Commodity Index (GSCI / BCOM)

A commodity index tracks the return of a basket of commodity futures under fixed, published rules. The two dominant benchmarks differ sharply in construction. The S&P GSCI is world-production-weighted, so it is heavily skewed to energy (crude, products, and natural gas typically make up well over half the index). The Bloomberg Commodity Index (BCOM) is deliberately diversified: it caps any single sector at roughly one-third and any single commodity near 15%, with a small floor weight, producing a much more balanced energy/metals/ags mix.

Because indices hold futures, their returns are not the same as spot returns. Total return decomposes into spot return, roll yield (gain or loss from rolling expiring contracts up or down the curve), and a collateral return (T-bill yield on the cash backing the notional). In persistent contango, the roll bleed can drag a passive long-only index well below the move in spot — the core reason commodity index ETFs underperform headline prices over multi-year stretches.

Both indices rebalance and re-weight annually (BCOM weights are reset each January) and roll positions on a published schedule — the GSCI's monthly roll window (the "Goldman roll") is large enough that traders front-run the predictable flow.