The Goldman roll is the monthly sale and purchase of commodities for the

Goldman Sachs Commodity Index The S&P GSCI (formerly the Goldman Sachs Commodity Index) serves as a benchmark for investment in the commodity markets and as a measure of commodity performance over time. It is a tradable index that is readily available to market participants of ...

(S&P-GSCI). While a stock market index is a purely mathematical construct, a

commodity index A commodity price index is a fixed-weight index or (weighted) average of selected commodity prices, which may be based on spot or futures prices. It is designed to be representative of the broad commodity asset class or a specific subset of commodit ...

requires entering a long position or ownership of a physical product through a

futures exchange A futures exchange or futures market is a central financial exchange where people can trade standardized futures contracts defined by the exchange. Futures contracts are derivatives contracts to buy or sell specific quantities of a commodity or ...

. These contracts must be released and renewed, typically monthly. This

roll yield The roll yield is the difference between the profit or loss of a futures contract and the change in the spot price of the underlying asset of that futures contract. Unlike fixed income or dividend yields, a roll yield does not provide a cash payme ...

both creates and requires arbitrage opportunities which are statistically significant, measuring a

Sharpe ratio In finance, the Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) measures the performance of an investment such as a security or portfolio compared to a risk-free asset, after adjusting for its ...

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 Matthew Colin Taibbi (; born March 2, 1970) is an American author, journalist, and podcaster. He has reported on finance, media, politics, and sports. A former contributing editor for ''Rolling Stone'', he is an author of several books, co-host o ...

, 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."

References

{{reflist Commodity markets Goldman Sachs