Goldman Sachs Commodity Index

I invested in a 3-year structured product linked to the Goldman Sachs Commodity Index Excess Return grains. To my dismay, this index is extremely low since March 2005, the time I made the investment. It has been declining since then, and down 17% now. The index is still very low, even if the price of grain has increased recently. Why?

I see no indication that you are taking about, but there is a group of indexes called "The GSCI Total Return Excess Return Indices and Spot" which follows the 25 contracts. This may be an indication that you speak. Here is the description of GS:

GSCI Total Return, excess returns and directories Spot

The GSCI Total Return Index measures a product with full warranty term investment which is extended from the 5th to the 9th business day of each month. Currently, the GSCI includes 24 commodity futures contracts close. The GSCI Total Return Index is significantly different from that of the return of the purchase of raw materials.

The site tracks the GSCI futures prices close, no returns for investors. At the end of each working day, the GSCI is composed of the same proportions by weight of the underlying commodities and expirations as the portfolio represented by the GSCI excess returns.

More importantly, the GSCI Spot Index can not be directly compared to the GSCI Total Return, either conceptually or by a simple mathematical operation.

On the first point, you can add bills to the statement of up to establish a comparison with the GSCI Total Return. In fact there is nothing to be done to make a direct comparison between locations and total return indices. This is because they measure two very different types of investments.

Meanwhile, the GSCI Excess Return measures the performance of investments in the near future and GSCI rolling them forward each month (on 5 - 9 working days each month), while keeping your investment in the future relatives . It is a leveraged investment in the long term. The GSCI Excess Return (unlike the S & P Excess Return) is not the return above cash. The GSCI excess return can not be compared directly to the GSCI Total Return is. The GSCI Excess Return and the Treasury is not equal to the GSCI Total Return because it ignores the impact of the reinvestment of collateral yield gains Tbill return to commodity futures and gains (losses ) on futures in (of) Tbills.