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S and P Commodity Trend Indicators
The strategy is a simplified variation of S&P commodity trends indicator (CTI). It is really a subset of the S&P DTI by simply eliminating half of the financial assets.
1.The original asset allocation
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Energy 37.5% |
Powershares DB Energy (DBE) |
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Industrial metal 10% |
Powershares DB Base Metal (DBB) |
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Precious metal 10.5% |
Powershares DB Precious Metal (DBP) |
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Agriculture 42% |
Powershares DB Agriculture (DBA) |
2. Position determination
The monthly percentage change of a sector’s price is compared to past monthly price changes exponentially weighted to give greatest weight to the most recent return and least weight to the return seven months prior.
The weights are as follows:
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NUMBER OF MONTHS |
WEIGHT |
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7 |
2.32% |
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6 |
3.71% |
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5 |
5.94% |
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4 |
9.51% |
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3 |
15.22% |
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2 |
24.34% |
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1 |
38.95% |
3. Monthly rebalancing
We rebalance the portfolio monthly setting every sector to their original percentage and do the position determination again.
- DireXion Commodity Trend Strategy Inv (DXCTX): it employs S&P Commodity Trend Indicator and uses futures as its underlying instruments.
- Element S&P CTI ETN (LSC): this is an ETN which is based on S&P Commodity Trends Indicator.
- S and P Diversified Trend Indicators: this strategy allocates half of its portfolio to commodities which uses the commodity trend indicator.
See Also
- Standard and Poor's , "Standard and Poor's Commodity Trend Indicator".January 2008.
- Murray Coleman, "Mutual fund mixes bonds, commodities, currencies", marketwatch.com, March 6, 2007.