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S&P Dynamic Gold Hedged Indices

Published in Alternative Indices

The S&P 500 Gold Hedged Index and S&P 500 Dynamic Gold Hedged Index seek to simulate the returns of an investment strategy which is long the S&P 500 and hedged against changes in the U.S. dollar versus gold. The indices are calculated by hedging the beginning-of-period S&P 500 total return index values using rolling COMEX gold futures contracts. The hedge only protects against adverse movements in the relative value of the U.S.dollar, as expressed in the dollar price of gold.

Stock market risk is not hedged in anyway. The results of the gold-hedged index strategy, versus that of an un-hedged strategy, vary depending upon the movement of the gold futures contract and the U.S. dollar. Those holding long gold futures contracts gain when the U.S. dollar loses value as expressed by gold. Conversely, they lose when the opposite occurs.

Key Features and Coverage on RIMES

For this data source, RIMES hosts two companies and the S&P 500 Dynamic Gold Hedged Index. Some of the data items available include:

  • Branding
  • Cap Range Flag
  • Country Code
  • Currency Code
  • Daily Return
  • Database Domain Code
  • Date of Portfolio
  • Exchange Country
  • Hedged Gross Index in US Dollars
  • Index Description
  • Index Family
  • Index Type
  • Investable Weight in Index (Source)
  • Last Price Date
  • Next Day Investable Weight in Index (Source)
  • Rebalance Date
  • Rebalance Weight
  • S&P Index ID
  • Unadjusted Price
  • Weight Type, etc.

 

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