Given the size of the commodity index market, rollovers require large numbers of contracts to be purchased and sold on rollover dates. Index providers are careful in choosing their roll methods in order to minimize volatility and maximize the market efficiency of their indexes. This study...

We compare the volatility and efficiency of roll methods of 5 index providers across 15 individual commodity indexes to naïve rolling (rolling from nearest futures contract on its expiration date to the second nearest – “continuous futures series”). For all series and all providers, the...