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- Goldman_roll abstract "The Goldman roll is the monthly sale and purchase of commodities for the Goldman Sachs Commodity Index (S&P-GSCI).While a stock market index is a purely mathematical construct, a commodity index requires entering a long position or ownership of a physical product through a futures exchange. These contracts must be released and renewed, typically monthly. This roll yield both creates and requires arbitrage opportunities which are statististically significant, measuring a Sharpe ratio as high as 4.4 between 2000 and 2010.As the S&P-GSCI was the first commodity index and remains popular, the rollover of its futures was analyzed and described as the Goldman roll.Yiqun Mou's analysis of the Goldman roll indicates up to $26 billion was made through arbitrage of the Goldman roll between 2000 and 2009. Matt Taibbi, describing the Goldman roll, said \"there are lots of folks who believe that knowing when and how it works gives investors an unfair advantage (particularly Goldman)—but in the interest of not having the reader’s head explode, we’ll skip that topic for now.\"".
- Goldman_roll wikiPageID "36879457".
- Goldman_roll wikiPageLength "1878".
- Goldman_roll wikiPageOutDegree "11".
- Goldman_roll wikiPageRevisionID "639981374".
- Goldman_roll wikiPageWikiLink Arbitrage.
- Goldman_roll wikiPageWikiLink Category:Commodity_markets.
- Goldman_roll wikiPageWikiLink Category:Goldman_Sachs.
- Goldman_roll wikiPageWikiLink Commodity_price_index.
- Goldman_roll wikiPageWikiLink Futures_exchange.
- Goldman_roll wikiPageWikiLink Matt_Taibbi.
- Goldman_roll wikiPageWikiLink Roll_yield.
- Goldman_roll wikiPageWikiLink S&P_GSCI.
- Goldman_roll wikiPageWikiLink Sharpe_ratio.
- Goldman_roll wikiPageWikiLink Statistical_significance.
- Goldman_roll wikiPageWikiLink Stock_market_index.
- Goldman_roll wikiPageWikiLinkText "Goldman roll".
- Goldman_roll wikiPageUsesTemplate Template:Reflist.
- Goldman_roll subject Category:Commodity_markets.
- Goldman_roll subject Category:Goldman_Sachs.
- Goldman_roll hypernym Sale.
- Goldman_roll type Company.
- Goldman_roll type Company.
- Goldman_roll type Market.
- Goldman_roll type Redirect.
- Goldman_roll comment "The Goldman roll is the monthly sale and purchase of commodities for the Goldman Sachs Commodity Index (S&P-GSCI).While a stock market index is a purely mathematical construct, a commodity index requires entering a long position or ownership of a physical product through a futures exchange. These contracts must be released and renewed, typically monthly.".
- Goldman_roll label "Goldman roll".
- Goldman_roll sameAs Q5580247.
- Goldman_roll sameAs m.0lqg3jw.
- Goldman_roll sameAs Q5580247.
- Goldman_roll wasDerivedFrom Goldman_roll?oldid=639981374.
- Goldman_roll isPrimaryTopicOf Goldman_roll.