Futures contract roll over info

Yves Smith pointed this out:

"John Dizard, a writer for the Financial Times (and a casual acquaintance), illustrates below how fortune favors not necessarily the brave, but the powerful in his article, "Goldman and its magic commodities box". Dizard discusses how Goldman plays the commodities market, using its role as the largest manager of commodities index funds (Goldman designed and maintains the most popular index, the Goldman Sachs Commodities Index, or GSCI, the biggest commodities index, which it has successfully leveraged into becoming the largest manager of GSCI-based index funds), market maker, and principal trader (see this post on the questionable role of indexes)...

...Dizard calculates the collective losses to investors (organizations like pension funds, endowments, and insurers) on the monthly roll of the GSCI (required because the index uses futures contract that expire every month) at 150 basis points on $100 billion of funds, or $1.5 billion. And who is on the other side of these trades? Dizard believes Goldman is at the top of the list...describing the practice known as index roll congestion...This involves profiting from the requirement that public investors' positions in commodities indices be "rolled over" from one contract month to another over a known five-day period. The price of the old month's contract is depressed and the price of the new month's contract is inflated. This can be a huge source of profit for those ready to take advantage of the naive public....a lot of money is being lost by the public to someone...

... Given that Goldman knows how many contracts it has to buy and sell on certain dates, that in many pits the GSCI is the biggest single factor in the market and that it has many trading hours to cover its positions at advantageous moments, its profitability is not surprising.The GSCI has not been as profitable for all the investors who use it to get commodities exposure. Last year it lost about 15 per cent on a total return basis. Goldman itself had a record year. The customers' yachts weren't just small, they were under water.There is no failure to disclose here since Goldman lays out the GSCI's terms and conditions on its website and in customer contracts. The real failure is with the institutional investing community that still does not understand how commodity markets work..."

Amazing...