007-December 2011. Index values are then calculated using divisor adjustment methods for the S&P 500. Roll returns are found to be caused by the unique index calculation procedures used by the S&P GSCI during roll periods.

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