This paper studies the valuation effect of the SP-GSCI roll on commodity contracts. We identify a surge of investment tracking commodity futures indices in December 2003. Before 2004, the roll period generated average cumulative abnormal price changes amounting to 115 bps for the nearby contract and 146 bps for the first deferred contract. From 2004 to 2010, the average cumulative abnormal price changes of the nearby (first deferred) is equal to -60 bps (-40 bps).