Mergers & Acquisitions / Joint Ventures

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

by

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