Thayer Brook teams up with S&P for novel futures index

Thu Sep 22, 2011

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Mike McGlone
Scott Ganis
London-based managed futures boutique Thayer Brook Partners has been working with S&P Indices to develop a new index that captures the beta inherent in the global macro and CTA arenas.

The S&P Systematic Global Macro Index (SGMI) is designed to be fully investable, using only the most liquid futures. Unusually, the index incorporates both long and short exposures - so is also intended to be a more relevant benchmark for managed futures and macro funds than conventional indices.

The systematic methodology behind the index was developed exclusively for S&P by Thayer Brook's research team, headed by Scott Ganis. By reflecting price trends among highly-liquid global futures, the index is intended to represent more closely the level of volatility taken by individual...


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