The MLM Index™ is a diversified portfolio of 22 liquid futures contracts traded on U.S. and
foreign exchanges. Sectors traded include commodities, currencies and global fixed income.
The MLM Index™ can be used in two ways:
1. As a Diversified Investment:
The MLM Index™ is a passive, investable index
that is non-correlated with traditional investments, providing investors with the opportunity for portfolio diversification.
2. As a Benchmark: The MLM Index™ is a widely recognized, patented benchmark
for evaluating futures investments that are actively managed.
Returns in commodities, currencies and global fixed income are derived during periodic bursts of price volatility,
when hedgers desire to transfer price risk to investors. These periods of volatility create opportunities for
profit, as investors assume risk that hedgers wish to avoid. The MLM Index™ is a proprietary model that attempts to
capture investment returns by taking on these price risks. The MLM Index™ is also a world-renowned metric for calculating the innate, passive
return that is contained in these markets.
The MLM Index™ trades a total of 22 futures contracts: 11 commodity, 6 currency and 5 global fixed incomes.
Each of the 3 sub-baskets in the Index (commodities, currencies, global fixed income) is weighted by its relative historical
volatility. Markets within each sub-basket are equally weighted. The MLM Index™ can take long or short positions
in any of its 22 markets; there are no neutral positions.
||Global Fixed Income
||Canadian Gov’t Bond
||Japanese Gov’t Bond
||U.S. 10-yr. Note
The 22 futures markets in the MLM Index™ exhibit large price changes more frequently than
would be expected in a normal distribution.
These price changes often occur as the result of actual or feared disruptions in supply or demand.
These departures from normality can last weeks or months. Monthly and
quarterly price data generally show significantly more observations at the extremes of
the distributions – in the tail regions – than would typically be observed in a normal
distribution, as shown in this chart:
The price volatility implied by this chart represents a significant threat to the operations of hedgers. They are eager
to transfer risk to investors, thereby creating profit opportunities for
investors who are willing to take on that risk. Hedgers use the futures market to protect themselves against large,
adverse price movements. Investors assume the risk of price uncertainty, in essence insuring the business of the hedger.
In return, investors demand a premium for assuming that risk.
- 22 commodity markets
- Long or short positions in all markets at all times
- Volatility-weighted across three sub-baskets; equally weighted within each sub-basket
- Rebalanced monthly
- Unleveraged or leveraged vehicles available
To learn more about the MLM Index, including historical performance, please complete a registration form