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

Energy  37.5%

Powershares DB Energy  (DBE)

Industrial metal  10%

Powershares DB Base Metal  (DBB)

Precious metal  10.5%

Powershares DB Precious Metal  (DBP)

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:

NUMBER OF MONTHS

WEIGHT

2.32%

6

3.71%

5

5.94%

4

9.51%

3

15.22%

2

24.34%

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

 

 

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