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...