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
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