The S&P Systematic Global Macro Index (SGMI) has been developed to represent the general level of volatility taken by managers in the global macro and managed futures/Commodity Trading Advisor (CTA) space.
S&P Indices said the index is diversified globally across 37 constituents, covering the six most widely traded sectors: commodities, energy, fixed income, foreign exchange, short term interest rates and equity indices.
It said each constituent can be long, short or flat to indicate its trend.
The company insists its weighting scheme applies an even risk capital allocation across the index by sector and again to each constituent within each sector, so no single sector or constituent could drive the volatility of the index.
“This methodical, rules-based index intends to measure the price trends and perform similar to that of the systematic global-macro space,” said Jodie Gunzberg, director of commodities at S&P Indices. “Historically, this domain has had little correlation to traditional asset classes with relatively small drawdowns as compared with long-only equities or commodities.”
She said until now, issues like high minimums and high fees have made it difficult for many investors to gain access to global macro and managed futures strategies.
“We envisage that new products based on this index will give investors the ability to invest in a long/short, comprehensive set of the main futures contracts,” Gunzberg said. “It’s liquid, tradable and it isn’t just based on commodities, but is well diversified across the six main asset classes in the futures markets.”
Thayer Brook Partners LLP developed the underlying methodology exclusively for S&P Indices for the S&P SGMI.
