Commodities: copper, corn, crude oil, gold, heating oil, live cattle, natural gas, soybeans, sugar, unleaded gas, and wheat
Currencies: Australian Dollar, British Pound, Canadian Dollar, Euro, Swiss Franc, and Japanese Yen
Global Bonds: Canadian Government Bond, Euro Bund, Japanese Government Bond, U.K. Long Gilt, and U.S. Ten Year Notes
The three subportfolios are weighted by the relative historical volatility of each basket. Within each basket, the constituent markets are equally weighted. The MLM Index serves as a benchmark for evaluating returns from managed futures and is designed as a trend-following index. It compares the price of a future versus its 12-month moving average.
If the current price is above (below) its 12-month moving average, the index buys (sells) the futures contract. The index composition is rebalanced monthly and no leverage is employed. Mount Lucas Management Corp. replicates this index for a wide variety of investors via funds and separate accounts.
|Mount Lucas Management Index|