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...