(GSG) S&P GSCI Commodity-Indexed - Overview

The iShares S&P GSCI Commodity-Indexed Trust (NYSE ARCA:GSG) is a U.S.-based exchange-traded fund that gains exposure by holding long positions in S&P GSCI-ER index futures. At expiration, the futures settle based on the S&P GSCI-ER level, while the fund earns interest on its non-cash collateral assets that satisfy the margin requirements for those positions. The reported index return therefore combines the futures performance with the return on designated U.S. Treasury securities that would have been used as collateral for a hypothetical long futures portfolio.

Key quantitative characteristics (as of the most recent filing) include an expense ratio of 0.74 %, total assets under management of roughly $5 billion, and a 12-month rolling exposure that is ~80 % energy (crude oil, natural gas) and ~20 % industrial metals (copper, aluminum). Because the fund uses futures rather than physical commodities, its performance is sensitive to the term structure of commodity futures (contango vs. backwardation) and to changes in U.S. Treasury yields, which affect the collateral return component.

Macro drivers that typically influence GSG’s performance are global industrial demand (especially from China and the United States), inventory levels in the oil market, and real-interest-rate trends that impact both commodity financing costs and Treasury yields. A recent KPI worth monitoring is the “roll yield” of the underlying futures curve; in periods of sustained backwardation, GSG can generate positive roll returns that offset the expense ratio, whereas prolonged contango can erode returns.

For a deeper dive into how GSG’s roll yield and Treasury collateral returns interact under different market regimes, you might find ValueRay’s commodity-futures analytics useful.